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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
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…
math.NA2023★ 1 cited
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…