62 citations · 166 across the 13 of their papers we have counts for
13 papers
Numerical approximation of the invariant distribution for a class of stochastic damped wave equations
Ziyi Lei, Charles-Edouard Bréhier, Siqing Gan
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 so…
Strong convergence of the tamed Euler scheme for scalar SDEs with superlinearly growing and discontinuous drift coefficient
Huimin Hu, Siqing Gan
In this paper, we consider scalar stochastic differential equations (SDEs) with a superlinearly growing and piecewise continuous drift coefficient. Existence and uniqueness of stro…
Weak convergence of the backward Euler method for stochastic Cahn--Hilliard equation with additive noise
Meng Cai, Siqing Gan, Yaozhong Hu
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 t…
First order strong approximation of Ait-Sahalia-type interest rate model with Poisson jumps
Ziyi Lei, Siqing Gan, Jing Liu
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…
Weak convergence rates for an explicit full-discretization of stochastic Allen-Cahn equation with additive noise
Meng Cai, Siqing Gan, Xiaojie Wang
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. Th…
Mean-square approximations of Lévy noise driven SDEs with super-linearly growing diffusion and jump coefficients
Ziheng Chen, Siqing Gan, Xiaojie Wang
This paper first establishes a fundamental mean-square convergence theorem for general one-step numerical approximations of Lévy noise driven stochastic differential equations with…
A full-discrete exponential Euler approximation of invariant measure for parabolic stochastic partial differential equations
Ziheng Chen, Siqing Gan, Xiaojie Wang
We discrete the ergodic semilinear stochastic partial differential equations in space dimension with additive noise, spatially by a spectral Galerkin method and temporal…
Symmetric-adjoint and symplectic-adjoint methods and their applications
Geng Sun, Siqing Gan, Hongyu Liu +1
Symmetric method and symplectic method are classical notions in the theory of Runge-Kutta methods. They can generate numerical flows that respectively preserve the symmetry and sym…
Higher order strong approximations of semilinear stochastic wave equation with additive space-time white noise
Xiaojie Wang, Siqing Gan, Jingtian Tang
Novel fully discrete schemes are developed to numerically approximate a semilinear stochastic wave equation driven by additive space-time white noise. Spectral Galerkin method is p…
Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations
Siqing Gan, Aiguo Xiao, Desheng Wang
This paper concerns the stability of analytical and numerical solutions of nonlinear stochastic delay differential equations (SDDEs). We derive sufficient conditions for the stabil…
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…
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…
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…