Zobrazeno 1 - 10
of 89
pro vyhledávání: '"Ling, Chengcheng"'
We study the convergence of a generic tamed Euler-Maruyama (EM) scheme for the kinetic type stochastic differential equations (SDEs) (also known as second order SDEs) with singular coefficients in both weak and strong probabilistic senses. We show th
Externí odkaz:
http://arxiv.org/abs/2409.05706
We study the $L^p$ rate of convergence of the Milstein scheme for SDEs when the drift coefficients possess only H\"older regularity. If the diffusion is elliptic and sufficiently regular, we obtain rates consistent with the additive case. The proof r
Externí odkaz:
http://arxiv.org/abs/2305.16004
We show that any stochastic differential equation (SDE) driven by Brownian motion with drift satisfying the Krylov-R\"ockner condition has exactly one solution in an ordinary sense for almost every trajectory of the Brownian motion. Additionally, we
Externí odkaz:
http://arxiv.org/abs/2304.06802
Autor:
Ling, Chengcheng, Scheutzow, Michael
We provide a framework for studying the expansion rate of the image of a bounded set under a flow in Euclidean space and apply it to stochastic differential equations (SDEs for short) with singular coefficients. If the singular drift of the SDE can b
Externí odkaz:
http://arxiv.org/abs/2211.14202
Autor:
Galeati, Lucio, Ling, Chengcheng
We consider multidimensional SDEs with singular drift $b$ and Sobolev diffusion coefficients $\sigma$, satisfying Krylov--R\"ockner type assumptions. We prove several stability estimates, comparing solutions driven by different $(b^i,\sigma^i)$, both
Externí odkaz:
http://arxiv.org/abs/2208.03670
Autor:
Lê, Khoa, Ling, Chengcheng
We consider a generic and explicit tamed Euler--Maruyama scheme for multidimensional time-inhomogeneous stochastic differential equations with multiplicative Brownian noise. The diffusion coefficient is uniformly elliptic, H\"older continuous and wea
Externí odkaz:
http://arxiv.org/abs/2110.01343
We study stochastic differential equations (SDEs) with multiplicative Stratonovich-type noise of the form $ dX_t = b(X_t) dt + \sigma(X_t)\circ d W_t, X_0=x_0\in\mathbb{R}^d, t\geq0,$ with a possibly singular drift $b\in L^{{p}}(\mathbb{R}^d)$, $p>d$
Externí odkaz:
http://arxiv.org/abs/2109.12158
We provide a rather general perfection result for crude local semi-flows taking values in a Polish space showing that a crude semi-flow has a modification which is a (perfect) local semi-flow which is invariant under a suitable metric dynamical syste
Externí odkaz:
http://arxiv.org/abs/2109.00206
Autor:
Harang, Fabian A., Ling, Chengcheng
We investigate the space-time regularity of the local time associated to Volterra-L\'evy processes, including Volterra processes driven by $\alpha$-stable processes for $\alpha\in(0,2]$. We show that the spatial regularity of the local time for Volte
Externí odkaz:
http://arxiv.org/abs/2007.01093
Autor:
Ling, Chengcheng, Xie, Longjie
By studying parabolic equations in mixed-norm spaces, we prove the existence and uniqueness of strong solutions to stochastic differential equations driven by Brownian motion with coefficients in spaces with mixed-norm, which extends Krylov and R\"oc
Externí odkaz:
http://arxiv.org/abs/2002.07097