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math.NA2021
The truncated EM method for stochastic differential delay equations with variable delay
Shounian Deng, Chen Fei, Weiyin Fei +1
This paper mainly investigates the strong convergence and stability of the truncated Euler-Maruyama (EM) method for stochastic differential delay equations with variable delay whos…
math.NA2020★ 1 cited
Strong convergence and asymptotic stability of explicit numerical schemes for nonlinear stochastic differential equations
Xiaoyue Li, Xuerong Mao, Hongfu Yang
In this article we introduce several kinds of easily implementable explicit schemes, which are amenable to Khasminski's techniques and are particularly suitable for highly nonlinea…
math.NA2018
Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations
Wei Liu, Xuerong Mao, Jingwen Tang +1
The truncated Euler-Maruyama (EM) method is proposed to approximate a class of non-autonomous stochastic differential equations (SDEs) with the Hölder continuity in the temporal va…