66 citations · 454 across the 28 of their papers we have counts for
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math.NA2011
The improved split-step backward Euler method for stochastic differential delay equations
Xiaojie Wang, Siqing Gan
A new, improved split-step backward Euler (SSBE) method is introduced and analyzed for stochastic differential delay equations(SDDEs) with generic variable delay. The method is pro…
math.NA2011
A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise
Xiaojie Wang, Siqing Gan
In this paper a new Runge-Kutta type scheme is introduced for nonlinear stochastic partial differential equations (SPDEs) with multiplicative trace class noise. The proposed scheme…
math.NA2011
The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
Xiaojie Wang, Siqing Gan
For stochastic differential equations (SDEs) with a superlinearly growing and globally one-sided Lipschitz continuous drift coefficient, the classical explicit Euler scheme fails t…