Showing math.PRShow all
2 papers · 1 filter
math.PR2022
Euler's scheme of Mckean-Vlasov SDEs with non-Lipschitz coefficients
Zhen Wang, Jie Ren, Yu Miao
In this paper, we show the strong well-posedness of Mckean-Vlasov SDEs with non-Lipschitz coefficients. Moreover, propagation of chaos and the convergence rate for Euler's scheme o…
math.PR2018
Strong Uniqueness of Degenerate SDEs with Hölder diffusion coefficients
Zhen Wang, Xicheng Zhang
In this paper we prove a new strong uniqueness result and a weak existence result for possibly {\it degenerate} multidimensional stochastic differential equations with Sobolev diff…