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Explicit Deferred Correction Methods for Second-Order Forward Backward Stochastic Differential Equations 期刊论文
JOURNAL OF SCIENTIFIC COMPUTING, 2019, 卷号: 79, 期号: 3, 页码: 1409-1432
作者:  Yang, Jie;  Zhao, Weidong;  Zhou, Tao
收藏  |  浏览/下载：194/0  |  提交时间：2020/01/10
Deferred correction method  Second-order forward backward stochastic differential equations  Euler scheme  High-order rate of convergence  
Parareal algorithms with local time-integrators for time-fractional differential equations 期刊论文
JOURNAL OF COMPUTATIONAL PHYSICS, 2018, 卷号: 358, 页码: 135-149
作者:  Wu, Shu-Lin;  Zhou, Tao
收藏  |  浏览/下载：186/0  |  提交时间：2018/07/30
Parareal  Time-fractional differential equations  Local time-integrators  
AN EFFICIENT GRADIENT PROJECTION METHOD FOR STOCHASTIC OPTIMAL CONTROL PROBLEMS 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2017, 卷号: 55, 期号: 6, 页码: 2982-3005
作者:  Gong, Bo;  Liu, Wenbin;  Tang, Tao;  Zhao, Weidong;  Zhou, Tao
收藏  |  浏览/下载：168/0  |  提交时间：2018/07/30
stochastic optimal control  gradient projection methods  backward stochastic differential equations  conditional expectations