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Numerical computation of probabilities for nonlinear SDEs in high dimension using Kolmogorov equation br 期刊论文
APPLIED MATHEMATICS AND COMPUTATION, 2023, 卷号: 436, 页码: 17
Authors:  Flandoli, Franco;  Luo, Dejun;  Ricci, Cristiano
Favorite  |  View/Download：29/0  |  Submit date：2023/02/07
High dimensional Kolmogorov equation  Numerical solution  Iteration scheme  Gaussian process  
Linearization of nonlinear Fokker-Planck equations and applications 期刊论文
JOURNAL OF DIFFERENTIAL EQUATIONS, 2022, 卷号: 322, 页码: 1-37
Authors:  Ren, Panpan;  Roeckner, Michael;  Wang, Feng-Yu
Favorite  |  View/Download：28/0  |  Submit date：2023/02/07
Nonlinear Fokker-Planck equation  McKean-Vlasov stochastic differential equation  Diffusion process  Ergodicity  Feynman-Kac formula  
On the Relation Between the Girsanov Transform and the Kolmogorov Equations for SPDEs 期刊论文
POTENTIAL ANALYSIS, 2021, 页码: 28
Authors:  Flandoli, Franco;  Luo, Dejun;  Ricci, Cristiano
Favorite  |  View/Download：95/0  |  Submit date：2021/10/26
Girsanov transform  Kolmogorov equation  Iteration scheme  Series expansion  Well posedness  
Weak convergence and invariant measure of a full discretization for parabolic SPDEs with non-globally Lipschitz coefficients 期刊论文
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2021, 卷号: 134, 页码: 55-93
Authors:  Cui, Jianbo;  Hong, Jialin;  Sun, Liying
Favorite  |  View/Download：87/0  |  Submit date：2021/10/26
Weak convergence  Invariant measure  Kolmogorov equation  Malliavin calculus  
Markov Jump Processes in Estimating Sharing of Identity by Descent 期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2021, 卷号: 37, 期号: 1, 页码: 183-191
Authors:  Chen, Xian;  Guo, Wei;  Ni, Xu-min
Favorite  |  View/Download：131/0  |  Submit date：2021/04/26
IBD sharing  structured coalescent theory  Markov jump process  Kolmogorov backward equation  
A numerical approach to Kolmogorov equation in high dimension based on Gaussian analysis 期刊论文
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2021, 卷号: 493, 期号: 1, 页码: 29
Authors:  Flandoli, Franco;  Luo, Dejun;  Ricci, Cristiano
Favorite  |  View/Download：147/0  |  Submit date：2021/01/14
Kolmogorov equation  Numerical solution  Iteration schema  Gaussian process  
OPTIMAL CONTROL OF NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS ON HILBERT SPACES 期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2020, 卷号: 58, 期号: 4, 页码: 2383-2410
Authors:  Barbu, Viorel;  Rockner, Michael;  Zhang, Deng
Favorite  |  View/Download：106/0  |  Submit date：2020/11/18
stochastic differential equations  optimal control  Kolmogorov operators  
STRONG AND WEAK CONVERGENCE RATES OF A SPATIAL APPROXIMATION FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATION WITH ONE-SIDED LIPSCHITZ COEFFICIENT 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2019, 卷号: 57, 期号: 4, 页码: 1815-1841
Authors:  Cui, Jianbo;  Hong, Jialin
Favorite  |  View/Download：134/0  |  Submit date：2020/01/10
one-sided Lipschitz coefficient  stochastic Allen-Cahn equation  finite element method  strong and weak convergence rate  Kolmogorov equation  Malliavin calculus  
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：114/0  |  Submit date：2018/10/07
damped stochastic nonlinear Schrodinger equation  exponential integrability  strong order  weak order  Kolmogorov equation  
Single and multi-solitary wave solutions to a class of nonlinear evolution equations 期刊论文
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2008, 卷号: 343, 期号: 1, 页码: 273-298
Authors:  Wang, Deng-Shan;  Li, Hongbo
Favorite  |  View/Download：66/0  |  Submit date：2018/07/30
travelling wave solution  multi-solitary wave  factorization technique  Bessel functions  Hirota's bilinear method  Painleve analysis  Riccati equation  elliptic equation