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We study the dynamics of a continuous-time model of the Stochastic Gradient Descent (SGD) for the least-square problem. Indeed, pursuing the work of Li et al. (2019), we analyze Stochastic Differential Equations (SDEs) that model SGD either…
We construct a family of explicit tamed Euler--Maruyama (TEM) schemes, which can preserve the same Lyapunov structure for super-linear stochastic ordinary differential equations (SODEs) driven by multiplicative noise.These TEM schemes are…
We consider the numerical approximation of a general second order semi--linear parabolic stochastic partial differential equation (SPDE) driven by additive space-time noise. We introduce a new modified scheme using a linear functional of…
Absolute exponential stability problem of delay time-varying systems (DTVS) with sector-bounded nonlinearity is presented in this paper. By using the comparison principle and properties of positive systems we derive several novel criteria…
This paper focuses on the numerical scheme of highly nonlinear neutral multiple-delay stohchastic McKean-Vlasov equation (NMSMVE) by virtue of the stochastic particle method. First, under general assumptions, the results about propagation…
This paper establishes a quantitative stability theory for one-dimensional stochastic differential equations (SDEs) with non-zero drift, driven by a symmetric $\alpha$-stable process for $\alpha\in(1,2)$. Our work generalizes the classical…
In this paper, a multilevel Monte Carlo theta EM scheme is provided for stochastic differential delay equations with small noise. Under a global Lipschitz condition, the variance of two coupled paths is derived. Then, the global Lipschitz…
In this paper, the successive approximation method is applied to investigate the existence and uniqueness of solutions to the stochastic differential equations (SDEs) driven by L\'evy noise under non-Lipschitz condition which is a much…
Khasminski's \cite{chas1980stochastic} showed that many of the asymptotic stability and the integrability properties of the solutions to the Stochastic Differential Equations (SDEs) can be obtained using Lyapunov functions techniques. These…
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…
In this paper, we address stability of parabolic linear Partial Differential Equations (PDEs). We consider PDEs with two spatial variables and spatially dependent polynomial coefficients. We parameterize a class of Lyapunov functionals and…
Delay differential equations (DDEs) with large delays play a pivotal role in understanding stability and bifurcations in systems ranging from neural networks to laser dynamics. While prior work has extensively studied DDEs with discrete…
In this paper, we study the qualitative behaviour of approximation schemes for Backward Stochastic Differential Equations (BSDEs) by introducing a new notion of numerical stability. For the Euler scheme, we provide sufficient conditions in…
This paper is concerned with system of magnetic effected piezoelectric beams with interior time-varying delay and time-dependent weights, in which the beam is clamped at the two side points subject to a single distributed state feedback…
We propose the first $\alpha$-parameterized framework for solving time-changed stochastic differential equations (TCSDEs), explicitly linking convergence rates to the driving parameter of the underlying stochastic processes. Theoretically,…
Since it is difficult to implement implicit schemes on the infinite-dimensional space, we aim to develop the explicit numerical method for approximating super-linear stochastic functional differential equations (SFDEs). Precisely, borrowing…
In this article we introduce several kinds of easily implementable explicit schemes, which are amenable to Khasminski's techniques and are particularly suitable for highly nonlinear stochastic differential equations (SDEs). We show that…
A common task when analysing dynamical systems is the determination of normal forms near local bifurcations of equilibria. As most of these normal forms have been classified and analysed, finding which particular class of normal form one…
In this paper, we are devoted to the numerical methods for mean-field stochastic differential equations with jumps (MSDEJs). First by using the mean-field It\^o formula [Sun, Yang and Zhao, Numer. Math. Theor. Meth. Appl., 10 (2017),…
By establishing the regularity estimates for nonlocal Stein/Poisson equations under $\gamma$-order H\"older and dissipative conditions on the coefficients, we derive the $W_{\bf d}$-convergence rate for the Euler-Maruyama schemes applied to…