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Convergence of EM Scheme for Neutral Stochastic Differential Delay Equations
Yanting Ji, Jianhai Bao, Chenggui Yuan
In this paper, we are concerned with convergence rate of Euler-Maruyama (EM) scheme for stochastic differential delay equations (SDDEs) of neutral type, where the neutral term, the…
A Strong Limit Theorem for Two-Time-Scale Fucntional Stochastic Differential Equations
Jianhai Bao, Qingshuo Song, George Yin +1
This paper focuses on a class of two-time-scale functional stochastic differential equations, where the phase space of the segment processes is infinite-dimensional. It develops er…
Neutral Stochastic Differential Delay Equations with Locally Monotone Coefficients
Yanting Ji, Qingshuo Song, Chenggui Yuan
In this paper, we prove the existence and uniqueness of the solution for neutral stochastic differential delay equations with locally monotone coefficients by using numerical appro…
Hypercontractivity for Functional Stochastic Partial Differential Equations
Jianhai Bao, Feng-Yu Wang, Chenggui Yuan
Explicit sufficient conditions on the hypercontractivity are presented for two classes of functional stochastic partial differential equations driven by, respectively, non-degenera…
Hypercontractivity and Its Applications for Functional SDEs of Neutral Type
Jianhai Bao, Chenggui Yuan
In this paper, we discuss hypercontractivity for the Markov semigroup which is generated by segment processes associated with a range of functional SDEs of neutral type. As a…