13 papers
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…
The adaptive EM schemes for McKean-Vlasov SDEs with common noise in finite and infinite horizons
Hu Liu, Shuaibin Gao, Junhao Hu
This paper is dedicated to investigating the adaptive Euler-Maruyama (EM) schemes for the approximation of McKean-Vlasov stochastic differential equations (SDEs) with common noise.…
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 coef…
The randomized Milstein scheme for stochastic Volterra integral equations with weakly singular kernels
Zhaohang Wang, Zhuoqi Liu, Shuaibin Gao +1
This paper focuses on the randomized Milstein scheme for approximating solutions to stochastic Volterra integral equations with weakly singular kernels, where the drift coefficient…
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…
Convergence rate in sense of tamed EM scheme for highly nonlinear neutral multiple-delay stochastic McKean-Vlasov equations
Shuaibin Gao, Qian Guo, Junhao Hu +1
This paper focuses on the numerical scheme of highly nonlinear neutral multiple-delay stohchastic McKean-Vlasov equation (NMSMVE) by virtue of the stochastic particle method. First…
Mean-square convergence and stability of the backward Euler method for stochastic differential delay equations with highly nonlinear growing coefficients
Zhuoqi Liu, Qian Guo, Shuaibin Gao
Over the last few decades, the numerical methods for stochastic differential delay equations (SDDEs) have been investigated and developed by many scholars. Nevertheless, there is s…
An explicit Euler method for McKean-Vlasov SDEs driven by fractional Brownian motion
Jie He, Shuaibin Gao, Weijun Zhan +1
In this paper, we establish the theory of chaos propagation and propose an Euler-Maruyama scheme for McKean-Vlasov stochastic differential equations driven by fractional Brownian m…
The truncated -Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations
Shuaibin Gao, Junhao Hu, Jie He +1
This paper focuses on the strong convergence of the truncated -Milstein method for a class of nonautonomous stochastic differential delay equations whose drift and diffusion coe…
Stabilization of stochastic McKean-Vlasov equations with feedback control based on discrete-time state observation
Hao Wu, Junhao Hu, Shuaibin Gao +1
In this paper, we study the stability of solutions of stochastic McKean-Vlasov equations (SMVEs) via feedback control based on discrete-time state observation. By using a specific…
Strong convergence rate of the truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps
Shuaibin Gao, Junhao Hu, Li Tan +1
In this paper, we study a class of super-linear stochastic differential delay equations with Poisson jumps (SDDEwPJs). The convergence and rate of the convergence of the truncated…
The Strong Convergence and Stability of Explicit Approximations for Nonlinear Stochastic Delay Differential Equations
Guoting Song, Junhao Hu, Shuaibin Gao +1
This paper focuses on explicit approximations for nonlinear stochastic delay differential equations (SDDEs). Under the weakly local Lipschitz and some suitable conditions, a generi…