Cover Image

Exponential Euler method for stiff stochastic differential equations with additive fractional Brownian noise

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Kamrani, Minoo, Debrabant, Kristian, Jamshidi, Nahid
Format:	Preprint
Published:	2023
Subjects:	Probability Numerical Analysis
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

(Empirical) Gramian-based dimension reduction for stochastic differential equations driven by fractional Brownian motion
by: Jamshidi, Nahid, et al.
Published: (2023)

Asymptotic error distribution of Mittag--Leffler Euler method for a fractional stochastic differential equation
by: Dai, Xinjie, et al.
Published: (2026)

Exponential Euler schemes for systems of fractional SDEs arising from engineering SPDEs: Convergence analysis
by: Minoo Kamrani, et al.
Published: (2026)

Parameter-related strong convergence rates of Euler-type methods for time-changed stochastic differential equations
by: Zuo, Ruchun
Published: (2025)

Quantifying the effect of noise perturbation for the stochastic Burgers equation with additive trace-class noise
by: Cox, Sonja, et al.
Published: (2026)

Taming singular stochastic differential equations: A numerical method
by: Lê, Khoa, et al.
Published: (2021)

Scalability of the second-order reliability method for stochastic differential equations with multiplicative noise
by: Schorlepp, Timo, et al.
Published: (2025)

Numerical scheme for delay-type stochastic McKean-Vlasov equations driven by fractional Brownian motion
by: Gao, Shuaibin, et al.
Published: (2024)

Weak error estimates of Galerkin approximations for the stochastic Burgers equation driven by additive trace-class noise
by: Bréhier, Charles-Edouard, et al.
Published: (2024)

Fully discrete finite element methods for the stochastic Kuramoto-Sivashinsky equation with multiplicative noise
by: Nguyen, Hung D., et al.
Published: (2025)

Analysis of splitting schemes for stochastic evolution equations with non-Lipschitz nonlinearities driven by fractional noise
by: Ding, Xiao-Li, et al.
Published: (2025)

On the convergence of adaptive approximations for stochastic differential equations
by: Foster, James, et al.
Published: (2023)

Weak approximation of stochastic differential equations with sticky boundary conditions
by: Sharma, Akash
Published: (2025)

B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems
by: Arara, Alemayehu Adugna, et al.
Published: (2023)

Finite element approximations of the stochastic Benjamin-Bona-Mahony equation with multiplicative noise
by: Nguyen, Hung D., et al.
Published: (2026)

Artificial Barriers for stochastic differential equations and for construction of boundary-preserving schemes
by: Ulander, Johan
Published: (2024)

Boundary-preserving weak approximation for some semilinear stochastic partial differential equations
by: Ulander, Johan
Published: (2024)

Weak Convergence of Finite Element Approximations of Stochastic Linear Schrödinger equation driven by additive Wiener noise
by: Prasad, Mangala
Published: (2025)

Strong convergence rate of Euler-Maruyama method for stochastic differential equations with Hölder continuous drift coefficient driven by symmetric $α$-stable process
by: Liu, Wei
Published: (2019)

Pathwise convergence of a novel numerical scheme based on semi-implicit method for stochastic differential-algebraic equations with non-global Lipschitz coefficients
by: Tsafack, Guy, et al.
Published: (2025)

A tamed-adaptive Milstein scheme for stochastic differential equations with low regularity coefficients
by: Vu, Thi-Huong, et al.
Published: (2024)

Multilevel Picard approximations for McKean-Vlasov stochastic differential equations with nonconstant diffusion
by: Neufeld, Ariel, et al.
Published: (2025)

Improved estimates for the sharp interface limit of the stochastic Cahn-Hilliard equation with space-time white noise
by: Baňas, Ľubomír, et al.
Published: (2023)

Neural variance reduction for stochastic differential equations
by: Hinds, P. D., et al.
Published: (2022)

Derivation of optimal stochastic Runge-Kutta methods with exotic and decorated Butcher series for the weak integration of stochastic dynamics
by: Laurent, Adrien Busnot, et al.
Published: (2026)

Explicit numerical approximations for McKean-Vlasov stochastic differential equations in finite and infinite time
by: Cui, Yuanping, et al.
Published: (2024)

Asymptotics of large deviations of finite difference method for stochastic Cahn--Hilliard equation
by: Jin, Diancong, et al.
Published: (2023)

Mean Square Temporal error estimates for the 2D stochastic Navier-Stokes equations with transport noise
by: Breit, Dominic, et al.
Published: (2023)

McKean-Vlasov stochastic differential equations with super-linear measure arguments: well-posedness and propagation of chaos
by: Liu, Zhuoqi, et al.
Published: (2026)

Mean-square exponential stability of exact and numerical solutions for neutral stochastic delay differential equations with Markovian switching
by: Yang, Jina, et al.
Published: (2025)

Weak error on the densities for the Euler scheme of stable additive SDEs with H{ö}lder drift
by: Fitoussi, Mathis, et al.
Published: (2024)

A new class of splitting methods that preserve ergodicity and exponential integrability for stochastic Langevin equation
by: Chen, Chuchu, et al.
Published: (2024)

Numerical approximations to invariant measures of hybrid stochastic differential equations with superlinear coefficients via the backward Euler-Maruyama method
by: Liu, Wei, et al.
Published: (2025)

Numerical approximation of nonlinear fourth-order SPDEs with additive space-time white noise
by: Blömker, Dirk, et al.
Published: (2025)

Rectified deep neural networks overcome the curse of dimensionality when approximating solutions of McKean--Vlasov stochastic differential equations
by: Neufeld, Ariel, et al.
Published: (2023)

$α$-scaled strong convergence of stochastic theta method for stochastic differential equations driven by time-changed Lévy noise beyond Lipschitz continuity
by: Chen, Jingwei
Published: (2025)

A control variate method based on polynomial approximation of Brownian path
by: Garnier, Josselin, et al.
Published: (2025)

Exponential Euler method for stiff SDEs driven by fractional Brownian motion
by: Chen, Haozhe, et al.
Published: (2024)

Deep learning based numerical approximation algorithms for stochastic partial differential equations
by: Beck, Christian, et al.
Published: (2020)

Central limit theorem for temporal average of backward Euler--Maruyama method
by: Jin, Diancong
Published: (2023)