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math.NA2025
Estimates of the numerical density for stochastic differential equations with multiplicative noise
Lei Li, Mengchao Wang, Yuliang Wang
We investigate the estimates of the density for the traditional Euler-Maruyama discretization of stochastic differential equations (SDEs) with multiplicative noise. Our estimates f…
math.NA2025
A modified tamed scheme for stochastic differential equations with superlinear drifts
Zichang Ju, Lei Li, Yuliang Wang
Explicit discretizations of stochastic differential equations often encounter instability when the coefficients are not globally Lipschitz. The truncated schemes and tamed schemes…