Showing math.NAShow all
2 papers · 1 filter
math.NA2024
The truncated EM scheme for multiple-delay SDEs with irregular coefficients and application to stochastic volatility model
Zhuoqi Liu, Zhaohang Wang, Siying Sun +1
This paper focuses on the numerical scheme for multiple-delay stochastic differential equations with partially Hölder continuous drifts and locally Hölder continuous diffusion coef…
math.NA2023
The randomized Milstein scheme for stochastic Volterra integral equations with weakly singular kernels
Zhaohang Wang, Zhuoqi Liu, Shuaibin Gao +1
This paper focuses on the randomized Milstein scheme for approximating solutions to stochastic Volterra integral equations with weakly singular kernels, where the drift coefficient…