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We study a delayed stochastic interest rate model with superlinearly growing coefficients and develop novel analytical tools to investigate the properties of both the true solution and its truncated Euler-Maruyama (TEM) approximation. In…
In this paper, we present a study on the Ulam-Hyers and Ulam-Hyers-Rassias stabilities of the solution of the fractional functional differential equation using the Banach fixed point theorem.
The strong convergence of the semi-implicit Euler-Maruyama (EM) method for stochastic differential equations with non-linear coefficients driven by a class of L\'evy processes is investigated. The dependence of the convergence order of the…
In this paper, we are concerned with convergence rate of Euler-Maruyama scheme for stochastic differential equations with rough coefficients. The key contributions lie in (i), by means of regularity of non-degenerate Kolmogrov equation, we…
The paper presents methods of eigenvalue localisation of regular matrix polynomials, in particular, stability of matrix polynomials is investigated. For this aim a stronger notion of hyperstability is introduced and widely discussed. Matrix…
We study stable solutions to fractional semilinear equations $(-\Delta)^s u = f(u)$ in $\Omega \subset \mathbb{R}^n$, for convex nonlinearities $f$, and under the Dirichlet exterior condition $u=g$ in $\mathbb{R}^n \setminus \Omega$ with…
This paper addresses the challenging numerical simulation of nonlinear hybrid stochastic functional differential equations with infinite delays. We first propose an explicit scheme using space and time truncation, requiring only finite…
Many stochastic differential equations that occur in financial modelling do not satisfy the standard assumptions made in convergence proofs of numerical schemes that are given in textbooks, i.e., their coefficients and the corresponding…
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…
We examine the existence and uniqueness of invariant measures of a class of stochastic partial differential equations with Gaussian and Poissonian noise and its exponential convergence. This class especially includes a case of stochastic…
We consider solutions of the Cauchy problem for semilinear equations with (possibly) different L\'evy operators. We provide various results on their convergence under the assumption that symbols of the involved operators converge to the…
We investigate errors in tangents and adjoints of implicit functions resulting from errors in the primal solution due to approximations computed by a numerical solver. Adjoints of systems of linear equations turn out to be unconditionally…
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}…
This paper considers the initial value problem of general nonlinear stochastic fractional integro-differential equations with weakly singular kernels. Our effort is devoted to establishing some fine estimates to include all the cases of…
This paper is devoted to the study of rigidity properties for special solutions of nonlinear elliptic partial differential equations on smooth, boundaryless Riemannian manifolds. As far as stable solutions are concerned, we derive a new…
Stochastic differential equations with noisy memory are often impossible to solve analytically. Therefore, we derive a numerical Euler-Maruyama scheme for such equations and prove that the mean-square error of this scheme is of order…
We consider the problem of finding optimally stable polynomial approximations to the exponential for application to one-step integration of initial value ordinary and partial differential equations. The objective is to find the largest…
We study the strong rates of the Euler-Maruyama approximation for one dimensional stochastic differential equations whose drift coefficient may be neither continuous nor one-sided Lipschitz and diffusion coefficient is H\"older continuous.…
In this paper we study a type of stochastic McKean-Vlasov equations with non-Lipschitz coefficients. Firstly, by an Euler-Maruyama approximation existence of its weak solutions is proved. And then we observe pathwise uniqueness of its weak…
We introduce free probability analogues of the stochastic theta methods for free stochastic differential equations in this work. Assume that the drift coefficient of the free stochastic differential equations is operator Lipschitz and the…