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中国科学院数学与系统科学研究院机构知识库
KMS Of Academy of mathematics and systems sciences, CAS
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STOCHASTIC DIFFERENTIAL EQUATION WITH PIECEWISE CONTINUOUS ARGUMENTS: MARKOV PROPERTY, INVARIANT MEASURE AND NUMERICAL APPROXIMATION
期刊论文
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B, 2022, 页码: 43
Authors:
Chen, Chuchu
;
Hong, Jialin
;
Lu, Yulan
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View/Download:56/0
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Submit date:2023/02/07
 
Invariant measure
Markov chain
weak convergence
backward Euler method
stochastic differential equations with piecewise continuous arguments
Accelerated exponential Euler scheme for stochastic heat equation: convergence rate of the density
期刊论文
IMA JOURNAL OF NUMERICAL ANALYSIS, 2022, 页码: 40
Authors:
Chen, Chuchu
;
Cui, Jianbo
;
Hong, Jialin
;
Sheng, Derui
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View/Download:65/0
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Submit date:2022/06/21
density
convergence order
accelerated exponential Euler scheme
stochastic heat equation
Malliavin calculus
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
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View/Download:87/0
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Submit date:2021/10/26
Weak convergence
Invariant measure
Kolmogorov equation
Malliavin calculus
Absolute continuity and numerical approximation of stochastic Cahn-Hilliard equation with unbounded noise diffusion
期刊论文
JOURNAL OF DIFFERENTIAL EQUATIONS, 2020, 卷号: 269, 期号: 11, 页码: 10143-10180
Authors:
Cui, Jianbo
;
Hong, Jialin
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View/Download:90/0
  |  
Submit date:2021/01/14
Stochastic Cahn-Hilliard equation
Unbounded noise diffusion
Malliavin calculus
Numerical approximation
Strong convergence rate
Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion
期刊论文
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2020, 卷号: 130, 期号: 5, 页码: 2675-2692
Authors:
Hong, Jialin
;
Huang, Chuying
;
Kamrani, Minoo
;
Wang, Xu
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View/Download:126/0
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Submit date:2020/06/30
Cox-Ingersoll-Ross model
Fractional Brownian motion
Backward Euler scheme
Optimal strong convergence rate
Malliavin calculus
ERGODIC APPROXIMATION TO CHEMICAL REACTION SYSTEM WITH DELAY
期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2019, 卷号: 57, 期号: 1, 页码: 70-95
Authors:
Chen, Chuchu
;
Liu, Di
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View/Download:111/0
  |  
Submit date:2020/01/10
stochastic delay differential equation
invariant measure
ergodicity
weak convergence order
Malliavin calculus
Poisson random measure
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
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View/Download:136/0
  |  
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
Ergodicity of the 2D Navier-Stokes equations with degenerate multiplicative noise
期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2018, 卷号: 34, 期号: 1, 页码: 97-118
Authors:
Dong, Zhao
;
Peng, Xu-hui
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View/Download:150/0
  |  
Submit date:2018/07/30
tochastic Navier-Stokes equation
asymptotically strong Feller property
ergodicity
ERROR ANALYSIS FOR D-LEAPING SCHEME OF CHEMICAL REACTION SYSTEM WITH DELAY
期刊论文
MULTISCALE MODELING & SIMULATION, 2017, 卷号: 15, 期号: 4, 页码: 1797-1829
Authors:
Chen, Chuchu
;
Liu, Di
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View/Download:93/0
  |  
Submit date:2018/07/30
stochastic delay differential equation
Poisson random measure
D-leaping
mean-square strong convergence order
weak convergence order
Malliavin calculus
Strong Feller properties for degenerate SDEs with jumps
期刊论文
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES, 2016, 卷号: 52, 期号: 2, 页码: 888-897
Authors:
Dong, Zhao
;
Peng, Xuhui
;
Song, Yulin
;
Zhang, Xicheng
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View/Download:134/0
  |  
Submit date:2018/07/30
Strong Feller property
SDE
Malliavin's calculus
Cylindrical alpha-stable process
Hormander's condition