Related papers: Positivity preserving logarithmic Euler-Maruyama t…
In this paper, we study the polynomial stability of analytical solution and convergence of the semi-implicit Euler method for non-linear stochastic pantograph differential equations. Firstly, the sufficient conditions for solutions to grow…
In this paper we propose a new numerical method for solving stochastic differential equations (SDEs). As an application of this method we propose an explicit numerical scheme for a super linear SDE for which the usual Euler scheme diverges.
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.…
In this paper, a general theorem on the equivalence of pth moment stability between stochastic differential delay equations (SDDEs) and their numerical methods is proved under the assumptions that the numerical methods are strongly…
The aim of this paper is to study weak and strong convergence of the Euler--Maruyama scheme for a solution of one-dimensional degenerate stochastic differential equation $\mathrm{d} X_t=\sigma(X_t) \mathrm{d} W_t$ with non-sticky condition.…
This paper presents and analyzes the compensated projected Euler-Maruyama method for stochastic differential equations with jumps under a global monotonicity condition. Compared with existing conditions, this condition allows the…
The present work concerns the derivation of a numerical scheme to approximate weak solutions of the Euler equations with a gravitational source term. The designed scheme is proved to be fully well-balanced since it is able to exactly…
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…
Consider the following stochastic differential equation driven by multiplicative noise on $\mathbb{R}^d$ with a superlinearly growing drift coefficient, \begin{align*} \mathrm{d} X_t = b (X_t) \, \mathrm{d} t + \sigma (X_t) \, \mathrm{d}…
We study in this article the strong rate of convergence of the Euler-Maruyama scheme and associated with the jump-type equation introduced in Li and Mytnik. We obtain the strong rate of convergence under similar assumptions for strong…
We introduce a positivity-preserving numerical scheme for a class of nonlinear stochastic heat equations driven by a purely time-dependent Brownian motion. The construction is inspired by a recent preprint by the authors where…
In this paper we propose a numerical scheme for the class of backward doubly stochastic (BDSDEs) with possible path-dependent terminal values. We prove that our scheme converge in the strong $L^2$-sense and derive its rate of convergence.…
In this paper, we consider stochastic differential equations whose drift coefficient is superlinearly growing and piece-wise continuous, and whose diffusion coefficient is superlinearly growing and locally H\"older continuous. We first…
The Euler scheme is one of the standard schemes to obtain numerical approximations of stochastic differential equations (SDEs). Its convergence properties are well-known in the case of globally Lipschitz continuous coefficients. However, in…
In this paper we consider the Euler-Maruyama scheme for a class ofstochastic delay differential equations driven by a fractional Brownian motion with index $H\in(0,1)$. We establish the consistency of the scheme and study the rate of…
This paper proposes a novel conservative method for numerical computation of general stochastic differential equations in the Stratonovich sense with a conserved quantity. We show that the mean-square order of the method is $1$ if noises…
The backward Euler-Maruyama (BEM) method is employed to approximate the invariant measure of stochastic differential equations, where both the drift and the diffusion coefficient are allowed to grow super-linearly. The existence and…
In this paper, we first establish the existence, uniqueness and H\"older continuity of the solution to stochastic Volterra integral equations with weakly singular kernels. Then, we propose a $\theta$-Euler-Maruyama scheme and a Milstein…
This paper investigates longtime behaviors of the $\theta$-Euler-Maruyama method for the stochastic functional differential equation with superlinearly growing coefficients. We focus on the longtime convergence analysis in mean-square sense…
This paper investigates a numerical probabilistic method for the solution of some semilinear stochastic partial differential equations (SPDEs in short). The numerical scheme is based on discrete time approximation for solutions of systems…