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Well-posedness of distribution dependent SDEs with singular drifts 期刊论文
BERNOULLI, 2021, 卷号: 27, 期号: 2, 页码: 1131-1158
Authors:  Roeckner, Michael;  Zhang, Xicheng
Favorite  |  View/Download:51/0  |  Submit date:2021/06/01
Distribution dependent SDEs  Zvonkin's transformation  singular drifts  superposition principle  McKean-Vlasov system  
Ornstein-Uhlenbeck processes with singular drifts: integral estimates and Girsanov densities 期刊论文
PROBABILITY THEORY AND RELATED FIELDS, 2020, 页码: 31
Authors:  Gordina, Maria;  Roeckner, Michael;  Teplyaev, Alexander
Favorite  |  View/Download:62/0  |  Submit date:2020/09/23
Ornstein-Uhlenbeck process  Singular perturbation  Nonlinear infinite-dimensional stochastic differential equations  Non-Lipschitz monotone coefficients  Girsanov theorem  
Explicit expressions to counterparty credit exposures for Forward and European Option 期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2020, 卷号: 52, 页码: 14
Authors:  Li, Shuang;  Peng, Cheng;  Bao, Ying;  Zhao, Yanlong
Favorite  |  View/Download:54/0  |  Submit date:2020/05/24
Counterparty credit exposure  Explicit expressions  Forward  European Option  
ON GLOBAL EXISTENCE AND BLOW-UP FOR DAMPED STOCHASTIC NONLINEAR SCHRODINGER EQUATION 期刊论文
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B, 2019, 卷号: 24, 期号: 12, 页码: 6837-6854
Authors:  Cui, Jianbo;  Hong, Jialin;  Sun, Liying
Favorite  |  View/Download:116/0  |  Submit date:2020/01/10
Stochastic nonlinear Schrodinger equation  multiplicative noise  global existence  blow-up  exponential integrability  
Strong convergence rates of semidiscrete splitting approximations for the stochastic Allen-Cahn equation 期刊论文
IMA JOURNAL OF NUMERICAL ANALYSIS, 2019, 卷号: 39, 期号: 4, 页码: 2096-2134
Authors:  Brehier, Charles-Edouard;  Cui, Jianbo;  Hong, Jialin
Favorite  |  View/Download:83/0  |  Submit date:2020/01/10
stochastic Allen-Cahn equation  splitting scheme  strong convergence rate  exponential integrability  
Strong convergence rate of splitting schemes for stochastic nonlinear Schrodinger equations 期刊论文
JOURNAL OF DIFFERENTIAL EQUATIONS, 2019, 卷号: 266, 期号: 9, 页码: 5625-5663
Authors:  Cui, Jianbo;  Hong, Jialin;  Liu, Zhihui;  Zhou, Weien
Favorite  |  View/Download:74/0  |  Submit date:2019/03/11
Stochastic nonlinear Schrodinger equation  Strong convergence rate  Exponential integrability  Splitting scheme  Non-monotone coefficients  
Partial-Skew-Orthogonal Polynomials and Related Integrable Lattices with Pfaffian Tau-Functions 期刊论文
COMMUNICATIONS IN MATHEMATICAL PHYSICS, 2018, 卷号: 364, 期号: 3, 页码: 1069-1119
Authors:  Chang, Xiang-Ke;  He, Yi;  Hu, Xing-Biao;  Li, Shi-Hao
Favorite  |  View/Download:76/0  |  Submit date:2019/03/05
Lax Integrability and the Peakon Problem for the Modified Camassa-Holm Equation 期刊论文
COMMUNICATIONS IN MATHEMATICAL PHYSICS, 2018, 卷号: 358, 期号: 1, 页码: 295-341
Authors:  Chang, Xiangke;  Szmigielski, Jacek
Favorite  |  View/Download:77/0  |  Submit date:2018/07/30
ANALYSIS OF A SPLITTING SCHEME FOR DAMPED STOCHASTIC NONLINEAR SCHRODINGER EQUATION WITH MULTIPLICATIVE NOISE 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2018, 卷号: 56, 期号: 4, 页码: 2045-2069
Authors:  Cui, Jianbo;  Hong, Jialin
Favorite  |  View/Download:76/0  |  Submit date:2018/10/07
damped stochastic nonlinear Schrodinger equation  exponential integrability  strong order  weak order  Kolmogorov equation  
Strong convergence rate of finite difference approximations for stochastic cubic Schrodinger equations 期刊论文
JOURNAL OF DIFFERENTIAL EQUATIONS, 2017, 卷号: 263, 期号: 7, 页码: 3687-3713
Authors:  Cui, Jianbo;  Hong, Jialin;  Liu, Zhihui
Favorite  |  View/Download:60/0  |  Submit date:2018/07/30
Stochastic cubic Schrodinger equation  Strong convergence rate  Central difference scheme  Exponential integrability  Continuous dependence