6 papers · 1 filter
Central limit theorem of Multilevel Monte Carlo Euler estimators for Stochastic Volterra equations with fractional kernels
Shanqi Liu, Yaozhong Hu, Hongjun Gao
This paper is devoted to proving a (Lindeberg-Feller type ) central limit theorem for the multilevel Monte Carlo estimator associated with the Euler discretization scheme for the s…
Limit error distributions of Milstein scheme for stochastic Volterra equations with singular kernels
Shanqi Liu, Yaozhong Hu, Hongjun Gao
For stochastic Volterra equations driven by standard Brownian and with singular kernels , it is known that the Milstein scheme has a…
Asymptotic behaviors for Volterra type McKean-Vlasov stochastic integral equations with small noise
Shanqi Liu, Yaozhong Hu, Hongjun Gao
This work is devoted to studying asymptotic behaviors for Volterra type McKean-Vlasov stochastic differential equations with small noise. By applying the weak convergence approach,…
The Onsager-Machlup action functional for degenerate McKean-Vlasov Stochastic Differential Equations
Shanqi Liu, Hongjun Gao
The purpose of this paper is to investigate the existence of the Onsager-Machlup action functional for degenerate McKean-Vlasov stochastic differential equations. To this end, we f…
The Onsager-Machlup action functional for degenerate SDEs driven by fractional Brownian motion
Shanqi Liu, Hongjun Gao
In this paper, the explicit expression of Onsager-Machlup action functional to degenerate stochastic differential equations driven by fractional Brownian motion is derived provided…
Volterra type McKean-Vlasov SDEs with singular kernels: Well-posedness, Propagation of Chaos and Euler schemes
Shanqi Liu, Hongjun Gao
In this paper, our work is devoted to studying Volterra type McKean-Vlasov stochastic differential equations with singular kernels. Firstly, the well-posedness of Volterra type McK…