Related papers: Stochastic numerical approximation for nonlinear F…
In this paper, we investigate the weak convergence rate of Euler-Maruyama's approximation for stochastic differential equations with irregular drifts. Explicit weak convergence rates are presented if drifts satisfy an integrability…
This work establishes the weak convergence of Euler-Maruyama's approximation for stochastic differential equations (SDEs) with singular drifts under the integrability condition in lieu of the widely used growth condition. This method is…
In this work, we study a stochastic system of N particles associated with the parabolic-parabolic Keller-Segel system. This particle system is singular and non Markovian in that its drift term depends on the past of the particles. When the…
Numerous evolution equations with nonlocal convolution-type interactions have been proposed. In some cases, a convolution was imposed as the velocity in the advection term. Motivated by analyzing these equations, we approximate advective…
We consider a system of Fokker-Planck-Kolmogorov (FPK) equations, where the dependence of the coefficients is nonlinear and nonlocal in time with respect to the unknowns. We extend the numerical scheme proposed and studied recently by the…
We consider in this work the convergence of a split-step Euler type scheme (SSM) for the numerical simulation of interacting particle Stochastic Differential Equation (SDE) systems and McKean-Vlasov Stochastic Differential Equations…
This work focuses on the mean field stochastic partial differential equations with nonlinear kernels. We first prove the existence and uniqueness of strong and weak solutions for mean field stochastic partial differential equations in the…
We consider the asymptotic behavior of the fluctuations for the empirical measures of interacting particle systems with singular kernels. We prove that the sequence of fluctuation processes converges in distribution to a generalized…
In this paper, we establish the weak convergence rate of density-dependent stochastic differential equations with bounded drift driven by $\alpha$-stable processes with $\alpha\in(1,2)$. The well-posedness of these equations has been…
We consider the Euler-Maruyama approximation for multi-dimensional stochastic differential equations with irregular coefficients. We provide the rate of strong convergence where the possibly discontinuous drift coefficient satisfies a…
We perform a numerical approximation of coherent sets in finite-dimensional smooth dynamical systems by computing singular vectors of the transfer operator for a stochastically perturbed flow. This operator is obtained by solution of a…
We introduce a semi-implicit Euler-Maruyama approximation which preservers the non-colliding property for some class of non-colliding particle systems such as Dyson Brownian motions, Dyson-Ornstein-Uhlenbeck processes and Brownian particles…
In this paper, we study the Euler--Maruyama scheme for a particle method to approximate the McKean--Vlasov dynamics of calibrated local-stochastic volatility (LSV) models. Given the open question of well-posedness of the original problem,…
We derive non-linear stochastic Fokker-Planck equation from stochastic systems particles with individual and environmental noise via relative entropy method, with pathwise quantitative bounds. Moreover, we prove the existence of a unique…
We study the convergence of a generic tamed Euler-Maruyama (EM) scheme for the kinetic type stochastic differential equations (SDEs) (also known as second order SDEs) with singular coefficients in both weak and strong probabilistic senses.…
In this paper, we study the long time behaviour of the Fokker-Planck and the kinetic Fokker-Planck equations with many body interaction, more precisely with interaction defined by U-statistics, whose macroscopic limits are often called…
An implicit Euler--Maruyama method with non-uniform step-size applied to a class of stochastic partial differential equations is studied. A spectral method is used for the spatial discretization and the truncation of the Wiener process. A…
In this paper, we consider particle systems with interaction and Brownian motion. We prove that when the initial data is from the sampling of Chorin's method, i.e., the initial vertices are on lattice points $hi\in \mathbb{R}^d$ with mass…
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…
We consider the approximation of stochastic differential equations (SDEs) with non-Lipschitz drift or diffusion coefficients. We present a modified explicit Euler-Maruyama discretisation scheme that allows us to prove strong convergence,…