17 citations · 17 across the 5 of their papers we have counts for
5 papers
Segment convergence for super-linear stochastic functional differential equations by the truncated Euler-Maruyama method
Shounian Deng, Weiyin Fei, Banban Shi
Most existing literature focuses on pointwise convergence (i.e., convergence at a fixed time point) of numerical solutions for Stochastic functional differential equations (SFDEs).…
Positivity-preserving truncated Euler and Milstein methods for financial SDEs with super-linear coefficients
Shounian Deng, Chen Fei, Weiyin Fei +1
In this paper, we propose two variants of the positivity-preserving schemes, namely the truncated Euler-Maruyama (EM) method and the truncated Milstein scheme, applied to stochasti…
The truncated EM method for stochastic differential delay equations with variable delay
Shounian Deng, Chen Fei, Weiyin Fei +1
This paper mainly investigates the strong convergence and stability of the truncated Euler-Maruyama (EM) method for stochastic differential delay equations with variable delay whos…
Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
Shounian Deng, Chen Fei, Weiyin Fei +1
In this paper, we consider the generalized Ait-Sahaliz interest rate model with Poisson jumps in finance. The analytical properties including the positivity, boundedness and pathwi…
The truncated EM method for stochastic differential equations with Poisson jumps
Shounian Deng, Weiyin Fei, Wei Liu +1
In this paper, we use the truncated EM method to study the finite time strong convergence for the SDEs with Poisson jumps under the Khasminskii-type condition. We establish the fin…