5 papers
A diffusion time-changed stochastic SIS epidemic model: well-posedness, long-time behavior, and numerical approximation
Xiaotong Li, Huaqian Zhou, Ruchun Zuo
In this paper, we propose and analyze a diffusion time-changed susceptible-infected-susceptible (SIS) epidemic model driven by time-changed Brownian motion. We prove that the propo…
Invariant measures of the stochastic theta method for stochastic differential equations with super-linearly growing coefficients
Xiaotong Li, Wei Liu, Wenjie Xiao
The stochastic theta method is proposed to approximate invariant measures of stochastic differential equations (SDEs), both of whose drift and diffusion coefficients may grow super…
Explicit positivity preserving numerical method for linear stochastic volatility models driven by -stable process
Xiaotong Li, Wei Liu, Xuerong Mao +2
In this paper, we introduce a linear stochastic volatility model driven by -stable processes, which admits a unique positive solution. To preserve positivity, we modify the clas…
The semi-implicit Euler-Maruyama method for nonlinear non-autonomous stochastic differential equations driven by a class of Lévy processes
Xiaotong Li, Wei Liu, Hongjiong Tian
The strong convergence of the semi-implicit Euler-Maruyama (EM) method for stochastic differential equations with non-linear coefficients driven by a class of Lévy processes is inv…
Truncated Euler-Maruyama method for time-changed stochastic differential equations with super-linear state variables and Hölder's continuous time variables
Xiaotong Li, Wei Liu, Tianjiao Tang
An explicit numerical method is developed for a class of non-autonomous time-changed stochastic differential equations, whose coefficients obey Hölder's continuity in terms of the…