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Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion
Min Li, Yaozhong Hu, Chengming Huang +1
In this paper, we study the mean-square stability of the solution and its stochastic theta scheme for the following stochastic differential equations drive by fractional Brownian m…
Numerical methods for stochastic Volterra integral equations with weakly singular kernels
Min Li, Chengming Huang, Yaozhong Hu
In this paper, we first establish the existence, uniqueness and Hölder continuity of the solution to stochastic Volterra integral equations with weakly singular kernels. Then, we p…
Compensated projected Euler method for stochastic differential equations with jumps under global monotonicity condition
Min Li, Chengming Huang
This paper presents and analyzes the compensated projected Euler-Maruyama method for stochastic differential equations with jumps under a global monotonicity condition. Compared wi…
Projected Euler method for stochastic delay differential equation under a global monotonicity condition
Min Li, Chengming Huang
This paper investigates projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition. This condition admits some equations with…