3 papers
math.NA2019
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…
math.NA2018
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…
math.NA2018
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…