3 papers
math.NA2026
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).…
math.NA2024
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…
math.NA2021
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…