Research Interests
SDE, Levy Process, Mckean--Vlasov SDE, financial mathematics, stochastic gradient method.
BioSketch
University of Edinburgh, United Kingdom
2015
PhD, Probability and Stochastic Analysis
University of Edinburgh, United Kingdom
2011
MSc, Financial Mathematics
Whittaker Research Fellow in Stochastic Analysis
01 Jan 2016 - 01 Jan 2016
University of Edinburgh, United Kingdom
Visiting Scientist
01 Jan 2015 - 01 Jan 2016
Indian Statistical Institute Delhi
Research
- 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 Switching, Journal 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.
