29 citations · 89 across the 17 of their papers we have counts for
18 papers
Linear implicit approximations of invariant measures of semi-linear SDEs with non-globally Lipschitz coefficients
Chenxu Pang, Xiaojie Wang, Yue Wu
This article investigates the weak approximation towards the invariant measure of semi-linear stochastic differential equations (SDEs) under non-globally Lipschitz coefficients. Fo…
On approximation of solutions of stochastic delay differential equations via randomized Euler scheme
Paweł Przybyłowicz, Yue Wu, Xinheng Xie
We investigate existence, uniqueness and approximation of solutions to stochastic delay differential equations (SDDEs) under Carathéodory-type drift coefficients. Moreover, we also…
Order-One Convergence of the Backward Euler Method for Random Periodic Solutions of Semilinear SDEs
Yujia Guo, Xiaojie Wang, Yue Wu
In this paper, we revisit the backward Euler method for numerical approximations of random periodic solutions of semilinear SDEs with additive noise. Improved -estimates of…
Score-based Transport Modeling for Mean-Field Fokker-Planck Equations
Jianfeng Lu, Yue Wu, Yang Xiang
We use the score-based transport modeling method to solve the mean-field Fokker-Planck equations, which we call MSBTM. We establish an upper bound on the time derivative of the Kul…
Existence, uniqueness and approximation of solutions to Carathéodory delay differential equations
Fabio V. Difonzo, Paweł Przybyłowicz, Yue Wu
In this paper we address the existence, uniqueness and approximation of solutions of delay differential equations (DDEs) with Carathéodory type right-hand side functions. We provid…
Random periodic solutions for stochastic differential equations with non-uniform dissipativity
Jianhai Bao, Yue Wu
This paper is concerned with the existence and uniqueness of random periodic solutions for stochastic differential equations (SDEs), where the drift terms involved need not to be u…
The Galerkin analysis for the random periodic solution of semilinear stochastic evolution equations
Yue Wu, Chenggui Yuan
In this paper we study the numerical method for approximating the random periodic solution of semiliear stochastic evolution equations. The main challenge lies in proving a converg…
The random periodic solution of a stochastic differential equation with a monotone drift and its numerical approximation
Yue Wu
In this paper we study the existence and uniqueness of the random periodic solution for a stochastic differential equation with a one-sided Lipschitz condition (also known as monot…
A randomised trapezoidal quadrature
Yue Wu
A randomised trapezoidal quadrature rule is proposed for continuous functions which enjoys less regularity than commonly required. Indeed, we consider functions in some fractional…
Application of Randomized Quadrature Formulas to the Finite Element Method for Elliptic Equations
Raphael Kruse, Nick Polydorides, Yue Wu
The implementation of the finite element method for linear elliptic equations requires to assemble the stiffness matrix and the load vector. In general, the entries of this matrix-…
A Sketched Finite Element Method for Elliptic Models
Robert Lung, Yue Wu, Dimitris Kamilis +1
We consider a sketched implementation of the finite element method for elliptic partial differential equations on high-dimensional models. Motivated by applications in real-time si…
A Multilevel Monte Carlo Estimator for Matrix Multiplication
Yue Wu, Nick Polydorides
Inspired by the latest developments in multilevel Monte Carlo (MLMC) methods and randomised sketching for linear algebra problems we propose a MLMC estimator for real-time processi…
A row-sampling-based randomised finite element method for elliptic partial differential equations
Yue Wu, Dimitris Kamilis, Nick Polydorides
We consider a randomised implementation of the finite element method (FEM) for elliptic partial differential equations on high-dimensional models. This is motivated by applications…
Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations
Wei Liu, Xuerong Mao, Jingwen Tang +1
The truncated Euler-Maruyama (EM) method is proposed to approximate a class of non-autonomous stochastic differential equations (SDEs) with the Hölder continuity in the temporal va…
A randomized and fully discrete Galerkin finite element method for semilinear stochastic evolution equations
Raphael Kruse, Yue Wu
In this paper the numerical solution of non-autonomous semilinear stochastic evolution equations driven by an additive Wiener noise is investigated. We introduce a novel fully disc…
A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients
Raphael Kruse, Yue Wu
In this paper a drift-randomized Milstein method is introduced for the numerical solution of non-autonomous stochastic differential equations with non-differentiable drift coeffici…
Error analysis of randomized Runge-Kutta methods for differential equations with time-irregular coefficients
Raphael Kruse, Yue Wu
This paper contains an error analysis of two randomized explicit Runge-Kutta schemes for ordinary differential equations (ODEs) with time-irregular coefficient functions. In partic…
Moments of quantum Lévy areas using sticky shuffle Hopf algebras
Robin Hudson, Uwe Schauz, Yue Wu
We study a family of quantum analogs of Lévy's stochastic area for planar Brownian motion depending on a variance parameter which deform to the classical Lévy area as $σ\…