In this article, we consider the problem of sampling from a probability measure π having a
density on R d proportional to x↦ e− U (x). The Euler discretization of the Langevin …

This article proposes and analyzes explicit and easily implementable temporal numerical
approximation schemes for additive noise-driven stochastic partial differential equations …

This paper focuses on two variants of the Milstein scheme, namely the split-step backward
Milstein method and a newly proposed projected Milstein scheme, applied to stochastic …

In this paper, we use the truncated Euler–Maruyama (EM) method to study the finite time
strong convergence for SDEs with Poisson jumps under the Khasminskii-type condition. We …

A new class of explicit Milstein schemes, which approximate stochastic differential equations
(SDEs) with superlinearly growing drift and diffusion coefficients, is proposed in this article. It …

We introduce an explicit Milstein-type scheme for McKean–Vlasov stochastic differential
equations using the notion of a measure derivative given by P.-L. Lions in his lectures at the …

The explicit Euler scheme and similar explicit approximation schemes (such as the Milstein
scheme) are known to diverge strongly and numerically weakly in the case of one …

Numerical methods for SDEs with irregular coefficients are intensively studied in the
literature, with different types of irregularities usually being attacked separately. In this paper …

This paper firstly investigates convergence of the backward Euler method for stochastic
differential equations (SDEs) driven by Brownian motion and compound Poisson process …

Motivated by the results of 21, we propose explicit Euler-type schemes for SDEs with
random coefficients driven by Lévy noise when the drift and diffusion coefficients can grow …