most citedNumerical approximation of the invariant distribution for a class of stochastic damped wave equations

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math.NA2023★ 2 cited

Numerical approximation of the invariant distribution for a class of stochastic damped wave equations

Ziyi Lei, Charles-Edouard Bréhier, Siqing Gan

We study a class of stochastic semilinear damped wave equations driven by additive Wiener noise. Owing to the damping term, under appropriate conditions on the nonlinearity, the so…

math.NA2021★ 1 cited

First order strong approximation of Ait-Sahalia-type interest rate model with Poisson jumps

Ziyi Lei, Siqing Gan, Jing Liu

For Ait-Sahalia-type interest rate model with Poisson jumps, we are interested in strong convergence of a novel time-stepping method, called transformed jump-adapted backward Euler…