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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：104/0  |  提交时间：2023/02/07
   Invariant measure  Markov chain  weak convergence  backward Euler method  stochastic differential equations with piecewise continuous arguments  
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：110/0  |  提交时间：2022/06/21
density  convergence order  accelerated exponential Euler scheme  stochastic heat 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：132/0  |  提交时间：2021/10/26
fractional Brownian motion  strong convergence rate  Runge-Kutta method  simplified step-N Euler scheme  
SYMPLECTIC DISCONTINUOUS GALERKIN FULL DISCRETIZATION FOR STOCHASTIC MAXWELL EQUATIONS 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2021, 卷号: 59, 期号: 4, 页码: 2197-2217
作者:  Chen, Chuchu
收藏  |  浏览/下载：107/0  |  提交时间：2022/04/02
stochastic Maxwell equations  symplectic dG full discretization  mean-square convergence  
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：109/0  |  提交时间：2022/04/02
stochastic Cahn-Hilliard equation  spectral Galerkin method  accelarated implicit Euler method  strong convergence rate  
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：166/0  |  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  
Modified averaged vector field methods preserving multiple invariants for conservative stochastic differential equations 期刊论文
BIT NUMERICAL MATHEMATICS, 2020, 页码: 41
作者:  Chen, Chuchu;  Hong, Jialin;  Jin, Diancong
收藏  |  浏览/下载：136/0  |  提交时间：2020/05/24
Stochastic differential equations  Invariants  Conservative methods  Mean square convergence order  Quadrature formula