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We propose a new scheme for the long time approximation of a diffusion when the drift vector field is not globally Lipschitz. Under this assumption, regular explicit Euler scheme --with constant or decreasing step-- may explode and implicit…

We study a stochastic Hamiltonian system of $N$ particles with many particles interacting through a potential whose range is large in comparison with the typical distance between neighbouring particles. It is shown that the empirical…

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…

This paper studies the numerical methods to approximate the solutions for a sort of McKean-Vlasov neutral stochastic differential delay equations (MV-NSDDEs) that the growth of the drift coefficients is super-linear. First, We obtain that…

We present upper bounds for the Wasserstein distance of order $p$ between the marginals of L\'evy processes, including Gaussian approximations for jumps of infinite activity. Using the convolution structure, we further derive upper bounds…

The aim of this paper is to present a result of discrete approximation of some class of stable self-similar stationary increments processes. The properties of such processes were intensively investigated, but little is known on the context…

Hybrid stochastic differential equations are a useful tool to model continuously varying stochastic systems which are modulated by a random environment that may depend on the system state itself. In this paper, we establish the pathwise…

We study variational problems for curves approximated by B-spline curves. We show that, one can obtain discrete Euler-Lagrange equations, for the data describing the approximated curves. Our main application is to the curve completion…

We study strong approximation of scalar additive noise driven stochastic differential equations (SDEs) at time point $1$ in the case that the drift coefficient is bounded and has Sobolev regularity $s\in(0,1)$. Recently, it has been shown…

We study three kinetic Langevin samplers including the Euler discretization, the BU and the UBU splitting scheme. We provide contraction results in $L^1$-Wasserstein distance for non-convex potentials. These results are based on a carefully…

We consider a class of stochastic path-dependent volatility models where the stochastic volatility, whose square follows the Cox-Ingersoll-Ross model, is multiplied by a (leverage) function of the spot price, its running maximum, and time.…

This work is devoted to deriving small mass limiting equation for a class of Hamiltonian systems with multiplicative L\'evy noise. Derivation of the limiting equation depends on the structure of the stochastic Hamiltonian systems, in which…

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.

In this paper we deal with global approximation of solutions of stochastic differential equations (SDEs) driven by countably dimensional Wiener process. Under certain regularity conditions imposed on the coefficients, we show lower bounds…

We present strongly convergent explicit and semi-implicit adaptive numerical schemes for systems of stiff stochastic differential equations (SDEs) where both the drift and diffusion are non-globally Lipschitz continuous. This stiffness may…

We present a comprehensive discretization scheme for linear and nonlinear stochastic differential equations (SDEs) driven by either Brownian motions or $\alpha$-stable processes. Our approach utilizes compound Poisson particle…

This paper investigates the approximation of stochastic delay differential equations (SDDEs) via the backward Euler-Maruyama (BEM) method under generalized monotonicity and Khasminskii-type conditions in the infinite horizon. First, by…

Using key tools such as It\^o formula for general semi-martingales, moments estimates for L\'{e}vy-type stochastic integrals and properties of regular varying functions we find conditions under which solutions of stochastic differential…

Via constructing an asymptotic coupling by reflection, in this paper we establish uniform-in-time estimates on probability distances for mean-field type SDEs, where the drift terms under consideration are dissipative merely in the long…

Inverse problems in scientific computing often require optimization over infinite-dimensional Hilbert spaces. A commonly used solver in such settings is stochastic gradient descent (SGD), where gradients are approximated using randomly…