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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
Favorite  |  View/Download：9/0  |  Submit date：2023/02/07
   Invariant measure  Markov chain  weak convergence  backward Euler method  stochastic differential equations with piecewise continuous arguments  
Diagonalization-based parallel-in-time algorithms for parabolic PDE-constrained optimization problems 期刊论文
ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 2020, 卷号: 26, 页码: 26
Authors:  Wu, Shu-Lin;  Zhou, Tao
Favorite  |  View/Download：80/0  |  Submit date：2021/04/26
Parabolic PDE-constrained optimization  PinT algorithm  diagonalization technique  preconditioner  GMRES  BiCGStab  
Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs 期刊论文
NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS, 2020, 卷号: 13, 期号: 2, 页码: 296-319
Authors:  Fu, Yu;  Zhao, Weidong;  Zhou, Tao
Favorite  |  View/Download：103/0  |  Submit date：2020/05/24
Forward backward stochastic differential equations  stochastic optimal control  stochastic maximum principle  projected quasi-Newton methods  
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
Favorite  |  View/Download：104/0  |  Submit date：2020/06/30
Cox-Ingersoll-Ross model  Fractional Brownian motion  Backward Euler scheme  Optimal strong convergence rate  Malliavin calculus  
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
Authors:  Yang, Jie;  Zhao, Weidong;  Zhou, Tao
Favorite  |  View/Download：105/0  |  Submit date：2020/01/10
Deferred correction method  Second-order forward backward stochastic differential equations  Euler scheme  High-order rate of convergence  
ACCELERATION OF THE TWO-LEVEL MGRIT ALGORITHM VIA THE DIAGONALIZATION TECHNIQUE 期刊论文
SIAM JOURNAL ON SCIENTIFIC COMPUTING, 2019, 卷号: 41, 期号: 5, 页码: A3421-A3448
Authors:  Wu, Shu-Lin;  Zhou, Tao
Favorite  |  View/Download：89/0  |  Submit date：2020/05/24
multigrid-reduction-in-time (MGRIT) algorithm  acceleration  convergence analysis  diagonalization technique  parallel coarse-grid-correction  
A Time-Dependent Finite Element Algorithm for Simulations of Ion Current Rectification and Hysteresis Properties of 3D Nanopore System 期刊论文
IEEE TRANSACTIONS ON NANOTECHNOLOGY, 2018, 卷号: 17, 期号: 3, 页码: 513-519
Authors:  Xu, Jingjie;  Lu, Benzhuo;  Zhang, Linbo
Favorite  |  View/Download：103/0  |  Submit date：2018/07/30
3D nanopore  analytical test  backward Euler  FEM  ICR  numerical simulation  PNP equations  varying voltage  
Adaptive finite element method for parabolic equations with Dirac measure 期刊论文
COMPUTER METHODS IN APPLIED MECHANICS AND ENGINEERING, 2018, 卷号: 328, 页码: 217-241
Authors:  Gong, Wei;  Liu, Huipo;  Yan, Ningning
Favorite  |  View/Download：87/0  |  Submit date：2018/07/25
Parabolic equation  Dirac measure  Adaptive finite element method  Space-time discretization  A posteriori error estimates  
Deferred Correction Methods for Forward Backward Stochastic Differential Equations 期刊论文
NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS, 2017, 卷号: 10, 期号: 2, 页码: 222-242
Authors:  Tang, Tao;  Zhao, Weidong;  Zhou, Tao
Favorite  |  View/Download：77/0  |  Submit date：2018/07/30
Deferred correction method  forward backward stochastic differential equations  Euler method  high-order scheme  
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
Authors:  Gong, Bo;  Liu, Wenbin;  Tang, Tao;  Zhao, Weidong;  Zhou, Tao
Favorite  |  View/Download：79/0  |  Submit date：2018/07/30
stochastic optimal control  gradient projection methods  backward stochastic differential equations  conditional expectations