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Convergence and Stability of the Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments 期刊论文
NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS, 2021, 卷号: 14, 期号: 1, 页码: 194-218
Authors:  Geng, Yidan;  Song, Minghui;  Lu, Yulan;  Liu, Mingzhu
Favorite  |  View/Download：125/0  |  Submit date：2021/01/14
Stochastic differential equations with piecewise continuous argument  local Lipschitz condition  Khasminskii-type condition  truncated Euler-Maruyama method  convergence and stability  
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
Favorite  |  View/Download：84/0  |  Submit date：2021/01/14
Stochastic Cahn-Hilliard equation  Unbounded noise diffusion  Malliavin calculus  Numerical approximation  Strong convergence rate  
Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise 期刊论文
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2017, 卷号: 325, 页码: 134-148
Authors:  Zhou, Weien;  Zhang, Jingjing;  Hong, Jialin;  Song, Songhe
Favorite  |  View/Download：106/0  |  Submit date：2018/07/30
Stochastic differential equations  Stochastic Runge-Kutta methods  Symplectic integrators  Mean-square convergence  
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
Favorite  |  View/Download：87/0  |  Submit date：2018/07/30
stochastic delay differential equation  Poisson random measure  D-leaping  mean-square strong convergence order  weak convergence order  Malliavin calculus  
Double-implicit and split two-step Milstein schemes for stochastic differential equations 期刊论文
INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2016, 卷号: 93, 期号: 12, 页码: 1987-2011
Authors:  Jiang, Fengze;  Zong, Xiaofeng;  Yue, Chao;  Huang, Chengming
Favorite  |  View/Download：60/0  |  Submit date：2018/07/30
double-implicit Milstein method  split two-step Milstein method  strong convergence  exponential mean square stability  
Projection methods for stochastic differential equations with conserved quantities 期刊论文
BIT NUMERICAL MATHEMATICS, 2016, 卷号: 56, 期号: 4, 页码: 1497-1518
Authors:  Zhou, Weien;  Zhang, Liying;  Hong, Jialin;  Song, Songhe
Favorite  |  View/Download：72/0  |  Submit date：2018/07/30
Stochastic differential equations  Conserved quantities  Projection methods  Mean-square convergence  
Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure 期刊论文
Advances in Difference Equations, 2012, 卷号: 2012, 期号: 1
Authors:  Song,Minghui;  Yu,Hui
Favorite  |  View/Download：77/0  |  Submit date：2018/07/30
stochastic differential equations  Poisson random measure  convergence  exponential mean-square stability