Related papers: A note on tamed Euler approximations
The classical result by It\^o on the existence of strong solutions of stochastic differential equations (SDEs) with Lipschitz coefficients can be extended to the case where the drift is only measurable and bounded. These generalizations are…
We present a systematic approach to regularity theory of the multi-dimensional Euler alignment systems with topological diffusion introduced in \cite{STtopo}. While these systems exhibit flocking behavior emerging from purely local…
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…
We study the strong approximation of the solutions to singular stochastic kinetic equations (also referred to as second-order SDEs) driven by $\alpha$-stable processes, using an Euler-type scheme inspired by [11]. For these equations, the…
In the study of McKean-Vlasov stochastic differential equations (MV-SDEs), numerical approximation plays a crucial role in understanding the behavior of interacting particle systems (IPS). Classical Milstein schemes provide strong…
In this article we propose a new, explicit and easily implementable numerical method for approximating a class of semilinear stochastic evolution equations with non-globally Lipschitz continuous nonlinearities. We establish strong…
This paper aims at developing a systematic study for the weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with very irregular drift and constant diffusion coefficients. We apply our method to…
This manuscript is dedicated to the numerical approximation of super-linear slow-fast stochastic differential equations (SFSDEs). Borrowing the heterogeneous multiscale idea, we propose an explicit multiscale Euler-Maruyama scheme suitable…
This paper mainly investigates the strong convergence and stability of the truncated Euler-Maruyama (EM) method for stochastic differential delay equations with variable delay whose coefficients can be growing super-linearly. By…
The exponential contraction in $L^1$-Wasserstein distance and exponential convergence in $L^q$-Wasserstein distance ($q\geq 1$) are considered for stochastic differential equations with irregular drift. When the irregular drift drift is…
We give a probabilistic numerical method for solving a partial differential equation with fractional diffusion and nonlinear drift. The probabilistic interpretation of this equation uses a system of particles driven by L\'evy alpha-stable…
In this paper, we analyze the drift-implicit (or backward) Euler numerical scheme for a class of stochastic differential equations with unbounded drift driven by an arbitrary $\lambda$-H\"older continuous process, $\lambda\in(0,1)$. We…
In the present article we study strong approximation of solutions of scalar stochastic differential equations (SDEs) with bounded and $\alpha$-H\"older continuous drift coefficient and constant diffusion coefficient at time point $1$.…
In this paper we study strong approximation of the solution of a scalar stochastic differential equation (SDE) at the final time in the case when the drift coefficient may have discontinuities in space. Recently it has been shown in…
We introduce a new class of numerical methods for solving McKean-Vlasov stochastic differential equations, which are relevant in the context of distribution-dependent or mean-field models, under super-linear growth conditions for both the…
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…
This article proposes and analyzes explicit and easily implementable temporal numerical approximation schemes for additive noise-driven stochastic partial differential equations (SPDEs) with polynomial nonlinearities such as, e.g.,…
We consider in this work the convergence of a split-step Euler type scheme (SSM) for the numerical simulation of interacting particle Stochastic Differential Equation (SDE) systems and McKean-Vlasov Stochastic Differential Equations…
We propose a tamed-adaptive Milstein scheme for stochastic differential equations in which the first-order derivatives of the coefficients are locally H\"older continuous of order $\alpha$. We show that the scheme converges in the…
We obtain new transport-entropy inequalities and, as a by-product, new deviation estimates for the laws of two kinds of discrete stochastic approximation schemes. The first one refers to the law of an Euler like discretization scheme of a…