2 papers
math.NA2026
A Positivity-Preserving Numerical Method for the Free Cox-Ingersoll-Ross Equation
Y. Niu, Z. Peng, J. Wei +2
We introduce a positivity-preserving drift-implicit square-root Euler method for the free Cox--Ingersoll--Ross (CIR) equation driven by free Brownian motion. The method is obtained…
math.PR2026
Convergence of Densities for the Euler--Maruyama Approximation of Brownian-Driven McKean--Vlasov Equations
Zhenghan Yin, Xu Sun
Convergence of the transition density of the Euler-Maruyama scheme for a Brownian-driven McKean-Vlasov stochastic differential equation is established, the coefficients being unifo…