4 papers
Splitting AVF method for generalized Langevin equations: probability density function and geometric ergodicity
Xinjie Dai, Xingyu Liu, Diancong Jin +1
The generalized Langevin equation (GLE) constitutes a fundamental model for describing nonequilibrium dynamics with memory effects. To overcome the numerical challenges arising fro…
Asymptotic error distribution of Mittag--Leffler Euler method for a fractional stochastic differential equation
Xinjie Dai, Baiping Zhang, Diancong Jin
In this paper, we investigate the asymptotic distribution of the normalized error for the Mittag--Leffler Euler (MLE) method applied to a class of multidimensional fractional stoch…
Strong convergence rate of the positivity-preserving logarithmic truncated EM method for multi-dimensional stochastic differential equations with positive solutions
Xingwei Hu, Xinjie Dai, Aiguo Xiao
As a combination of the logarithmic transformation with the truncated Euler-Maruyama (TEM) scheme, the positivity-preserving logarithmic truncated Euler-Maruyama (LTEM) scheme has…
Strong convergence rate of positivity-preserving truncated Euler--Maruyama method for multi-dimensional stochastic differential equations with positive solutions
Xingwei Hu, Xinjie Dai, Aiguo Xiao
To construct positivity-preserving numerical methods, a vast majority of existing works employ transformation techniques such as the Lamperti transformation or logarithmic transfor…