20 citations · 71 across the 10 of their papers we have counts for
10 papers
Segment convergence for super-linear stochastic functional differential equations by the truncated Euler-Maruyama method
Shounian Deng, Weiyin Fei, Banban Shi
Most existing literature focuses on pointwise convergence (i.e., convergence at a fixed time point) of numerical solutions for Stochastic functional differential equations (SFDEs).…
The truncated EM method for stochastic differential delay equations with variable delay
Shounian Deng, Chen Fei, Weiyin Fei +1
This paper mainly investigates the strong convergence and stability of the truncated Euler-Maruyama (EM) method for stochastic differential delay equations with variable delay whos…
Delay-dependent Asymptotic Stability of Highly Nonlinear Stochastic Differential Delay Equations Driven by -Brownian Motion
Chen Fei, Weiyin Fei, Xuerong Mao +1
Based on the classical probability, the stability criteria for stochastic differential delay equations (SDDEs) where their coefficients are either linear or nonlinear but bounded b…
Consistency of least squares estimation to the parameter for stochastic differential equations under distribution uncertainty
Chen Fei, Weiyin Fei
Under distribution uncertainty, on the basis of discrete data we investigate the consistency of the least squares estimator (LSE) of the parameter for the stochastic differential e…
Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
Shounian Deng, Chen Fei, Weiyin Fei +1
In this paper, we consider the generalized Ait-Sahaliz interest rate model with Poisson jumps in finance. The analytical properties including the positivity, boundedness and pathwi…
The truncated EM method for stochastic differential equations with Poisson jumps
Shounian Deng, Weiyin Fei, Wei Liu +1
In this paper, we use the truncated EM method to study the finite time strong convergence for the SDEs with Poisson jumps under the Khasminskii-type condition. We establish the fin…
On existence and uniqueness of solutions to uncertain backward stochastic differential equations
Weiyin Fei
This paper is concerned with a class of uncertain backward stochastic differential equations (UBSDEs) driven by both an -dimensional Brownian motion and a -dimensional canoni…
Optimal control of uncertain stochastic systems with Markovian switching and its applications to portfolio decisions
Weiyin Fei
This paper first describes a class of uncertain stochastic control systems with Markovian switching, and derives an Itô-Liu formula for Markov-modulated processes. And we character…
On exponential stability for stochastic differential equations disturbed by G-Brownian motion
Weiyin Fei, Chen Fei
We first introduce the calculus of Peng's G-Brownian motion on a sublinear expectation space . Then we investigate the exponential stability of pat…
Optimal stochastic control and optimal consumption and portfolio with G-Brownian motion
Weiyin Fei, Chen Fei
By the calculus of Peng's G-sublinear expectation and G-Brownian motion on a sublinear expectation space , we first set up an optimality principle…