10 papers · 1 filter
Convergence and variational structure of a staggered scheme for mean field games with individual noise on graphs
Jianbo Cui, Tonghe Dang
We propose and analyze a time-staggered numerical scheme for mean field game (MFG) systems with individual noise on finite graphs. Numerically solving such coupled forward--backwar…
First-Order Convergence of Monotone Schemes for Hamilton--Jacobi Equations on the Wasserstein Space on Graphs
Jianbo Cui, Tonghe Dang
We prove first-order convergence of semi-discrete monotone finite difference schemes for Hamilton--Jacobi equations on the Wasserstein space over a finite graph. A central challeng…
Finite difference schemes for Hamilton--Jacobi equation on Wasserstein space on graphs
Jianbo Cui, Tonghe Dang, Chenchen Mou
This work proposes and studies numerical schemes for initial value problems of Hamilton--Jacobi equations (HJEs) with a graph individual noise on the Wasserstein space on graphs. N…
-strong convergence orders of fully discrete schemes for the SPDE driven by Lévy noise
Chuchu Chen, Tonghe Dang, Jialin Hong +1
It is well known that for a stochastic differential equation driven by Lévy noise, the temporal Hölder continuity in sense of the exact solution does not exceed . This l…
A new class of splitting methods that preserve ergodicity and exponential integrability for stochastic Langevin equation
Chuchu Chen, Tonghe Dang, Jialin Hong +1
In this paper, we propose a new class of splitting methods to solve the stochastic Langevin equation, which can simultaneously preserve the ergodicity and exponential integrability…
On structure preservation for fully discrete finite difference schemes of stochastic heat equation with Lévy space-time white noise
Chuchu Chen, Tonghe Dang, Jialin Hong
This paper investigates the structure preservation and convergence analysis of a class of fully discrete finite difference schemes for the stochastic heat equation driven by Lévy s…