9 citations · 15 across the 5 of their papers we have counts for
5 papers
An explicit scheme for stochastic Allen-Cahn equations with space-time white noise near the sharp interface limit
Yingsong Jiang, Chenxu Pang, Xiaojie Wang
This article investigates time-discrete approximations of Allen-Cahn type SPDEs driven by space-time white noise near the sharp interface limit , where the small parameter…
Projected Langevin Monte Carlo algorithms in non-convex and super-linear setting
Chenxu Pang, Xiaojie Wang, Yue Wu
It is of significant interest in many applications to sample from a high-dimensional target distribution with the density , based…
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…
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…
Optimal finite elements for ergodic stochastic two-scale elliptic equations
Viet Ha Hoang, Chen Hui Pang, Wee Chin Tan
We develop an essentially optimal finite element approach for solving ergodic stochastic two-scale elliptic equations whose two-scale coefficient may depend also on the slow variab…