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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:4/0
  |  
提交时间:2023/02/07
 
Invariant measure
Markov chain
weak convergence
backward Euler method
stochastic differential equations with piecewise continuous arguments
Diagonalization-based parallel-in-time algorithms for parabolic PDE-constrained optimization problems
期刊论文
ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 2020, 卷号: 26, 页码: 26
作者:
Wu, Shu-Lin
;
Zhou, Tao
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  |  
浏览/下载:9/0
  |  
提交时间:2021/04/26
Parabolic PDE-constrained optimization
PinT algorithm
diagonalization technique
preconditioner
GMRES
BiCGStab
Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs
期刊论文
NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS, 2020, 卷号: 13, 期号: 2, 页码: 296-319
作者:
Fu, Yu
;
Zhao, Weidong
;
Zhou, Tao
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  |  
浏览/下载:19/0
  |  
提交时间:2020/05/24
Forward backward stochastic differential equations
stochastic optimal control
stochastic maximum principle
projected quasi-Newton methods
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
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浏览/下载:45/0
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提交时间:2020/06/30
Cox-Ingersoll-Ross model
Fractional Brownian motion
Backward Euler scheme
Optimal strong convergence rate
Malliavin calculus
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
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  |  
浏览/下载:48/0
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提交时间:2020/01/10
Deferred correction method
Second-order forward backward stochastic differential equations
Euler scheme
High-order rate of convergence
Razumikhin-type theorems on the moment stability of the exact and numerical solutions for the stochastic pantograph differential equations
期刊论文
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2019, 卷号: 355, 页码: 77-90
作者:
Guo, Ping
;
Li, Chong-Jun
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浏览/下载:18/0
  |  
提交时间:2019/12/02
Discrete Razumikhin-type technique
psi-type stability
Euler-Maruyama method
Backward Euler-Maruyama method
Razumikhin-type technique on stability of exact and numerical solutions for the nonlinear stochastic pantograph differential equations
期刊论文
BIT NUMERICAL MATHEMATICS, 2019, 卷号: 59, 页码: 77-96
作者:
Guo, Ping
;
Li, Chong-Jun
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浏览/下载:10/0
  |  
提交时间:2019/12/02
Stochastic pantograph differential equation
Razumikhin-type technique
Global th moment
th moment polynomial stability
Euler-Maruyama and backward Euler-Maruyama method
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
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/11
Deferred correction method
Second-order forward backward stochastic
differential equations
Euler scheme
High-order rate of convergence
A backward Euler difference scheme for the integro-differential equations with the multi-term kernels
期刊论文
International Journal of Computer Mathematics, 2019
作者:
Hu, Shufang
;
Qiu, Wenlin
;
Chen, Hongbin
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浏览/下载:5/0
  |  
提交时间:2019/12/28
Integro-differential equations
multi-term kernels
finite difference scheme
stability
convergence
ACCELERATION OF THE TWO-LEVEL MGRIT ALGORITHM VIA THE DIAGONALIZATION TECHNIQUE
期刊论文
SIAM JOURNAL ON SCIENTIFIC COMPUTING, 2019, 卷号: 41, 期号: 5, 页码: A3421-A3448
作者:
Wu, Shu-Lin
;
Zhou, Tao
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浏览/下载:20/0
  |  
提交时间:2020/05/24
multigrid-reduction-in-time (MGRIT) algorithm
acceleration
convergence analysis
diagonalization technique
parallel coarse-grid-correction
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