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中南大学 [20]
数学与系统科学研究院 [1]
中南林业科技大学 [1]
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期刊论文 [22]
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2022 [1]
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Symmetric-Adjoint and Symplectic-Adjoint Runge-Kutta Methods and Their Applications
期刊论文
NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS, 2022, 页码: 32
作者:
Sun, Geng
;
Gan, Siqing
;
Liu, Hongyu
;
Shang, Zaijiu
收藏
  |  
浏览/下载:9/0
  |  
提交时间:2022/04/02
Key words
Runge-Kutta method
symmetric
symplectic
adjoint
high-order
explicit method
A second-order BDF compact difference scheme for fractional-order Volterra equation
期刊论文
International Journal of Computer Mathematics, 2016, 卷号: 93, 期号: 7, 页码: 1140-1154
作者:
Chen, Hongbin*
;
Gan, Siqing
;
Xu, Da
;
Liu, Qiwen
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  |  
浏览/下载:5/0
  |  
提交时间:2019/12/03
fractional-order Volterra equation
second-order BDF
compact difference scheme
truncation error
stability
convergence
numerical experiments
A second-order BDF compact difference scheme for fractional-order Volterra equation
期刊论文
International Journal of Computer Mathematics, 2016, 卷号: 93, 期号: 7, 页码: 1140-1154
作者:
Chen, Hongbin*
;
Gan, Siqing
;
Xu, Da
;
Liu, Qiwen
收藏
  |  
浏览/下载:4/0
  |  
提交时间:2019/12/28
fractional-order Volterra equation
second-order BDF
compact difference scheme
truncation error
stability
convergence
numerical experiments
θ-Maruyama methods for nonlinear stochastic differential delay equations
期刊论文
Applied Numerical Mathematics, 2015, 卷号: 98, 页码: 38-58
作者:
Wang, Xiaojie*
;
Gan, Siqing
;
Wang, Desheng
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/03
Nonlinear stochastic differential delay equations
Variable lag
theta-Maruyama methods
Strong convergence
Exponential mean-square stability
Mean-square stability
Analytical approximation for distorted expectations
期刊论文
Statistics and Probability Letters, 2015, 卷号: 107, 页码: 246-252
作者:
Sun, Xianming*
;
Gan, Siqing
;
Vanmaele, Michele
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  |  
浏览/下载:5/0
  |  
提交时间:2019/12/03
Distorted expectations
Fourier-cosine series expansion
Coherent risk measure
Higher order strong approximat ions of semilinear stochastic wave equation with additive space-time white noise
期刊论文
SIAM Journal on Scientific Computing, 2014, 卷号: 36, 期号: 6, 页码: A2611-A2632
作者:
Wang, Xiaojie*
;
Gan, Siqing
;
Tang, Jingtian
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  |  
浏览/下载:7/0
  |  
提交时间:2019/12/03
semilinear stochastic wave equation
space-time white noise
strong approximations
spectral Galerkin method
exponential time integrator
Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations
期刊论文
Journal of Computational and Applied Mathematics, 2014, 卷号: 268, 页码: 5-22
作者:
Gan, Siqing*
;
Xiao, Aiguo
;
Wang, Desheng
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  |  
浏览/下载:8/0
  |  
提交时间:2019/12/03
34K50
65C20
65C30
Nonlinear stochastic delay differential equation
Stability in mean square
Contractivity in mean square
Asymptotic contractivity in mean square
Backward Euler method
An Efficient Semi-Analytical Simulation for the Heston Model
期刊论文
Computational Economics, 2014, 卷号: 43, 期号: 4, 页码: 433-445
作者:
Sun, Xianming*
;
Gan, Siqing
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  |  
浏览/下载:6/0
  |  
提交时间:2019/12/03
Heston model
Mean-reverting square root process
Volatility process
Splitting technique
Weak convergence analysis of the linear implicit Euler method for semilinear stochastic partial differential equations with additive noise
期刊论文
Journal of Mathematical Analysis and Applications, 2013, 卷号: 398, 期号: 1, 页码: 151-169
作者:
Wang, Xiaojie*
;
Gan, Siqing
收藏
  |  
浏览/下载:8/0
  |  
提交时间:2019/12/03
Semilinear stochastic partial differential equation
Additive noise
Linear implicit Euler method
Weak convergence
A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise
期刊论文
Numerical Algorithms, 2013, 卷号: 62, 期号: 2, 页码: 193-223
作者:
Wang, Xiaojie*
;
Gan, Siqing
收藏
  |  
浏览/下载:13/0
  |  
提交时间:2019/12/03
Milstein method
Multiplicative noise
Nonlinear stochastic partial differential equation
Runge-Kutta method
Strong approximation
Trace class noise
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