Yu Wang

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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.PR2024

Phase transition in the EM scheme of an SDE driven by $α$ -stable noises with $α \in (0, 2]$

Yu Wang, Yimin Xiao, Lihu Xu

We study in this paper the EM scheme for a family of well-posed critical SDEs with the drift $- x lo g (1 + ∣ x ∣)$ and $α$ -stable noises. Specifically, we find that when the SDE is drive…

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

Phase transition in the EM scheme of an SDE driven by α-stable noises with α∈(0,2]

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

Phase transition in the EM scheme of an SDE driven by $α$ -stable noises with $α \in (0, 2]$