Related papers: Strong convergence of some drift implicit Euler sc…

This paper derives the exact transition density and cumulative distribution function of a linear combination of two independent Cox-Ingersoll-Ross (CIR) processes. By combining the Poisson Gamma mixture representation of the noncentral…

We consider a pure-jump stable Cox-Ingersoll-Ross ($\alpha$-stable CIR) process driven by a non-symmetric stable L{\'e}vy process with jump activity $\alpha$ $\in$ (1, 2) and we address the joint estimation of drift, scaling and jump…

We consider a non-stationary Cox-Ingersoll-Ross process. We establish a sharp large deviation principle for the maximum likelihood estimator of its drift parameter.

In this paper, we establish the weak convergence rate of density-dependent stochastic differential equations with bounded drift driven by $\alpha$-stable processes with $\alpha\in(1,2)$. The well-posedness of these equations has been…

In this paper, we consider a one-dimensional Cox-Ingersoll-Ross (CIR) process whose drift coefficient depends on unknown parameters. Considering the process discretely observed at high frequency, we prove the local asymptotic normality…

We derive consistency and asymptotic normality results for quasi-maximum likelihood methods for drift parameters of ergodic stochastic processes observed in discrete time in an underlying continuous-time setting. The special feature of our…

This is the second part of study on the optimal convergence rate of the explicit Euler discretization in time for the convection-diffusion equations [Appl. Math. Lett. \textbf{131} (2022) 108048] which focuses on high-dimensional…

We propose a positivity preserving implicit Euler-Maruyama scheme for a jump-extended Cox-Ingersoll-Ross (CIR) process where the jumps are governed by a compensated spectrally positive $\alpha$-stable process for $\alpha \in (1,2)$.…

In this paper, we derive fully implementable first order time-stepping schemes for McKean--Vlasov stochastic differential equations (McKean--Vlasov SDEs), allowing for a drift term with super-linear growth in the state component. We propose…

This paper presents a sequence of deferred correction (DC) schemes built recursively from the implicit midpoint scheme for the numerical solution of general first order ordinary differential equations (ODEs). It is proven that each scheme…

We study the weak convergence of a generic tamed Euler-Maruyama scheme for kinetic stochastic differential equations (SDEs) with integrable drifts. We show that the marginal density of the considered scheme converges at rate 1/2 to the…

In this paper, we revisit the backward Euler method for numerical approximations of random periodic solutions of semilinear SDEs with additive noise. Improved $L^{p}$-estimates of the random periodic solutions of the considered SDEs are…

We propose and analyze a variation of the Euler scheme for state constrained ordinary differential inclusions under weak assumptions on the right-hand side and the state constraints. Convergence results are given for the space-continuous…

We prove that a semidiscrete $(2r+1)$-point scheme for quasilinear first order PDE cannot attain an order higher than $2r$. Moreover, if the forward Euler fully discrete scheme obtained from the linearization about any constant state of the…

We study the convergence of a generic tamed Euler-Maruyama (EM) scheme for the kinetic type stochastic differential equations (SDEs) (also known as second order SDEs) with singular coefficients in both weak and strong probabilistic senses.…

This work establishes the weak convergence of Euler-Maruyama's approximation for stochastic differential equations (SDEs) with singular drifts under the integrability condition in lieu of the widely used growth condition. This method is…

In this paper, concerning SDEs with H\"older continuous drifts, which are merely dissipative at infinity, and SDEs with piecewise continuous drifts, we investigate the strong law of large numbers and the central limit theorem for underlying…

We prove the convergence in a strong norm of a finite difference semi-discrete scheme approximating a coupled Schr\"odinger--KdV system on a bounded domain. This system models the interaction of short and long waves. Since the energy…

This paper is concerned with the numerical analysis of the explicit upwind finite volume scheme for numerically solving continuity equations. We are interested in the case where the advecting velocity field has spatial Sobolev regularity…

In this technical report we study the convergence of Parareal for 2D incompressible flow around a cylinder for different viscosities. Two methods are used as fine integrator: backward Euler and a fractional step method. It is found that…