Publications

Preprints 

29. Ngoc Khue Tran, Trung-Thuy Kieu, Duc-Trong Luong, Hoang-Long Ngo. On the infinite time horizon approximation for Lévy-driven McKean-Vlasov SDEs with non-globally Lipschitz continuous and super-linearly growth drift and diffusion coefficients. 

https://arxiv.org/abs/2401.03977

28. Hoang-Long Ngo, Dai Taguchi. Numerical schemes for radial Dunkl processes 

https://arxiv.org/abs/2404.05113

Papers

27. Minh-Thang Do, Hoang-Long Ngo, Nhat-An Pho. Tamed-adaptive Euler-Maruyama approximation for SDEs with superlinearly growing and piecewise continuous drift, superlinearly growing and locally Hölder continuous diffusion. Journal of Complexity.  2024. 

https://arxiv.org/abs/2305.07298

26. NK Tran, HL Ngo.  LAMN property for jump diffusion processes with discrete observations on a fixed time interval. Journal of Statistical Planning and Inference 225, 1-28, 2023. 

25. TT Kieu, DT Luong, HL Ngo, NK Tran, Strong convergence in infinite time interval of tamed-adaptive Euler–Maruyama scheme for Lévy-driven SDEs with irregular coefficients. Computational and Applied Mathematics 41 (7), 301. 2022. 

24. NK Tran, HL Ngo, LAMN property for multivariate inhomogeneous diffusions with discrete observations, Electronic Journal of Statistics 16 (2), 4275-4331

23. TT Kieu, DT Luong, HL Ngo, Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Hölder continuous diffusion coefficients. Stochastic Analysis and Applications 40 (4), 714-734. 2022. 

22. Hoang-Long Ngo, Marc Peigne, Limit Theorem for Reflected Random Walks. Thermodynamic Formalism pp 205-233. https://www.springer.com/gp/book/9783030748623

21.  Ngo Hoang Long, Marc Peigne, Limit theorem for perturbed random walks. Theory of stochastic processes 24(40) No. 2  (2019) 61-78. 

20.  Kieu Trung Thuy, Luong Duc Trong, Ngo Hoang Long, Nguyen Thu Thuy, Convergence, non-negativity and stability of a new tamed Euler-Maruyama scheme for stochastic differential equations with H\"older continuous diffusion coefficient.  Vietnam Journal of Mathematics 48(1), 107-124  (2020) http://link.springer.com/article/10.1007/s10013-019-00373-3. 

19. Hoang-Long Ngo and Dai Taguchi, Semi-implicit Euler Maruyama approximation for non-colliding particle systems. The Annals of Applied Probability. 

18.  Hoang-Long Ngo and Duc-Trong Luong, Semi-implicit Milstein approximation scheme for non-colliding particle systems. Calcolo  2019, 56:25.

17. Hoang-Long Ngo and Dai Taguchi,  On the Euler–Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients. Mathematics and Computers in Simulations Volume 161, July 2019, Pages 102-112. 

16. Hoang-Long Ngo and Duc-Trong Luong, Tamed Euler-Maruyama approximation for stochastic differential equations with locally H\"older continuous diffusion coefficients. Statistics and Probability Letters Volume 145, February 2019, Pages 133-140.

15. Hoang-Long Ngo and Dai Taguchi, Approximation for non-smooth functionals of stochastic differential equations with irregular drift.  Journal of Mathematical Analysis and Applications. Volume 457, Issue 1, 1 January 2018, Pages 361-388.

14. Nien-Lin Liu and Hoang-Long Ngo,  Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis, Japan Journal of Industrial and Applied Mathematics, Vol. 34, Issue 3, 747-761 (2017).  Doi 10.1007/s13160-017-0266-8

13. Hoang-Long Ngo and  Dai Taguchi  Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with  discontinuous coefficients .  Statistics and Probability Letters Volume 125,  Pages 55–63 (2017). 

12. (with Dai Taguchi) On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients.  IMA Journal of Numerical Analysis  Volume 37, Issue 4, 1 October 2017, Pages 1864–1883.

11. (with Duc-Trong Luong)  Strong Rate of Tamed Euler-Maruyama Approximation for Stochastic Differential Equations with H¨older Continuous Diffusion Coefficients. Brazilian Journal of Probability and Statistics  Vol. 31, No.1, 24-40 (2017)

10. (with Dai Taguchi) Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients.  Mathematics of Computation. 85 (2016), 1793-1819.

9. (with Arturo Kohatsu-Higa and Azmi Makhlouf) Approximation of non-smooth integral type functionals of one dimensional diffusion processes. Stochastic Processes and their Applications. Vol 124(5) 1881-1909 (2014). Preprint.

8.  (with Arturo Kohatsu-Higa) Weak approximations for SDE's driven by Lévy processes.   "Seminar on Stochastic Analysis, Random Fields and Application VII"   131--169 (2013).

7. An integrated cross-volatility estimation for asynchronous noisy data. Journal of Nonparametric Statistics, 24(2) 465-480 (2012). 

6. (with Shigeyoshi Ogawa) On the discrete approximation of occupation time of diffusion processes. Electronic Journal of Statistics 5, 1374–1393 (2011).

5. Parametric estimation for discretely observed stochastic processes with jumps. Electronic Journal of Statistics 4, 1443–1469 (2010).

4. (with Shigeyoshi Ogawa) Real-time estimation scheme for the spot cross volatility of jump diffusion processes. Mathematics and Computers in Simulation 80 no. 9, 1962–1976 (2010).

3. (with Shigeyoshi Ogawa) A central limit theorem for the functional estimation of the spot volatility. Monte Carlo Method and Applications. Vol. 15 (4), p. 353--380 (2009). 

2. Ogawa, S. and Ngo, H.L.  Some remarks on the real-time scheme for the estimation of spot volatility. Mem. Inst. Sci. Engrg. Ritsumeikan Univ. No. 67 (2008), 1--8

1.  (with Vu Viet Yen)  On Levy’s  convergence theorems of two-parameter multivalued random processes. Acta Mathematica Vietnamica Vol. 31, No. 3, p. 261--267 (2006).