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math.NA2025
Strong convergence of the adaptive Milstein method for nonlinear stochastic differential equations with piecewise continuous arguments
Yuhang Zhang, Minghui Song, Jiaqi Zhu
In this work, an adaptive time-stepping Milstein method is constructed for stochastic differential equations with piecewise continuous arguments (SDEPCAs), where the drift is one-s…
math.NA2025
Dimension-independent convergence rate of propagation of chaos and numerical analysis for McKean-Vlasov stochastic differential equations with coefficients nonlinearly dependent on measure
Yuhang Zhang, Minghui Song
In contrast to ordinary stochastic differential equations (SDEs), the numerical simulation of McKean-Vlasov stochastic differential equations (MV-SDEs) requires approximating the d…