Chaman Kumar - Department of Mathematics,Indian Institute of Technology Roorkee
Chaman Kumar
Chaman Kumar Assistant professor c.kumarfma@iitr.ac.in
Areas of Interest
  • Probability and Stochastic Analysis:, MFG, Mckean-Vlasov equation, SDE, Levy Process, financial mathematics, stochastic gradient method
Professional Background
FromPeriodPositionOrganisation
2016-01-01Whittaker Research Fellow in Stochastic AnalysisUniversity of Edinburgh, United Kingdom
2015-01-011 year Visiting Scientist Indian Statistical Institute Delhi
Educational Details
DegreeSubjectUniversityYear
PhDProbability and Stochastic AnalysisUniversity of Edinburgh, United Kingdom2015
MScFinancial MathematicsUniversity of Edinburgh, United Kingdom2011
Sponsored Research Projects
TopicFunding AgencyStart DatePeriod
Higher Order Approximation of Stochastic Differential equationsMATRICS, SERB2019-01Ongoing
National International Collaboration
TopicOrganisation
Sotirios SabanisUniversity of Edinburgh, United Kingdom
Christoph ReisingerUniversity of Oxford, United Kingdom
Miklos RasonyiMTA Alfréd Rényi Institute of Mathematics, Hungary
Wolfgang StockingerUniversity of Oxford, United Kingdom
Dareiotis KonstantinosUniversity of Leeds, United Kingdom
Huy N. ChauCenter for Mathematical Modeling and Data Science, Japan
Refereed Journal Papers

C. Kumar, Neelima, C. Reisinger and W. Stockinger (2020). Well-posedness and tamed schemes for McKean-Vlasov Equations with Common Noise, arXiv:2006.00463[math.PR]

C. Kumar and Neelima (2020). On Explicit Milstein-type Scheme for Mckean-Vlasov Stochastic Dierential Equations with Super-linear Drift Coecient, arXiv:2004.01266[math.PR].

C. Kumar (2020). Milstein-type schemes of SDE driven by Levy Noise with Super-linear Diffusion Coefficients, Discrete and Continuous Dynamical System-Series B, doi: 10.3934/dcdsb.2020167

C. Kumar and T. Kumar (2020). On Explicit Tamed Milstein-Type Scheme for Stochastic Differential Equation with Markovian  SwitchingJournal of Computational and Applied Mathematics, 377, 112917

C. Kumar and S. Sabanis (2019). On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients, BIT Numerical Mathematics, 59, 929-968. 

Huy N. Chau, C. Kumar, M. Rasonyi and S. Sabanis (2019). On fixed gain recursive estimators with discontinuity in the parameter, ESAIM: Probability and Statistics, 23, 217-244. 

C. Kumar and S. Sabanis (2017). On Explicit Approximations for Lévy Driven SDEs with Super-linear Diffusion Coefficients, Electronic Journal of Probability, 22, 1-19. 

C. Kumar and S. Sabanis (2017). On tamed Milstein scheme of SDEs driven by Levy noise, Discrete and Continuous Dynamical Systems-Series B, 22(2), 421-463.

K. Dareiotis, C. Kumar and S. Sabanis (2016). On tamed Euler approximations of SDEs driven by Levy noise with application to delay equations, SIAM Journal on Numerical Analysis, 54(3), 1840-1872.

C. Kumar and S. Sabanis (2014). Strong convergence of Euler approximations of stochastic differential equations with delay under local Lipschitz condition, Stochastic Analysis and Applications, 32(2), 207-228. 

C. Kumar and T. Kumar (2019).  A Note on Explicit Milstein-Type Scheme for Stochastic Differential Equation with Markovian Switching, submitted. 

 T. Kumar and C. Kumar (2019). Tamed Explicit Scheme of Order 2.0 for Stochastic Differential Equations with Super-linear Drift and Diffusion Coefficients, working paper        

 

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