Related papers: Exponential Euler method for stiff SDEs driven by …
We study the estimation of the invariant density of additive fractional stochastic differential equations with Hurst parameter $H \in (0,1)$. We first focus on continuous observations and develop a kernel-based estimator achieving faster…
Euler-Maruyama method is studied to approximate stochastic differential equations driven by the symmetric $\alpha$-stable additive noise with the $\beta$ H\"older continuous drift coefficient. When $\alpha \in (1,2)$ and $\beta \in…
We investigate the problem of the rate of convergence to equilibrium for ergodic stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H\textgreater{}1/2$ and multiplicative noise component $\sigma$.…
We study the error of the Euler scheme applied to a stochastic partial differential equation. We prove that as it is often the case, the weak order of convergence is twice the strong order. A key ingredient in our proof is Malliavin…
We consider the explicit numerical approximations of stochastic differential equations (SDEs) driven by Brownian process and Poisson jump. It is well known that under non-global Lipschitz condition, Euler Explicit method fails to converge…
This paper is concerned with the numerical approximation of stochastic ordinary differential equations, which satisfy a global monotonicity condition. This condition includes several equations with super-linearly growing drift and diffusion…
We consider a numerical approximation of a linear quadratic control problem constrained by the stochastic heat equation with non-homogeneous Neumann boundary conditions. This involves a combination of distributed and boundary control, as…
We study the numerical approximation of SDEs with singular drifts (including distributions) driven by a fractional Brownian motion. Under the Catellier-Gubinelli condition that imposes the regularity of the drift to be strictly greater than…
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 deals with the backward Euler method applied to semilinear parabolic stochastic partial differential equations (SPDEs) driven by additive noise. The SPDE is discretized in space by the finite element method and in time by the…
In this paper, a modified Euler-Maruyama (EM) method is constructed for a kind of multi-term Riemann-Liouville stochastic fractional differential equations and the strong convergence order min{1-{\alpha}_m, 0.5} of the proposed method is…
We consider controlled differential equations and give new estimates for higher order Euler schemes. Our proofs are inspired by recent work of A. M. Davie who considers first and second order schemes. In order to implement the general case…
We study the strong approximation of stochastic differential equations with discontinuous drift coefficients and (possibly) degenerate diffusion coefficients. To account for the discontinuity of the drift coefficient we construct an…
The convergence of the first order Euler scheme and an approximative variant thereof, along with convergence rates, are established for rough differential equations driven by c\`adl\`ag paths satisfying a suitable criterion, namely the…
This paper aims to investigate the numerical approximation of semilinear non-autonomous stochastic partial differential equations (SPDEs) driven by multiplicative or additive noise. Such equations are more realistic than autonomous SPDEs…
Stiff systems of ordinary differential equations (ODEs) arise in a wide range of scientific and engineering disciplines and are traditionally solved using implicit integration methods due to their stability and efficiency. However, these…
We consider finite element approximations for a one dimensional second order stochastic differential equation of boundary value type driven by a fractional Brownian motion with Hurst index $H\le 1/2$. We make use of a sequence of…
We consider the time discretization of fractional stochastic wave equation with Gaussian noise, which is negatively correlated. Major obstacles to design and analyze time discretization of stochastic wave equation come from the…
We consider a higher-order Milstein scheme for stochastic partial differential equations with trace class noise which fulfill a certain commutativity condition. A novel technique to generally improve the order of convergence of Taylor…
This article is concerned with stochastic differential equations driven by a $d$ dimensional fractional Brownian motion with Hurst parameter $H>1/4$, understood in the rough paths sense. Whenever the coefficients of the equation satisfy a…