3 citations · 4 across the 4 of their papers we have counts for
4 papers
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…
A note on convergence and stability of the truncated Milstein method for stochastic differential equations
Weijun Zhan, Yanan Jiang, Wei Liu
Some new techniques are employed to release significantly the requirements on the step size of the truncated Milstein method, which was originally developed in Guo, Liu, Mao and Yu…
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…
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…