Suo, Yongqiang; Yuan, Chenggui; Zhang, Shao-Qin Weak convergence of Euler scheme for SDEs with low regular drift. (English) Zbl 07525418 Numer. Algorithms 90, No. 2, 731-747 (2022). MSC: 65-XX 60H10 34K26 65C30 PDF BibTeX XML Cite \textit{Y. Suo} et al., Numer. Algorithms 90, No. 2, 731--747 (2022; Zbl 07525418) Full Text: DOI OpenURL
Gao, Shuaibin; Hu, Junhao; Tan, Li; Yuan, Chenggui Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps. (English) Zbl 1469.60182 Front. Math. China 16, No. 2, 395-423 (2021). MSC: 60H10 65C30 PDF BibTeX XML Cite \textit{S. Gao} et al., Front. Math. China 16, No. 2, 395--423 (2021; Zbl 1469.60182) Full Text: DOI arXiv OpenURL
Zhang, Shao-Qin; Yuan, Chenggui Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation. (English) Zbl 07374104 Proc. R. Soc. Edinb., Sect. A, Math. 151, No. 4, 1278-1304 (2021). MSC: 60H35 60H10 PDF BibTeX XML Cite \textit{S.-Q. Zhang} and \textit{C. Yuan}, Proc. R. Soc. Edinb., Sect. A, Math. 151, No. 4, 1278--1304 (2021; Zbl 07374104) Full Text: DOI arXiv OpenURL
Bao, Jianhai; Huang, Xing; Yuan, Chenggui Convergence rate of Euler-Maruyama scheme for SDEs with Hölder-Dini continuous drifts. (English) Zbl 1433.60072 J. Theor. Probab. 32, No. 2, 848-871 (2019). MSC: 60H35 41A25 60H10 PDF BibTeX XML Cite \textit{J. Bao} et al., J. Theor. Probab. 32, No. 2, 848--871 (2019; Zbl 1433.60072) Full Text: DOI arXiv OpenURL
Hu, Yuru; Chen, Huabin; Yuan, Chenggui Numerical solutions of neutral stochastic functional differential equations with Markovian switching. (English) Zbl 1458.65009 Adv. Difference Equ. 2019, Paper No. 81, 25 p. (2019). MSC: 65C30 60H10 34K50 PDF BibTeX XML Cite \textit{Y. Hu} et al., Adv. Difference Equ. 2019, Paper No. 81, 25 p. (2019; Zbl 1458.65009) Full Text: DOI OpenURL
Li, Xiaoyue; Ma, Qianlin; Yang, Hongfu; Yuan, Chenggui The numerical invariant measure of stochastic differential equations with Markovian switching. (English) Zbl 1388.60098 SIAM J. Numer. Anal. 56, No. 3, 1435-1455 (2018). MSC: 60H10 34F05 PDF BibTeX XML Cite \textit{X. Li} et al., SIAM J. Numer. Anal. 56, No. 3, 1435--1455 (2018; Zbl 1388.60098) Full Text: DOI arXiv OpenURL
Ji, Yanting; Yuan, Chenggui Tamed EM scheme of neutral stochastic differential delay equations. (English) Zbl 1370.65002 J. Comput. Appl. Math. 326, 337-357 (2017). MSC: 65C30 60H10 60H35 34K50 34K28 PDF BibTeX XML Cite \textit{Y. Ji} and \textit{C. Yuan}, J. Comput. Appl. Math. 326, 337--357 (2017; Zbl 1370.65002) Full Text: DOI arXiv Link OpenURL
Ji, Yanting; Song, Qingshuo; Yuan, Chenggui Neutral stochastic differential delay equations with locally monotone coefficients. (English) Zbl 1365.34138 Dyn. Contin. Discrete Impuls. Syst., Ser. A, Math. Anal. 24, No. 3, 195-217 (2017). MSC: 34K50 34K40 34K28 PDF BibTeX XML Cite \textit{Y. Ji} et al., Dyn. Contin. Discrete Impuls. Syst., Ser. A, Math. Anal. 24, No. 3, 195--217 (2017; Zbl 1365.34138) Full Text: arXiv Link OpenURL
Bao, Jianhai; Shao, Jinghai; Yuan, Chenggui Approximation of invariant measures for regime-switching diffusions. (English) Zbl 1342.60087 Potential Anal. 44, No. 4, 707-727 (2016). Reviewer: Max Fathi (Berkeley) MSC: 60H10 60J60 60H35 60J27 65C30 PDF BibTeX XML Cite \textit{J. Bao} et al., Potential Anal. 44, No. 4, 707--727 (2016; Zbl 1342.60087) Full Text: DOI arXiv OpenURL
