80 citations · 136 across the 69 of their papers we have counts for
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Stochastic differential equations driven by fractional Brownian motion with locally Lipschitiz drift and their Euler approximation
Shao-Qin Zhang, Chenggui Yuan
In this paper, we study a class of one-dimensional stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H>\ff 1 2$. The drift term of the eq…
Stability of regime-switching processes under perturbation of transition rate matrices
Jinghai Shao, Chenggui Yuan
This work is concerned with the stability of regime-switching processes under the perturbation of the transition rate matrices. From the viewpoint of application, two kinds of pert…
Stability in Distribution of Neutral Stochastic Functional Differential Equations with Infinite Delay
Hussein K. Asker
In this paper, we investigate stability in distribution of neutral stochastic functional differential equations with infinite delay (NSFDEwID) at the state space \begin{equation*}…
Ergodicity for Neutral Type SDEs with Infinite Length of Memory
Jianhai Bao, Feng-Yu Wang, Chenggui Yuan
In this paper, the weak Harris theorem developed in \cite{HMS11} is illustrated by using a straightforward Wasserstein coupling, which implies the exponential ergodicity of the fun…
The Numerical Invariant Measure of Stochastic Differential Equations With Markovian Switching
Xiaoyue Li, Qianlin Ma, Hongfu Yang +1
The existence and uniqueness of the numerical invariant measure of the backward Euler-Maruyama method for stochastic differential equations with Markovian switching is yielded, and…
Convergence rates of truncated EM scheme for NSDDEs
Li Tan, Chenggui Yuan
This paper is concerned with strong convergence of the truncated Euler-Maruyama scheme for neutral stochastic differential delay equations driven by Brownian motion and pure jumps…