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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  
ASYMPTOTICALLY-PRESERVING LARGE DEVIATIONS PRINCIPLES BY STOCHASTIC SYMPLECTIC METHODS FOR A LINEAR STOCHASTIC OSCILLATOR 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2021, 卷号: 59, 期号: 1, 页码: 32-59
作者:  Chen, Chuchu;  Hong, Jialing;  Jin, Diancong;  Sun, Liying
收藏  |  浏览/下载：151/0  |  提交时间：2021/04/26
stochastic symplectic methods  superiority  large deviations principle  rate function  asymptotical preservation  
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  
Drift-preserving numerical integrators for stochastic Hamiltonian systems 期刊论文
ADVANCES IN COMPUTATIONAL MATHEMATICS, 2020, 卷号: 46, 期号: 2, 页码: 22
作者:  Chen, Chuchu;  Cohen, David;  D'Ambrosio, Raffaele;  Lang, Annika
收藏  |  浏览/下载：161/0  |  提交时间：2020/05/24
Stochastic differential equations  Stochastic Hamiltonian systems  Energy  Trace formula  Numerical schemes  Strong convergence  Weak convergence  Multilevel Monte Carlo  
Strong convergence rate of finite difference approximations for stochastic cubic Schrodinger equations 期刊论文
JOURNAL OF DIFFERENTIAL EQUATIONS, 2017, 卷号: 263, 期号: 7, 页码: 3687-3713
作者:  Cui, Jianbo;  Hong, Jialin;  Liu, Zhihui
收藏  |  浏览/下载：127/0  |  提交时间：2018/07/30
Stochastic cubic Schrodinger equation  Strong convergence rate  Central difference scheme  Exponential integrability  Continuous dependence  
HIGH ORDER CONFORMAL SYMPLECTIC AND ERGODIC SCHEMES FOR THE STOCHASTIC LANGEVIN EQUATION VIA GENERATING FUNCTIONS 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2017, 卷号: 55, 期号: 6, 页码: 3006-3029
作者:  Hong, Jialin;  Sun, Liying;  Wang, Xu
收藏  |  浏览/下载：112/0  |  提交时间：2018/07/30
stochastic Langevin equation  conformal symplectic scheme  generating function  ergodicity  weak convergence