Lan, Guangqiang; Yuan, Chenggui Exponential stability of the exact solutions and \(\theta\)-EM approximations to neutral SDDEs with Markov switching. (English) Zbl 1319.60128 J. Comput. Appl. Math. 285, 230-242 (2015). MSC: 60H10 60H35 34F05 34K50 34K40 65C30 PDF BibTeX XML Cite \textit{G. Lan} and \textit{C. Yuan}, J. Comput. Appl. Math. 285, 230--242 (2015; Zbl 1319.60128) Full Text: DOI arXiv OpenURL
Bao, Jianhai; Yuan, Chenggui Convergence rate of EM scheme for SDDEs. (English) Zbl 1277.65006 Proc. Am. Math. Soc. 141, No. 9, 3231-3243 (2013). Reviewer: Abass Sagna (Evry) MSC: 65C30 60H10 65L20 34K50 60J65 60H35 PDF BibTeX XML Cite \textit{J. Bao} and \textit{C. Yuan}, Proc. Am. Math. Soc. 141, No. 9, 3231--3243 (2013; Zbl 1277.65006) Full Text: DOI arXiv OpenURL
Bao, Jianhai; Böttcher, Björn; Mao, Xuerong; Yuan, Chenggui Convergence rate of numerical solutions to SFDEs with jumps. (English) Zbl 1236.65005 J. Comput. Appl. Math. 236, No. 2, 119-131 (2011). Reviewer: Grigori N. Milstein (Yekaterinburg) MSC: 65C30 65L20 60H35 34K50 34K28 34F05 60H10 60J65 PDF BibTeX XML Cite \textit{J. Bao} et al., J. Comput. Appl. Math. 236, No. 2, 119--131 (2011; Zbl 1236.65005) Full Text: DOI arXiv OpenURL
Jacob, Niels; Wang, Yongtian; Yuan, Chenggui Stochastic differential delay equations with jumps, under nonlinear growth condition. (English) Zbl 1191.60081 Stochastics 81, No. 6, 571-588 (2009). MSC: 60H35 60H10 34K20 34K50 PDF BibTeX XML Cite \textit{N. Jacob} et al., Stochastics 81, No. 6, 571--588 (2009; Zbl 1191.60081) Full Text: DOI OpenURL
Jacob, Niels; Wang, Yongtian; Yuan, Chenggui Numerical solutions of stochastic differential delay equations with jumps. (English) Zbl 1168.60356 Stochastic Anal. Appl. 27, No. 4, 825-853 (2009). MSC: 60H35 60H10 34K20 34K50 PDF BibTeX XML Cite \textit{N. Jacob} et al., Stochastic Anal. Appl. 27, No. 4, 825--853 (2009; Zbl 1168.60356) Full Text: DOI OpenURL
Yuan, Chenggui; Mao, Xuerong A note on the rate of convergence of the Euler-Maruyama method for stochastic differential equations. (English) Zbl 1136.60040 Stochastic Anal. Appl. 26, No. 2, 325-333 (2008). MSC: 60H10 65C05 PDF BibTeX XML Cite \textit{C. Yuan} and \textit{X. Mao}, Stochastic Anal. Appl. 26, No. 2, 325--333 (2008; Zbl 1136.60040) Full Text: DOI OpenURL
Wang, Yongtian; Yuan, Chenggui Convergence of the Euler-Maruyama method for stochastic differential equations with respect to semimartingales. (English) Zbl 1148.65007 Appl. Math. Sci., Ruse 1, No. 41-44, 2063-2077 (2007). Reviewer: Jialin Hong (Beijing) MSC: 65C30 60H10 60H35 34F05 PDF BibTeX XML Cite \textit{Y. Wang} and \textit{C. Yuan}, Appl. Math. Sci., Ruse 1, No. 41--44, 2063--2077 (2007; Zbl 1148.65007) OpenURL
Higham, Desmond J.; Mao, Xuerong; Yuan, Chenggui Almost sure and moment exponential stability in the numerical simulation of stochastic differential equations. (English) Zbl 1144.65005 SIAM J. Numer. Anal. 45, No. 2, 592-609 (2007). Reviewer: Grigori N. Milstein (Ekaterinburg) MSC: 65C30 60H10 60H35 34F05 65L20 65L06 PDF BibTeX XML Cite \textit{D. J. Higham} et al., SIAM J. Numer. Anal. 45, No. 2, 592--609 (2007; Zbl 1144.65005) Full Text: DOI OpenURL
Yuan, Chenggui; Mao, Xuerong A note on numerical solutions of stochastic functional differential equations with Markovian switching. (English) Zbl 1153.34050 Funct. Differ. Equ. 14, No. 2-4, 161-172 (2007). Reviewer: Henri Schurz (Carbondale) MSC: 34K50 60H10 60H35 65C30 34F05 PDF BibTeX XML Cite \textit{C. Yuan} and \textit{X. Mao}, Funct. Differ. Equ. 14, No. 2--4, 161--172 (2007; Zbl 1153.34050) OpenURL
