2 papers
math.NA2025
On modified Euler methods for McKean-Vlasov stochastic differential equations with super-linear coefficients
Jiamin Jian, Qingshuo Song, Xiaojie Wang +2
We introduce a new class of numerical methods for solving McKean-Vlasov stochastic differential equations, which are relevant in the context of distribution-dependent or mean-field…
math.NA2024
Weak error analysis for strong approximation schemes of SDEs with super-linear coefficients II: finite moments and higher-order schemes
Yuying Zhao, Xiaojie Wang, Zhongqiang Zhang
This paper is the second in a series of works on weak convergence of one-step schemes for solving stochastic differential equations (SDEs) with one-sided Lipschitz conditions. It i…