59 citations · 62 across the 7 of their papers we have counts for
7 papers
Mean-square convergence and stability of the backward Euler method for stochastic differential delay equations with highly nonlinear growing coefficients
Zhuoqi Liu, Qian Guo, Shuaibin Gao
Over the last few decades, the numerical methods for stochastic differential delay equations (SDDEs) have been investigated and developed by many scholars. Nevertheless, there is s…
An explicit Euler method for McKean-Vlasov SDEs driven by fractional Brownian motion
Jie He, Shuaibin Gao, Weijun Zhan +1
In this paper, we establish the theory of chaos propagation and propose an Euler-Maruyama scheme for McKean-Vlasov stochastic differential equations driven by fractional Brownian m…
The truncated -Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations
Shuaibin Gao, Junhao Hu, Jie He +1
This paper focuses on the strong convergence of the truncated -Milstein method for a class of nonautonomous stochastic differential delay equations whose drift and diffusion coe…
The Partially Truncated Euler-Maruyama Method for super-linear Stochastic Delay Differential Equations with variable delay and Markovian switching
Yuhao Cong, Weijun Zhan, Qian Guo
A class of super-linear stochastic delay differential equations (SDDEs) with variable delay and Markovian switching is considered. The main aim of this paper is to develop the part…
The truncated milstein method for stochastic differential equations
Qian Guo, Wei Liu, Xuerong Mao +1
Inspired by the truncated Euler-Maruyama method developed in Mao (J. Comput. Appl. Math. 2015), we propose the truncated Milstein method in this paper. The strong convergence rate…
The Truncated Euler-Maruyama Method for Stochastic Differential Delay Equations
Qian Guo, Xuerong Mao, Rongxian Yue
The numerical solutions of stochastic differential delay equations (SDDEs) under the generalized Khasminskii-type condition were discussed by Mao [15], and the theory there showed…
Multi-level Monte Carlo methods with the Truncated Euler-Maruyama Scheme for Stochastic Differential Equations
Qian Guo, Wei Liu, Xuerong Mao +1
In this paper, the truncated Euler-Maruyama (EM) method is employed together with the Multi-level Monte Carlo (MLMC) method to approximate the expectations of functions of solution…