Zobrazeno 1 - 10
of 179
pro vyhledávání: '"Gan, Siqing"'
Autor:
Wu, Xiaojuan, Gan, Siqing
This article is concerned with the multilevel Monte Carlo (MLMC) methods for approximating expectations of some functions of the solution to the Heston 3/2-model from mathematical finance, which takes values in $(0, \infty)$ and possesses superlinear
Externí odkaz:
http://arxiv.org/abs/2403.05837
We study a class of stochastic semilinear damped wave equations driven by additive Wiener noise. Owing to the damping term, under appropriate conditions on the nonlinearity, the solution admits a unique invariant distribution. We apply semi-discrete
Externí odkaz:
http://arxiv.org/abs/2306.13998
Autor:
Hu, Huimin, Gan, Siqing
In this paper, we consider scalar stochastic differential equations (SDEs) with a superlinearly growing and piecewise continuous drift coefficient. Existence and uniqueness of strong solutions of such SDEs are obtained. Furthermore, the classical $L_
Externí odkaz:
http://arxiv.org/abs/2206.00088
Autor:
Wu, Xiaojuan, Gan, Siqing
Publikováno v:
In Communications in Nonlinear Science and Numerical Simulation January 2025 140 Part 1
Publikováno v:
Appl. Numer. Math. (2023)
We prove a weak rate of convergence of a fully discrete scheme for stochastic Cahn--Hilliard equation with additive noise, where the spectral Galerkin method is used in space and the backward Euler method is used in time. Compared with the Allen--Cah
Externí odkaz:
http://arxiv.org/abs/2111.08198
For Ait-Sahalia-type interest rate model with Poisson jumps, we are interested in strong convergence of a novel time-stepping method, called transformed jump-adapted backward Euler method (TJABEM). Under certain hypothesis, the considered model takes
Externí odkaz:
http://arxiv.org/abs/2110.15482
Publikováno v:
J. Sci. Comput. (2021)
We discretize the stochastic Allen-Cahn equation with additive noise by means of a spectral Galerkin method in space and a tamed version of the exponential Euler method in time. The resulting error bounds are analyzed for the spatio-temporal full dis
Externí odkaz:
http://arxiv.org/abs/1911.09543
Publikováno v:
Discrete and Continuous Dynamical Systems - Series B, 2019, 24(8): 4513-4545
This paper first establishes a fundamental mean-square convergence theorem for general one-step numerical approximations of L\'{e}vy noise driven stochastic differential equations with non-globally Lipschitz coefficients. Then two novel explicit sche
Externí odkaz:
http://arxiv.org/abs/1812.03069
Autor:
Chen, Lin, Gan, Siqing
Publikováno v:
In Journal of Computational and Applied Mathematics 1 May 2023 424
Publikováno v:
In Journal of Computational and Applied Mathematics February 2023 419