80 citations · 182 across the 44 of their papers we have counts for
5 papers · 1 filter
Convergence rate of EM algorithm for SDEs under integrability condition
Jianhai Bao, Xing Huang, Shao-Qin Zhang
In this paper, by employing Gaussian type estimate of heat kernel, we establish Krylov's estimate and Khasminskill's estimate for EM algorithm. As applications, by taking Zvonkin's…
Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean-Vlasov equations and interacting particle systems
Jianhai Bao, Christoph Reisinger, Panpan Ren +1
In this paper, we first derive Milstein schemes for an interacting particle system associated with point delay McKean-Vlasov stochastic differential equations (McKean-Vlasov SDEs),…
Coupling methods and exponential ergodicity for two-factor affine processes
Jianhai Bao, Jian Wang
In this paper, by invoking the coupling approach, we establish exponential ergodicity under the -Wasserstein distance for two-factor affine processes. The method employed her…
Bismut Formula for Lions Derivative of Distribution-Path Dependent SDEs
Jianhai Bao, Panpan Ren, Feng-Yu Wang
To characterize the regularity of distribution-path dependent SDEs in the initial distribution which varies in the class of probability measures on the path space, we introduce the…
First order convergence of Milstein schemes for McKean-Vlasov equations and interacting particle systems
Jianhai Bao, Christoph Reisinger, Panpan Ren +1
In this paper, we derive fully implementable first order time-stepping schemes for McKean--Vlasov stochastic differential equations (McKean--Vlasov SDEs), allowing for a drift term…