Related papers: Stability equivalence for stochastic differential …
In a previous paper, we studied the ergodic properties of an Euler scheme of a stochastic differential equation with a Gaussian additive noise in order to approximate the stationary regime of such equation. We now consider the case of…
The solvability and stability analysis of linear time invariant systems of delay differential-algebraic equations (DDAEs) is analyzed. The behavior approach is applied to DDAEs in order to establish characterizations of their solvability in…
In this paper, we study the long-time stability behavior of a class of linear stochastic evolution equations in a Hilbert space with multiplicative noise. Explicit sufficient conditions for $p$-th moment and almost sure exponential…
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.
The aim of this study is to find a generic method for generating a path of the solution of a given stochastic differential equation which is more efficient than the standard Euler-Maruyama scheme with Gaussian increments. First we…
In this article we propose a new explicit Euler-type approximation method for stochastic differential equations (SDEs). In this method, Brownian increments in the recursion of the Euler method are replaced by suitable bounded functions of…
In this paper, we study the numerical method for solving forward-backward stochastic differential equations driven by $G$-Brownian motion ($G$-FBSDEs) which correspond to fully nonlinear partial differential equations (PDEs). First, we give…
It is well-known that the exponential stability of Integral Difference Equations and Delay Difference Equations, in the usual state space of continuous functions, is equivalent to the location of the roots of its associated characteristic…
In this paper, we consider a numerical approximation of the stochastic differential equation (SDE) $$X_{t}=x_{0}+ \int_{0}^{t} b(s, X_{s}) \mathrm{d}s + L_{t},~x_{0} \in \mathbb{R}^{d},~t \in [0,T],$$ where the drift coefficient $b:[0,T]…
In this paper, we derive error estimates of the backward Euler-Maruyama method applied to multi-valued stochastic differential equations. An important example of such an equation is a stochastic gradient flow whose associated potential is…
In this paper, we consider backward stochastic differential equations driven by $G$-Brownian motion (GBSDEs) under quadratic assumptions on coefficients. We prove the existence and uniqueness of solution for such equations. On the one hand,…
This article investigates the stability of pantograph delay differential equations, in which the delayed argument is proportional to the present time. We derive analytic criteria that partition the parameter plane into unstable,…
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…
An explicit numerical method is developed for a class of non-autonomous time-changed stochastic differential equations, whose coefficients obey H\"older's continuity in terms of the time variables and are allowed to grow super-linearly in…
In this manuscript, we investigate a fractional stochastic neutral differential equation with time delay, which includes both deterministic and stochastic components. Our primary objective is to rigorously prove the existence of a unique…
In this paper, we study the reflected stochastic differential equations driven by G-Brownian motion (reflected G-SDEs) with two nonlinear constraints. With the help of the Skorokhod problem with nonlinear constraints, we first study the…
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 introduce a new method to study the doubly reflected backward stochastic differential equation driven by G-Brownian motion (G-BSDE). Our approach involves approximating the solution through a family of penalized reflected…
We give a new take on the error analysis of approximations of stochastic differential equations (SDEs), utilizing and developing the stochastic sewing lemma of L\^e (2020). This approach allows one to exploit regularization by noise effects…
The strong convergence of numerical methods for stochastic differential equations (SDEs) for $t\in[0,\infty)$ is proved. The result is applicable to any one-step numerical methods with Markov property that have the finite time strong…