4 papers
A Positivity-Preserving Numerical Method for the Free Cox-Ingersoll-Ross Equation
Y. Niu, Z. Peng, J. Wei +2
We introduce a positivity-preserving drift-implicit square-root Euler method for the free Cox--Ingersoll--Ross (CIR) equation driven by free Brownian motion. The method is obtained…
1/2 order convergence rate of Euler-type methods for time-changed stochastic differential equations with super-linearly growing drift and diffusion coefficients
Shuai Wang, Yuanling Niu, Ying Zhang
This paper investigates the strong convergence properties of two Euler-type methods for a class of time-changed stochastic differential equations (TCSDEs) with super-linearly growi…
Convergence rate and exponential stability of backward Euler method for neutral stochastic delay differential equations under generalized monotonicity conditions
Jingjing Cai, Ziheng Chen, Yuanling Niu
This work focuses on the numerical approximations of neutral stochastic delay differential equations with their drift and diffusion coefficients growing super-linearly with respect…
Stochastic theta methods for free stochastic differential equations
Yuanling Niu, Jiaxin Wei, Zhi Yin +1
We introduce free probability analogues of the stochastic theta methods for free stochastic differential equations in this work. Assume that the drift coefficient of the free stoch…