Higham, Desmond J.; Mao, Xuerong; Yuan, Chenggui Preserving exponential mean-square stability in the simulation of hybrid stochastic differential equations. (English) Zbl 1137.65007 Numer. Math. 108, No. 2, 295-325 (2007). Reviewer: Jialin Hong (Beijing) MSC: 65C30 65L20 60H10 60H35 PDF BibTeX XML Cite \textit{D. J. Higham} et al., Numer. Math. 108, No. 2, 295--325 (2007; Zbl 1137.65007) Full Text: DOI OpenURL
Mao, Xuerong; Yuan, Chenggui; Yin, G. Approximations of Euler-Maruyama type for stochastic differential equations with Markovian switching, under non-Lipschitz conditions. (English) Zbl 1121.65011 J. Comput. Appl. Math. 205, No. 2, 936-948 (2007). Reviewer: Melvin D. Lax (Long Beach) MSC: 65C30 60H35 60H10 34F05 60J65 PDF BibTeX XML Cite \textit{X. Mao} et al., J. Comput. Appl. Math. 205, No. 2, 936--948 (2007; Zbl 1121.65011) Full Text: DOI OpenURL
Mao, Xuerong; Truman, Aubrey; Yuan, Chenggui Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching. (English) Zbl 1147.60320 J. Appl. Math. Stochastic Anal. 2006, Article ID 80967, 20 p. (2006). MSC: 60H30 60H10 91B28 PDF BibTeX XML Cite \textit{X. Mao} et al., J. Appl. Math. Stochastic Anal. 2006, Article ID 80967, 20 p. (2006; Zbl 1147.60320) Full Text: DOI EuDML OpenURL
Yuan, Chenggui; Glover, William Approximate solutions of stochastic differential delay equations with Markovian switching. (English) Zbl 1098.65005 J. Comput. Appl. Math. 194, No. 2, 207-226 (2006). Reviewer: Dominique Lepingle (Orléans) MSC: 65C30 60H10 60H35 65C40 65L20 60J65 60J22 PDF BibTeX XML Cite \textit{C. Yuan} and \textit{W. Glover}, J. Comput. Appl. Math. 194, No. 2, 207--226 (2006; Zbl 1098.65005) Full Text: DOI OpenURL
Yuan, C.; Mao, X. Stationary distributions of Euler-Maruyama-type stochastic difference equations with Markovian switching and their convergence. (English) Zbl 1076.65012 J. Difference Equ. Appl. 11, No. 1, 29-48 (2005). Reviewer: Eckhard Platen (Broadway) MSC: 65C30 60H10 60H35 PDF BibTeX XML Cite \textit{C. Yuan} and \textit{X. Mao}, J. Difference Equ. Appl. 11, No. 1, 29--48 (2005; Zbl 1076.65012) Full Text: DOI OpenURL
Mao, Xuerong; Yuan, Chenggui; Yin, G. Numerical method for stationary distribution of stochastic differential equations with Markovian switching. (English) Zbl 1066.65016 J. Comput. Appl. Math. 174, No. 1, 1-27 (2005). Reviewer: Eckhard Platen (Broadway) MSC: 65C30 60H10 60H35 PDF BibTeX XML Cite \textit{X. Mao} et al., J. Comput. Appl. Math. 174, No. 1, 1--27 (2005; Zbl 1066.65016) Full Text: DOI OpenURL
Yuan, Chenggui; Mao, Xuerong Stability in distribution of numerical solutions for stochastic differential equations. (English) Zbl 1071.60062 Stochastic Anal. Appl. 22, No. 5, 1133-1150 (2004). Reviewer: Evelyn Buckwar (Berlin) MSC: 60H35 60H10 60J05 65C30 93D20 PDF BibTeX XML Cite \textit{C. Yuan} and \textit{X. Mao}, Stochastic Anal. Appl. 22, No. 5, 1133--1150 (2004; Zbl 1071.60062) Full Text: DOI OpenURL
Yuan, Chenggui; Mao, Xuerong Convergence of the Euler–Maruyama method for stochastic differential equations with Markovian switching. (English) Zbl 1044.65007 Math. Comput. Simul. 64, No. 2, 223-235 (2004). Reviewer: Melvin D. Lax (Long Beach) MSC: 65C30 60H10 60H35 60J22 65C40 PDF BibTeX XML Cite \textit{C. Yuan} and \textit{X. Mao}, Math. Comput. Simul. 64, No. 2, 223--235 (2004; Zbl 1044.65007) Full Text: DOI OpenURL