A5024392858- Stochastic processes and financial applications
- Differential Equations and Numerical Methods
- Numerical methods for differential equations
- Fluid Dynamics and Turbulent Flows
- Financial Risk and Volatility Modeling
- Matrix Theory and Algorithms
- Advanced Numerical Methods in Computational Mathematics
- Fractional Differential Equations Solutions
- Advanced Mathematical Modeling in Engineering
- Insurance, Mortality, Demography, Risk Management
- Mathematical Biology Tumor Growth
- Electromagnetic Simulation and Numerical Methods
- Risk and Portfolio Optimization
- Probabilistic and Robust Engineering Design
- Financial Markets and Investment Strategies
- Mathematical and Theoretical Epidemiology and Ecology Models
- Solidification and crystal growth phenomena
- Interconnection Networks and Systems
- Statistical Methods and Inference
- Stability and Controllability of Differential Equations
- Theoretical and Computational Physics
- Numerical methods in inverse problems
- VLSI and Analog Circuit Testing
- Meteorological Phenomena and Simulations
- Embedded Systems Design Techniques
Central South University
2013-2023
State Key Laboratory of High Performance Complex Manufacturing
2013-2014
Southern Illinois University Carbondale
2009
Tsinghua University
2002-2004
For stochastic differential equations (SDEs) with a superlinearly growing and globally one-sided Lipschitz continuous drift coefficient, the classical explicit Euler scheme fails to converge strongly exact solution. Recently, an convergent numerical scheme, called tamed method, has been proposed in [8] for such SDEs. Motivated by their work, we here introduce version of Milstein SDEs commutative noise. The method is also easily implementable, but achieves higher strong convergence order than...
In this paper, a second-order backward differentiation formula compact difference scheme with the truncation error of order 1+α(0<α<1) for time and 4 space to fractional-order Volterra equation is considered. The integral term treated by means convolution quadrature suggested Lubich fourth-order accuracy approximation applied derivative. stability convergence in new norm are proved energy method. Numerical experiments that total agreement our analysis reported.
A new, improved split-step backward Euler method is introduced and analysed for stochastic differential delay equations (SDDEs) with generic variable delay. The proved to be convergent in the mean-square sense under conditions (Assumption 3.1) that diffusion coefficient g(x, y) globally Lipschitz both x y, but drift f(x, satisfies one-sided condition y. Further, exponential stability of proposed investigated SDDEs have a negative constant. Our results show has unconditional property, sense,...
Novel fully discrete schemes are developed to numerically approximate a semilinear stochastic wave equation driven by additive space-time white noise. Spectral Galerkin method is proposed for the spatial discretization, and exponential time integrators involving linear functionals of noise introduced temporal approximation. The resulting very easy implement allow higher strong convergence rate in than existing time-stepping such as Crank-Nicolson-Maruyama scheme trigonometric method....
This paper deals with the balanced methods which are implicit for stochastic differential equations Poisson-driven jumps. It is shown that give a strong convergence rate of at least 1/2 and can preserve linear mean-square stability sufficiently small stepsize. Weak variants also considered their analysed. Some numerical experiments given to demonstrate conclusions.