5 papers · 1 filter
Long-time Behaviour of DLRA for SDEs
Jianhai Bao, Haitao Wang, Yue Wu
We study dynamical orthogonal (DO) approximations of stochastic differential equations and investigate their long-time behaviour. The DO formulation represents the solution by a lo…
Randomised Euler-Maruyama Method for SDEs with Hölder Continuous Drift Coefficient Driven by -stable Lévy Process
Jianhai Bao, Haitao Wang, Yue Wu +1
In this paper, we examine the performance of randomised Euler-Maruyama (EM) method for additive time-inhomogeneous SDEs with an irregular drift driven by symmetric -table proce…
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 cla…
Randomised Euler-Maruyama method for SDEs with Hölder continuous drift coefficient
Jianhai Bao, Yue Wu
In this paper, we examine the performance of randomised Euler-Maruyama (EM) method for additive time-inhomogeneous SDEs with an irregular drift. In particular, the drift is assumed…
The random periodic solutions for McKean-Vlasov stochastic differential equations
Jianhai Bao, Goncalo Dos Reis, Yue Wu
In this paper, we study well-posedness of random periodic solutions of stochastic differential equations (SDEs) of McKean-Vlasov type driven by a two-sided Brownian motion, where t…