20 citations · 51 across the 13 of their papers we have counts for
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Cubature Method for Stochastic Volterra Integral Equations
Qi Feng, Jianfeng Zhang
In this paper, we introduce the cubature formula for Stochastic Volterra Integral Equations. We first derive the stochastic Taylor expansion in this setting, by utilizing a functio…
A High Order Compact Finite Difference Scheme for Elliptic Interface Problems with Discontinuous and High-Contrast Coefficients
Qiwei Feng, Bin Han, Peter Minev
The elliptic interface problems with discontinuous and high-contrast coefficients appear in many applications and often lead to huge condition numbers of the corresponding linear s…
Sixth Order Compact Finite Difference Scheme for Poisson Interface Problem with Singular Sources
Qiwei Feng, Bin Han, Peter Minev
Let be a smooth curve inside a two-dimensional rectangular region . In this paper, we consider the Poisson interface problem in with Dirichlet…
Hypoelliptic entropy dissipation for stochastic differential equations
Qi Feng, Wuchen Li
We study the convergence analysis for general degenerate and non-reversible stochastic differential equations (SDEs). We apply the Lyapunov method to analyze the Fokker-Planck equa…