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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
作者:  Chen, Chuchu;  Hong, Jialin;  Lu, Yulan
收藏  |  浏览/下载：100/0  |  提交时间：2023/02/07
   Invariant measure  Markov chain  weak convergence  backward Euler method  stochastic differential equations with piecewise continuous arguments  
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：164/0  |  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  
ANALYSIS OF A SPLITTING SCHEME FOR DAMPED STOCHASTIC NONLINEAR SCHRODINGER EQUATION WITH MULTIPLICATIVE NOISE 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2018, 卷号: 56, 期号: 4, 页码: 2045-2069
作者:  Cui, Jianbo;  Hong, Jialin
收藏  |  浏览/下载：141/0  |  提交时间：2018/10/07
damped stochastic nonlinear Schrodinger equation  exponential integrability  strong order  weak order  Kolmogorov equation  
Finite element approximations for second-order stochastic differential equation driven by fractional Brownian motion 期刊论文
IMA JOURNAL OF NUMERICAL ANALYSIS, 2018, 卷号: 38, 期号: 1, 页码: 184-197
作者:  Cao, Yanzhao;  Hong, Jialin;  Liu, Zhihui
收藏  |  浏览/下载：153/0  |  提交时间：2018/07/30
stochastic differential equation of boundary value type  fractional Brownian motion  piecewise constant approximation  finite element approximation  
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
作者:  Zhou, Weien;  Zhang, Jingjing;  Hong, Jialin;  Song, Songhe
收藏  |  浏览/下载：147/0  |  提交时间：2018/07/30
Stochastic differential equations  Stochastic Runge-Kutta methods  Symplectic integrators  Mean-square convergence  
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：110/0  |  提交时间：2018/07/30
stochastic Langevin equation  conformal symplectic scheme  generating function  ergodicity  weak convergence  
NUMERICAL ANALYSIS ON ERGODIC LIMIT OF APPROXIMATIONS FOR STOCHASTIC NLS EQUATION VIA MULTI-SYMPLECTIC SCHEME 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2017, 卷号: 55, 期号: 1, 页码: 305-327
作者:  Hong, Jialin;  Wang, Xu;  Zhang, Liying
收藏  |  浏览/下载：109/0  |  提交时间：2018/07/30
stochastic Schriidinger equation  multiplicative noise  unique ergodicity  multisymplectic scheme  weak error  
APPROXIMATING STOCHASTIC EVOLUTION EQUATIONS WITH ADDITIVE WHITE AND ROUGH NOISES 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2017, 卷号: 55, 期号: 4, 页码: 1958-1981
作者:  Cao, Yanzhao;  Hong, Jialin;  Liu, Zhihui
收藏  |  浏览/下载：116/0  |  提交时间：2018/07/30
stochastic evolution equation  fractional Brownian motion  Wong-Zakai approximation  Galerkin approximation  
CONSERVATIVE METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH A CONSERVED QUANTITY 期刊论文
INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING, 2016, 卷号: 13, 期号: 3, 页码: 435-456
作者:  Chen, Chuchu;  Cohen, David;  Hong, Jialin
收藏  |  浏览/下载：109/0  |  提交时间：2018/07/30
Stochastic differential equations  invariants  conservative methods  stochastic geometric numerical integration  quadrature formula  splitting technique  mean-square convergence order  weak convergence order