4 papers · 1 filter
Tamed Euler-Maruyama method for SDEs with non-globally Lipschitz drift and multiplicative noise
Xiang Li, Yingjun Mo, Haoran Yang
Consider the following stochastic differential equation driven by multiplicative noise on with a superlinearly growing drift coefficient, \begin{align*} \mathrm{d} X…
Total variation distance between SDEs with stable noise and Brownian motion
Changsong Deng, Xiang Li, Rene L. Schilling +1
We consider a -dimensional stochastic differential equation (SDE) of the form , let be the solution if the driving noise is a -dimen…
Stable central limit theorem in total variation distance
Xiang Li, Lihu Xu, Haoran Yang
Under certain general conditions, we prove that the stable central limit theorem holds in the total variation distance and get its optimal convergence rate for all . Ou…
Unadjusted Langevin Algorithms for SDEs with Hoelder Drift
Xiang Li, Feng-Yu Wang, Lihu Xu
Consider the following stochastic differential equation for on and its Euler-Maruyama (EM) approximation : \begin{align…