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math.NA2026
Adaptive Time-Stepping Euler--Maruyama Scheme for SDEs with Non-Globally Lipschitz Coefficients: Uniform Convergence, Stability and Ergodicity
Xueqi Wen, Shan Huang, Xiaoyue Li
This paper develops an adaptive time-stepping Euler--Maruyama scheme for stochastic differential equations (SDEs) with non-globally Lipschitz drift and diffusion coefficients. By d…
math.NA2026
Approximation of invariant measures for stochastic functional differential equations with infinite delay via an explicit finite-memory scheme
Guozhen Li, Shan Huang, Guoting Song +2
Owing to the intrinsic computational limitation that infinite memory cannot be stored numerically, the approximation of invariant probability measures (IPMs) for stochastic functio…
math.NA2025
Discretization, Uniform-in-Time Estimations and Approximation of Invariant Measures for Nonlinear Stochastic Differential Equations with Non-Uniform Dissipativity
Shan Huang, Xiaoyue Li
The approximation of invariant measures for nonlinear ergodic stochastic differential equations (SDEs) is a central problem in scientific computing, with important applications in…