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math.PR2026
Strong solutions and sharp Euler--Maruyama approximations for SDEs with Lebesgue--Dini drift
Jinlong Wei, Junhao Hu, Guangying Lv +1
We investigate the strong approximation of stochastic differential equations whose drift is square-integrable in time and Dini continuous in space, while the diffusion coefficient…
math.PR2025
Large Deviation Principle for Neutral Type Mckean-Vlasov Stochastic Differential Equations
Zhaohang Wang, Junhao Hu, Chenggui Yuan
This paper investigates neutral-type McKean-Vlasov stochastic differential equations in which the drift and diffusion coefficients depend on both the segment process and its distri…
math.PR2023
Multilevel Monte Carlo EM scheme for MV-SDEs with small noise
Ulises Botija-Munoz, Chenggui Yuan
In this paper, we estimate the variance of two coupled paths derived with the Multilevel Monte Carlo method combined with the Euler Maruyama discretization scheme for the simulatio…