36 citations · 143 across the 56 of their papers we have counts for
7 papers · 2 filters
Almost sure invariance principle of mixing time series in Hilbert space
Jianya Lu, Wei Biao Wu, Zhijie Xiao +1
Inspired by \citet{Berkes14} and \citet{Wu07}, we prove an almost sure invariance principle for stationary mixing stochastic processes defined on Hilbert space. Our result can…
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 …
Cramér-type moderate deviations for Euler-Maruyama scheme for SDE
Xiequan Fan, Haijuan Hu, Lihu Xu
In this paper, we establish normalized and self-normalized Cramér-type moderate deviations for Euler-Maruyama scheme for SDE. As a consequence of our results, Berry-Esseen's bounds…
Functional large deviations for Stroock's approximation to a class of Gaussian processes with application to small noise diffusions
Hui Jiang, Lihu Xu, Qingshan Yang
Letting~ be a standard Poisson process, Stroock~ \cite{Stroock-1981} constructed a family of continuous processes by $$Θ_ε(t)=\int_0^tθ_ε(r)dr, \ \ \…
Large deviations principle for 2D Navier-Stokes equations with space time localised noise
Xuhui Peng, Lihu Xu
We consider a stochastic 2D Navier-Stokes equation in a bounded domain. The random force is assumed to be non-degenerate and periodic in time, its law has a support localised with…
Approximation of the invariant measure of stable SDEs by an Euler--Maruyama scheme
Peng Chen, Changsong Deng, Rene Schilling +1
We propose two Euler-Maruyama (EM) type numerical schemes in order to approximate the invariant measure of a stochastic differential equation (SDE) driven by an -stable Lévy pro…