41 citations · 146 across the 24 of their papers we have counts for
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Taming singular stochastic differential equations: A numerical method
Khoa Lê, Chengcheng Ling
We consider a generic and explicit tamed Euler--Maruyama scheme for multidimensional time-inhomogeneous stochastic differential equations with multiplicative Brownian noise. The di…
Rough stochastic differential equations
Peter K. Friz, Antoine Hocquet, Khoa Lê
We establish a simultaneous generalization of Itô's theory of stochastic and Lyons' theory of rough differential equations. The interest in such a unification comes from a variety…
Stochastic sewing in Banach space
Khoa Lê
A stochastic sewing lemma which is applicable for processes taking values in Banach spaces is introduced. Applications to additive functionals of fractional Brownian motion of dist…
Quantifying a convergence theorem of Gyöngy and Krylov
Konstantinos Dareiotis, Máté Gerencsér, Khoa Lê
We derive sharp strong convergence rates for the Euler-Maruyama scheme approximating multidimensional SDEs with multiplicative noise without imposing any regularity condition on th…