Related papers: Strong solutions and sharp Euler--Maruyama approxi…
Based on a compactness criterion for random fields in Wiener-Sobolev spaces, in this paper, we prove the unique strong solvability of time-inhomogeneous stochastic differential equations with drift coefficients in critical Lebesgue spaces,…
This paper investigates the strong convergence properties of two Euler-type methods for a class of time-changed stochastic differential equations (TCSDEs) with super-linearly growing drift and diffusion coefficients. Building upon existing…
Let $(X_t)_{t \ge 0}$ be the solution of the stochastic differential equation $$dX_t = b(X_t) dt+A dZ_t, \quad X_{0}=x,$$ where $b: \mathbb{R}^d \rightarrow \mathbb R^d$ is a Lipschitz function, $A \in \mathbb R^{d \times d}$ is a positive…
In this paper we investigate the convergence rate of Euler-Maruyama scheme for a class of stochastic differential delay equations, where the corresponding coefficients may be highly nonlinear with respect to the delay variables. In…
This is the second part of study on the optimal convergence rate of the explicit Euler discretization in time for the convection-diffusion equations [Appl. Math. Lett. \textbf{131} (2022) 108048] which focuses on high-dimensional…
In this paper we study the problem of computing the effective diffusivity for a particle moving in chaotic and stochastic flows. In addition we numerically investigate the residual diffusion phenomenon in chaotic advection. The residual…
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…
This paper mainly investigates the strong convergence and stability of the truncated Euler-Maruyama (EM) method for stochastic differential delay equations with variable delay whose coefficients can be growing super-linearly. By…
The paper establishes the strong convergence rates of a spatio-temporal full discretization of the stochastic wave equation with nonlinear damping in dimension one and two. We discretize the SPDE by applying a spectral Galerkin method in…
We develop and analyze a general class of Euler-type numerical schemes for Levy-driven McKean-Vlasov stochastic differential equations (SDEs), where the drift, diffusion and jump coefficients grow super-linearly in the state variable. These…
We investigate the homogeneous Dirichlet problem for the Fast Diffusion Equation $u_t=\Delta u^m$, posed in a smooth bounded domain $\Omega\subset \mathbb{R}^N$, in the exponent range $m_s=(N-2)_+/(N+2)<m<1$. It is known that bounded…
We derive strong Lp convergence rates for the Euler-Maruyama schemes of Levy-driven SDE using a new dynamic cutting (DC) method with a time-dependent jump threshold. In addition, we present results from numerical simulations comparing the…
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…
In this article, we construct and analyse an explicit numerical splitting method for a class of semi-linear stochastic differential equations (SDEs) with additive noise, where the drift is allowed to grow polynomially and satisfies a global…
We discuss numerical approximation methods for Random Time Change equations which possess a deterministic drift part and jump with state-dependent rates. It is first established that solutions to such equations are versions of certain…
In this paper, we examine the performance of randomised Euler-Maruyama (EM) method for additive time-inhomogeneous SDEs with an irregular drift driven by symmetric $\alpha$-table process, $\alpha\in (1,2)$. In particular, the drift is…
We study the weak approximation error of a skew diffusion with bounded measurable drift and H\"older diffusion coefficient by an Euler-type scheme, which consists of iteratively simulating skew Brownian motions with constant drift. We first…
Existence, uniqueness, and $L_p$-approximation results are presented for scalar stochastic differential equations (SDEs) by considering the case where, the drift coefficient has finitely many spatial discontinuities while both coefficients…
We are interested in the Euler-Maruyama dicretization of the formal SDE, $dX_t=b(t,X_t)dt+dZ_t$, where $Z$ is a symmetric isotropic d dimensional stable process of index $\alpha\in (1,2)$, and $b$ is distributional. It belongs to a mix…
In this paper, we develop numerical methods for solving Stochastic Differential Equations (SDEs) with solutions that evolve within a hypercube $D$ in $\mathbb{R}^d$. Our approach is based on a convex combination of two numerical flows, both…