4 papers
Explicit numerical approximations for McKean-Vlasov stochastic differential equations in finite and infinite time
Yuanping Cui, Xiaoyue Li, Yi Liu +1
Inspired by the stochastic particle method, this paper establishes an easily implementable explicit numerical method for McKean-Vlasov stochastic differential equations (MV-SDEs) w…
An explicit adaptive time-stepping scheme for superlinear stochastic diffusion systems
Xueqi Wen, Guozhen Li, Yuanping Cui +1
This paper develops an adaptive time-stepping Euler--Maruyama (EM) scheme for stochastic diffusion systems with superlinearly growing coefficients. The adaptive timestep is chosen…
Strong convergence of multiscale truncated Euler-Maruyama method for super-linear slow-fast stochastic differential equations
Yuanping Cui, Xiaoyue Li, Xuerong Mao
This manuscript is dedicated to the numerical approximation of super-linear slow-fast stochastic differential equations (SFSDEs). Borrowing the heterogeneous multiscale idea, we pr…
The convergence of the EM scheme in empirical approximation of invariant probability measure for McKean-Vlasov SDEs
Cui Yuanping, Li Xiaoyue
Based on the assumption of the existence and uniqueness of the invariant measure for McKean-Vlasov stochastic differential equations (MV-SDEs), a self-interacting process that depe…