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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
作者:  Yang, Jie;  Zhao, Weidong;  Zhou, Tao
收藏  |  浏览/下载：152/0  |  提交时间：2020/01/10
Deferred correction method  Second-order forward backward stochastic differential equations  Euler scheme  High-order rate of convergence  
EXPLICIT theta-SCHEMES FOR MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2018, 卷号: 56, 期号: 4, 页码: 2672-2697
作者:  Sun, Yabing;  Zhao, Weidong;  Zhou, Tao
收藏  |  浏览/下载：151/0  |  提交时间：2018/10/07
mean-field backward stochastic differential equation  theta-schemes  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
作者:  Tang, Tao;  Zhao, Weidong;  Zhou, Tao
收藏  |  浏览/下载：119/0  |  提交时间：2018/07/30
Deferred correction method  forward backward stochastic differential equations  Euler method  high-order scheme  
deferredcorrectionmethodsforforwardbackwardstochasticdifferentialequations 期刊论文
numericalmathematicstheorymethodsandapplications, 2017, 卷号: 10, 期号: 2, 页码: 222
作者:  Tang Tao;  Zhao Weidong;  Zhou Tao
收藏  |  浏览/下载：98/0  |  提交时间：2020/01/10
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
作者:  Gong, Bo;  Liu, Wenbin;  Tang, Tao;  Zhao, Weidong;  Zhou, Tao
收藏  |  浏览/下载：138/0  |  提交时间：2018/07/30
stochastic optimal control  gradient projection methods  backward stochastic differential equations  conditional expectations  
Multistep Schemes for Forward Backward Stochastic Differential Equations with Jumps 期刊论文
JOURNAL OF SCIENTIFIC COMPUTING, 2016, 卷号: 69, 期号: 2, 页码: 651-672
作者:  Fu, Yu;  Zhao, Weidong;  Zhou, Tao
收藏  |  浏览/下载：124/0  |  提交时间：2018/07/30
Multistep scheme  Jump-diffusion process  Forward backward stochastic differential equation with jumps  
CONVERGENCE ANALYSIS FOR SPECTRAL APPROXIMATION TO A SCALAR TRANSPORT EQUATION WITH A RANDOM WAVE SPEED 期刊论文
Journal of Computational Mathematics, 2012, 卷号: 30, 期号: 6, 页码: 643
作者:  Zhou Tao;  Tang Tao
收藏  |  浏览/下载：91/0  |  提交时间：2020/01/10
Stochastic Galerkin methods for elliptic interface problems with random input 期刊论文
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2011, 卷号: 236, 期号: 5, 页码: 782-792
作者:  Zhou, Tao
收藏  |  浏览/下载：94/0  |  提交时间：2018/07/30
Random  Bi-orthogonal  Interface  Immersed finite element  Convergence  
Convergence Analysis for Stochastic Collocation Methods to Scalar Hyperbolic Equations with a Random Wave Speed 期刊论文
COMMUNICATIONS IN COMPUTATIONAL PHYSICS, 2010, 卷号: 8, 期号: 1, 页码: 226-248
作者:  Tang, Tao;  Zhou, Tao
收藏  |  浏览/下载：96/0  |  提交时间：2018/07/30
Hyperbolic equation  stochastic collocation methods  convergence analysis