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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
作者:  Chen, Chuchu;  Cui, Jianbo;  Hong, Jialin;  Sheng, Derui
收藏  |  浏览/下载：107/0  |  提交时间：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
作者:  Cui, Jianbo;  Hong, Jialin;  Sun, Liying
收藏  |  浏览/下载：125/0  |  提交时间：2021/10/26
Weak convergence  Invariant measure  Kolmogorov equation  Malliavin calculus  
Optimal rate of convergence for two classes of schemes to stochastic differential equations driven by fractional Brownian motions 期刊论文
IMA JOURNAL OF NUMERICAL ANALYSIS, 2021, 卷号: 41, 期号: 2, 页码: 1608-1638
作者:  Hong, Jialin;  Huang, Chuying;  Wang, Xu
收藏  |  浏览/下载：131/0  |  提交时间：2021/10/26
fractional Brownian motion  strong convergence rate  Runge-Kutta method  simplified step-N Euler scheme  
STRONG CONVERGENCE OF FULL DISCRETIZATION FOR STOCHASTIC CAHN-HILLIARD EQUATION DRIVEN BY ADDITIVE NOISE 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2021, 卷号: 59, 期号: 6, 页码: 2866-2899
作者:  Cui, Jianbo;  Hong, Jialin;  Sun, Liying
收藏  |  浏览/下载：108/0  |  提交时间：2022/04/02
stochastic Cahn-Hilliard equation  spectral Galerkin method  accelarated implicit Euler method  strong convergence rate  
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
作者:  Cui, Jianbo;  Hong, Jialin
收藏  |  浏览/下载：119/0  |  提交时间：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
作者:  Hong, Jialin;  Huang, Chuying;  Kamrani, Minoo;  Wang, Xu
收藏  |  浏览/下载：155/0  |  提交时间：2020/06/30
Cox-Ingersoll-Ross model  Fractional Brownian motion  Backward Euler scheme  Optimal strong convergence rate  Malliavin calculus  
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
作者:  Brehier, Charles-Edouard;  Cui, Jianbo;  Hong, Jialin
收藏  |  浏览/下载：168/0  |  提交时间：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
作者:  Cui, Jianbo;  Hong, Jialin;  Liu, Zhihui;  Zhou, Weien
收藏  |  浏览/下载：158/0  |  提交时间：2019/03/11
Stochastic nonlinear Schrodinger equation  Strong convergence rate  Exponential integrability  Splitting scheme  Non-monotone coefficients  
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
作者:  Cui, Jianbo;  Hong, Jialin
收藏  |  浏览/下载：167/0  |  提交时间：2020/01/10
one-sided Lipschitz coefficient  stochastic Allen-Cahn equation  finite element method  strong and weak convergence rate  Kolmogorov equation  Malliavin calculus  
Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths 期刊论文
APPLIED NUMERICAL MATHEMATICS, 2018, 卷号: 129, 页码: 120-136
作者:  Hong, Jialin;  Huang, Chuying;  Wang, Xu
收藏  |  浏览/下载：144/0  |  提交时间：2018/07/30
Rough path  Hamiltonian system  Symplectic Runge-Kutta method  Implicit method  Pathwlse convergence rate