1 citations · 1 across the 5 of their papers we have counts for
5 papers
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…
An explicit adaptive time-stepping scheme for superlinear stochastic diffusion systems
Xueqi Wen, Guozhen Li, Yuanping Cui +1
This paper develops an adaptive time-stepping Euler--Maruyama (EM) scheme for stochastic diffusion systems with superlinearly growing coefficients. The adaptive timestep is chosen…
The convergence of the EM scheme in empirical approximation of invariant probability measure for McKean-Vlasov SDEs
Cui Yuanping, Li Xiaoyue
Based on the assumption of the existence and uniqueness of the invariant measure for McKean-Vlasov stochastic differential equations (MV-SDEs), a self-interacting process that depe…
Numerical approximation to the invariant measure of McKean-Vlasov stochastic differential equations
Yuanping Cui, Xiaoyue Li, Yi Liu +1
Inspired by the stochastic particle method, this paper develops an easily implementable explicit scheme for McKean-Vlasov stochastic differential equations (MV-SDEs) with superline…
Strong convergence of multiscale truncated Euler-Maruyama method for super-linear slow-fast stochastic differential equations
Yuanping Cui, Xiaoyue Li, Xuerong Mao
This manuscript is dedicated to the numerical approximation of super-linear slow-fast stochastic differential equations (SFSDEs). Borrowing the heterogeneous multiscale idea, we pr…