Analysis of Markov chain approximation for regime-switching jump-diffusions with nonsmooth coefficients: deformed contour integration approach

Numerical approximation for stochastic differential equations with state-dependent fast switching

This paper aims to develop efficient numerical approximations for a class of stochastic differential equations with state-dependent fast switching processes. The direct Euler--Maruyama (EM) scheme fails when the scaling parameter is small. Based on the heterogeneous multiscale method of \cite{e2005analysis}, we propose...

Uniform-in-time approximation and convergence of invariant measuresfor the damped stochastic Korteweg-de Vries equation

To quantitatively characterize the long-time dynamics of the periodic damped stochastic Korteweg--de Vries (sKdV) equation driven by additive noise, we investigate the uniform-in-time error estimates for a Lie--Trotter operator splitting approximation. This splitting combines the exact deterministic KdV flow with the e...

Diffusion Approximation Error for Queueing Systems with General Primitives

We investigate the steady-state diffusion-approximation error for continuous-time queueing systems with generally distributed primitives. A common picture emerges after analyzing a number of canonical systems: the error decomposes into interior and boundary terms. The former are simpler to handle and can be bounded usi...

Strong error analysis of a stochastic exponential integrator for SPDEs driven by fractional Brownian motion with H<1/2

Fractional Brownian motion provides a useful framework for modeling random phenomena with anti-persistent temporal correlations that arise in applications such as anomalous diffusion, hydrology, finance, and geophysical processes. In this paper, we study a class of semilinear stochastic partial differential equations d...

Small-time asymptotics of stopped L´evy bridges and simulation schemes with controlled bias

On the Convergence of Slow-Fast Fractional McKean–Vlasov Stochastic Systems with Multivalued Operators

This article establishes a strong averaging principle for a class of slow-fast stochastic evolution systems that incorporate both McKean–Vlasov interactions and multivalued operators within a Hilbert-space variational framework. The slow variable υ evolves according to a Caputo fractional differential law of order ϱ∈(0...