66 citations · 454 across the 28 of their papers we have counts for
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Linear implicit approximations of invariant measures of semi-linear SDEs with non-globally Lipschitz coefficients
Chenxu Pang, Xiaojie Wang, Yue Wu
This article investigates the weak approximation towards the invariant measure of semi-linear stochastic differential equations (SDEs) under non-globally Lipschitz coefficients. Fo…
An unconditional boundary and dynamics preserving scheme for the stochastic epidemic model
Ruishu Liu, Xiaojie Wang, Lei Dai
In the present article, we construct a logarithm transformation based Milstein-type method for the stochastic susceptible-infected-susceptible (SIS) epidemic model evolving in the…
Strong convergence rates for a full discretization of stochastic wave equation with nonlinear damping
Meng Cai, David Cohen, Xiaojie Wang
The paper establishes the strong convergence rates of a spatio-temporal full discretization of the stochastic wave equation with nonlinear damping in dimension one and two. We disc…
Order-One Convergence of the Backward Euler Method for Random Periodic Solutions of Semilinear SDEs
Yujia Guo, Xiaojie Wang, Yue Wu
In this paper, we revisit the backward Euler method for numerical approximations of random periodic solutions of semilinear SDEs with additive noise. Improved -estimates of…
Antithetic multilevel Monte Carlo method for approximations of SDEs with non-globally Lipschitz continuous coefficients
Chenxu Pang, Xiaojie Wang
In the field of computational finance, one is commonly interested in the expected value of a financial derivative whose payoff depends on the solution of stochastic differential eq…
Weak error analysis for strong approximation schemes of SDEs with super-linear coefficients
Xiaojie Wang, Yuying Zhao, Zhongqiang Zhang
We present an error analysis of weak convergence of one-step numerical schemes for stochastic differential equations (SDEs) with super-linearly growing coefficients. Following Mils…