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…
An explicit splitting SAV scheme for the kinetic Langevin dynamics
Lei Dai, Yingsong Jiang, Xiaojie Wang
The kinetic Langevin dynamics finds diverse applications in various disciplines such as molecular dynamics and Hamiltonian Monte Carlo sampling. In this paper, a novel splitting sc…
Uniform-in-time weak error estimates of explicit full-discretization schemes for SPDEs with non-globally Lipschitz coefficients
Yingsong Jiang, Xiaojie Wang
This article is devoted to long-time weak approximations of stochastic partial differential equations (SPDEs) evolving in a bounded domain , $d \l…
Explicit modified Euler approximations of the Aït-Sahalia type model with Poisson jumps
Yingsong Jiang, Ruishu Liu, Minhong Xu
This paper focuses on mean-square approximations of a generalized Aït-Sahalia interest rate model with Poisson jumps. The main challenge in the construction and analysis of time-d…
Unconditionally positivity-preserving approximations of the Ait-Sahalia type model: Explicit Milstein-type schemes
Yingsong Jiang, Ruishu Liu, Xiaojie Wang +1
The present article aims to design and analyze efficient first-order strong schemes for a generalized Aït-Sahalia type model arising in mathematical finance and evolving in a posi…