1 citations · 1 across the 5 of their papers we have counts for
5 papers
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…
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…
Weak error analysis for strong approximation schemes of SDEs with super-linear coefficients
Xiaojie Wang, Yuying Zhao, Zhongqiang Zhang
We present an error analysis of weak convergence of one-step numerical schemes for stochastic differential equations (SDEs) with super-linearly growing coefficients. Following Mils…
Weak error analysis for strong approximation schemes of SDEs with super-linear coefficients
Xiaojie Wang, Yuying Zhao, Zhongqiang Zhang
We present an error analysis of weak convergence of one-step numerical schemes for stochastic differential equations (SDEs) with super-linearly growing coefficients. Following Mils…
On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
Yuying Zhao, Xiaojie Wang, Mengchao Wang
This article aims to reveal the mean-square convergence rate of the backward Euler method (BEM) for a generalized Ait-Sahaliz interest rate model with Poisson jumps. The main diffi…