Related papers: Euler-Maruyama scheme for SDEs with Dini continuou…

Most existing literature focuses on pointwise convergence (i.e., convergence at a fixed time point) of numerical solutions for Stochastic functional differential equations (SFDEs). In contrast, this paper investigates the strong segment…

This paper is concerned with strong convergence of the truncated Euler-Maruyama scheme for neutral stochastic differential delay equations driven by Brownian motion and pure jumps respectively. Under local Lipschitz condition, convergence…

We develop and analyze a general class of Euler-type numerical schemes for Levy-driven McKean-Vlasov stochastic differential equations (SDEs), where the drift, diffusion and jump coefficients grow super-linearly in the state variable. These…

The semi-implicit Euler-Maruyama (EM) method is investigated to approximate a class of time-changed stochastic differential equations, whose drift coefficient can grow super-linearly and diffusion coefficient obeys the global Lipschitz…

The goal of this article is to establish a central limit theorem for the Euler-Maruyama scheme approximating multidimensional SDEs with elliptic Brownian diffusion, under very mild regularity requirements on the drift coefficients. When the…

We are interested in the Euler-Maruyama dicretization of the formal SDE, $dX_t=b(t,X_t)dt+dZ_t$, where $Z$ is a symmetric isotropic d dimensional stable process of index $\alpha\in (1,2)$, and $b$ is distributional. It belongs to a mix…

This paper is concerned with long-time strong approximations of SDEs with non-globally Lipschitz coefficients.Under certain non-globally Lipschitz conditions, a long-time version of fundamental strong convergence theorem is established for…

In this paper we extend existing results on the numerical approximation of one-dimensional SDEs with drift in a negative order Besov space and driven by Brownian motion. Using the Yamada-Watanabe approximation technique, we prove rates in…

The approximation of invariant measures for nonlinear ergodic stochastic differential equations (SDEs) is a central problem in scientific computing, with important applications in stochastic sampling, physics, and ecology. We first propose…

This study focuses on approximating solutions to SDEs driven by L\'evy processes with H\"older continuous drifts using the Euler-Maruyama scheme. We derive the $L^p$-error for a broad range of driven noises, including all nondegenerate…

A new class of explicit Euler schemes, which approximate stochastic differential equations (SDEs) with superlinearly growing drift and diffusion coefficients, is proposed in this article. It is shown, under very mild conditions, that these…

In this article we show that for SDEs with a drift coefficient that is non-locally integrable, one may define a tamed Euler scheme that converges in $L^p$ at rate $1/2$ to the true solution. The taming is required in this case since one…

This paper is dedicated to investigating the adaptive Euler-Maruyama (EM) schemes for the approximation of McKean-Vlasov stochastic differential equations (SDEs) with common noise. When the drift and diffusion coefficients both satisfy the…

The exponential stability of numerical methods to stochastic differential equations (SDEs) has been widely studied. In contrast, there are relatively few works on polynomial stability of numerical methods. In this letter, we address the…

We consider It\^o uniformly nondegenerate equations with random coefficients. When the coefficients satisfy some low regularity assumptions with respect to the spatial variables and Malliavin differentiability assumptions on the sample…

The aim of this paper is to establish new pointwise regularity results for solutions to degenerate second order partial differential equations with a Kolmogorov-type operator of the form $$\mathscr{L} :=\sum_{i,j=1}^m \partial^2_{x_i x_j }…

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…

We give a unified method to derive the strong convergence rate of the backward Euler scheme for monotone SDEs in $L^p(\Omega)$-norm, with general $p \ge 4$. The results are applied to the backward Euler scheme of SODEs with polynomial…

To construct positivity-preserving numerical methods, a vast majority of existing works employ transformation techniques such as the Lamperti transformation or logarithmic transformation. However, using these techniques often leads to the…

This paper focuses on the numerical scheme for multiple-delay stochastic differential equations with partially H\"older continuous drifts and locally H\"older continuous diffusion coefficients. To handle with the superlinear terms in…