Xinghu Jin

activity

20202025

most citedApproximation of the invariant measure for stable SDE by the Euler-Maruyama scheme with decreasing step-sizes

1 citations · 3 across the 7 of their papers we have counts for

collaborators

7 papers

math.PR2025

Optimal Rates for Ergodic SDEs Driven by Multiplicative $α$ -Stable Processes in Wasserstein-1 distance

Xinghu Jin, Xiaolong Zhang

This paper establishes the quantitative stability of invariant measures $μ_{α}$ for $R^{d}$ -valued ergodic stochastic differential equations driven by rotationally invariant m…

math.PR2024

Unbiased approximation of the ergodic measure for piecewise $α$ -stable Ornstein-Uhlenbeck processes arising in queueing networks

Xinghu Jin, Guodong Pang, Yu Wang +1

Piecewise $α$ -stable Ornstein-Uhlenbeck (OU) processes arising in queue networks usually do not have an explicit dissipation, which makes the related numerical methods such as Eule…

math.PR2023★ 1 cited

Approximation of the invariant measure for stable SDE by the Euler-Maruyama scheme with decreasing step-sizes

Peng Chen, Xinghu Jin, Yimin Xiao +1

Let $(X_{t})_{t \geq 0}$ be the solution of the stochastic differential equation $d X_{t} = b (X_{t}) d t + A d Z_{t}, X_{0} = x,$ where $b : R^{d} \to R^{d}$ is a Lipsc…

math.PR2023

Approximation of the ergodic measure of SDEs with singular drift by Euler-Maruyama scheme

Xinghu Jin, Wei Wang, Lihu Xu +1

We study the approximation of the ergodic measure of the following stochastic differential equation (SDE) on $R^{d}$ : \begin{eqnarray}\label{e:SDEE} d X_t &=& (b_1(X_t)+b_2(…

math.PR2022

An approximation to the invariant measure of the limiting diffusion of G/Ph/n+GI queues in the Halfin-Whitt regime and related asymptotics

Xinghu Jin, Guodong Pang, Lihu Xu +1

In this paper, we develop a stochastic algorithm based on the Euler--Maruyama scheme to approximate the invariant measure of the limiting multidimensional diffusion of $G / P h / n + G I$ …

math.PR2021★ 1 cited

An approximation to steady-state of M/Ph/n+M queue

Xinghu Jin, Guodong Pang, Lihu Xu +1

In this paper, we develop a stochastic algorithm based on Euler-Maruyama scheme to approximate the invariant measure of the limiting multidimensional diffusion of the $M / P h / n + M$ qu…

math.ST2020★ 1 cited

A generalized Catoni's $M$ -estimator under finite { $α$ -th moment assumption} with $α \in (1, 2)$

Peng Chen, Xinghu Jin, Xiang Li +1

We generalize the { $M$ -estimator} put forward by Catoni in his seminal paper [C12] to the case in which samples can have finite $α$ -th moment with $α \in (1, 2)$ rather than f…