6 papers · 1 filter
Convergence and stability of truncated Euler-Maruyama algorithm for stochastic proportional delay Mckean-Vlasov models with jump process
Amr Abosenna, Zhuoqi Liu
Stochastic Mckean-Vlasov models have a substantial importance in different fields such as finance, biology and control. This paper puts the light on stochastic proportional delay M…
Numerical scheme for delay-type stochastic McKean-Vlasov equations driven by fractional Brownian motion
Shuaibin Gao, Qian Guo, Zhuoqi Liu +1
This paper focuses on the numerical scheme for delay-type stochastic McKean-Vlasov equations (DSMVEs) driven by fractional Brownian motion with Hurst parameter $H\in (0,1/2)\cup (1…
The truncated EM scheme for multiple-delay SDEs with irregular coefficients and application to stochastic volatility model
Zhuoqi Liu, Zhaohang Wang, Siying Sun +1
This paper focuses on the numerical scheme for multiple-delay stochastic differential equations with partially Hölder continuous drifts and locally Hölder continuous diffusion coef…
The randomized Milstein scheme for stochastic Volterra integral equations with weakly singular kernels
Zhaohang Wang, Zhuoqi Liu, Shuaibin Gao +1
This paper focuses on the randomized Milstein scheme for approximating solutions to stochastic Volterra integral equations with weakly singular kernels, where the drift coefficient…
Propagation of chaos in infinite horizon and numerical stability for stochastic McKean-Vlasov equations
Zhuoqi Liu, Shuaibin Gao, Chenggui Yuan +1
This paper focuses on the numerical stability of stochastic McKean-Vlasov equations (SMVEs) via the stochastic particle method. Firstly, the long-time propagation of chaos in the m…
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…