Xueqi Wen

Adaptive Time-Stepping Euler--Maruyama Scheme for SDEs with Non-Globally Lipschitz Coefficients: Uniform Convergence, Stability and Ergodicity

This paper develops an adaptive time-stepping Euler--Maruyama scheme for stochastic differential equations (SDEs) with non-globally Lipschitz drift and diffusion coefficients. By dynamically adjusting the timestep at each iteration, the proposed scheme effectively prevents numerical instability. We prove the moment bou...