3 papers
math.PR2025
Central limit theorem of Multilevel Monte Carlo Euler estimators for Stochastic Volterra equations with fractional kernels
Shanqi Liu, Yaozhong Hu, Hongjun Gao
This paper is devoted to proving a (Lindeberg-Feller type ) central limit theorem for the multilevel Monte Carlo estimator associated with the Euler discretization scheme for the s…
math.PR2024
Limit error distributions of Milstein scheme for stochastic Volterra equations with singular kernels
Shanqi Liu, Yaozhong Hu, Hongjun Gao
For stochastic Volterra equations driven by standard Brownian and with singular kernels , it is known that the Milstein scheme has a…
math.PR2023
Volterra type McKean-Vlasov SDEs with singular kernels: Well-posedness, Propagation of Chaos and Euler schemes
Shanqi Liu, Hongjun Gao
In this paper, our work is devoted to studying Volterra type McKean-Vlasov stochastic differential equations with singular kernels. Firstly, the well-posedness of Volterra type McK…