5 papers
Convergence and stability of truncated Euler-Maruyama algorithm for stochastic proportional delay Mckean-Vlasov models with jump process
Amr Abosenna, Zhuoqi Liu
Stochastic Mckean-Vlasov models have a substantial importance in different fields such as finance, biology and control. This paper puts the light on stochastic proportional delay M…
McKean-Vlasov stochastic differential equations with super-linear measure arguments: well-posedness and propagation of chaos
Zhuoqi Liu, Qian Guo, Shuaibin Gao +1
This paper studies McKean-Vlasov stochastic differential equations (MVSDEs) whose drift coefficients grow super-linearly in both state variables and measure arguments, and whose di…
Propagation of chaos in infinite horizon and numerical stability for stochastic McKean-Vlasov equations
Zhuoqi Liu, Shuaibin Gao, Chenggui Yuan +1
This paper focuses on the numerical stability of stochastic McKean-Vlasov equations (SMVEs) via the stochastic particle method. Firstly, the long-time propagation of chaos in the m…
Numerical scheme for delay-type stochastic McKean-Vlasov equations driven by fractional Brownian motion
Shuaibin Gao, Qian Guo, Zhuoqi Liu +1
This paper focuses on the numerical scheme for delay-type stochastic McKean-Vlasov equations (DSMVEs) driven by fractional Brownian motion with Hurst parameter $H\in (0,1/2)\cup (1…
The truncated EM scheme for multiple-delay SDEs with irregular coefficients and application to stochastic volatility model
Zhuoqi Liu, Zhaohang Wang, Siying Sun +1
This paper focuses on the numerical scheme for multiple-delay stochastic differential equations with partially Hölder continuous drifts and locally Hölder continuous diffusion co…