Related papers: A note on Euler approximations for stochastic diff…
The strong convergence of Euler approximations of stochastic delay differential equations is proved under general conditions. The assumptions on drift and diffusion coefficients have been relaxed to include polynomial growth and only…
We extend the taming techniques for explicit Euler approximations of stochastic differential equations (SDEs) driven by L\'evy noise with super-linearly growing drift coefficients. Strong convergence results are presented for the case of…
This work focuses on the numerical approximations of neutral stochastic delay differential equations with their drift and diffusion coefficients growing super-linearly with respect to both delay variables and state variables. Under…
This paper investigates projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition. This condition admits some equations with highly nonlinear drift and diffusion coefficients. We…
We prove a general criterion providing sufficient conditions under which a time-discretiziation of a given Stochastic Differential Equation (SDE) is a uniform in time approximation of the SDE. The criterion is also, to a certain extent,…
This paper focuses on explicit approximations for nonlinear stochastic delay differential equations (SDDEs). Under the weakly local Lipschitz and some suitable conditions, a generic truncated Euler-Maruyama (TEM) scheme for SDDEs is…
In this paper, we prove the existence and uniqueness of the solution for neutral stochastic differential delay equations with locally monotone coefficients by using numerical approximation. An example is provided to illustrate our theory.
We investigate existence, uniqueness and approximation of solutions to stochastic delay differential equations (SDDEs) under Carath\'eodory-type drift coefficients. Moreover, we also assume that both drift $f=f(t,x,z)$ and diffusion…
Strong convergence results on tamed Euler schemes, which approximate stochastic differential equations with superlinearly growing drift coefficients that are locally one-sided Lipschitz continuous, are presented in this article. The…
Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler-Maruyama approximation method…
In this paper we study the existence and uniqueness of the random periodic solution for a stochastic differential equation with a one-sided Lipschitz condition (also known as monotonicity condition) and the convergence of its numerical…
Polynomial stability of exact solution and modified truncated Euler-Maruyama method for stochastic differential equations with time-dependent delay are investigated in this paper. By using the well known discrete semimartingale convergence…
We deal with approximation of solutions of delay differential equations (DDEs) via the classical Euler algorithm. We investigate the pointwise error of the Euler scheme under nonstandard assumptions imposed on the right-hand side function…
Given strong uniqueness for an It\^o's stochastic equation, we prove that its solution can beconstructed on "any" probability space by using, for example, Euler's polygonal approximations. Stochastic equations in $\mathbb{R}^{d}$ and in…
Existence, uniqueness, and $L_p$-approximation results are presented for scalar stochastic differential equations (SDEs) by considering the case where, the drift coefficient has finitely many spatial discontinuities while both coefficients…
In this paper we address the existence, uniqueness and approximation of solutions of delay differential equations (DDEs) with Carath\'eodory type right-hand side functions. We provide construction of randomized Euler scheme for DDEs and…
Under a mild Lipschitz condition we prove a theorem on the existence and uniqueness of global solutions to delay fractional differential equations. Then, we establish a result on the exponential boundedness for these solutions.
In this paper, we investigate a class of McKean-Vlasov stochastic differential equations under L\'evy-type perturbations. We first establish the existence and uniqueness theorem for solutions of the McKean-Vlasov stochastic differential…
In this paper we study the strong convergence for the Euler-Maruyama approximation of a class of stochastic differential equations whose both drift and diffusion coefficients are possibly discontinuous.
We consider the Euler-Maruyama approximation for multi-dimensional stochastic differential equations with irregular coefficients. We provide the rate of strong convergence where the possibly discontinuous drift coefficient satisfies a…