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Your search keyword '"Liu, Jicheng"' showing total 3 results
Start Over Author "Liu, Jicheng" Topic 60h10 Topic stochastic differential equations
3 results on '"Liu, Jicheng"'

2. [formula omitted]-convergence of Picard’s successive approximations to solutions of stochastic differential equations.

Author

Li, Zhen and Liu, Jicheng

Subjects
*STOCHASTIC differential equations, *STOCHASTIC convergence, *PICARD number, *APPROXIMATION theory, *COEFFICIENTS (Statistics)
Abstract

In this paper, we prove that for a stochastic differential equation with the coefficients of class C ∞ , the successive approximations of Picard converge in the C ∞ -sense, which implies that the solution to stochastic differential equation is of class C ∞ in the initial value x almost surely. [ABSTRACT FROM AUTHOR]

Published
2017
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3. Weak order in averaging principle for stochastic differential equations with jumps.

Author

Zhang, Bengong, Fu, Hongbo, Wan, Li, and Liu, Jicheng

Subjects
AVERAGING principle, STOCHASTIC differential equations, DIFFUSION, TIMESCALE number, PARAMETERS (Statistics)
Abstract

In this paper, we deal with the averaging principle for a two-time-scale system of jump-diffusion stochastic differential equations. Under suitable conditions, we expand the weak error in powers of timescale parameter. We prove that the rate of weak convergence to the averaged dynamics is of order 1. This reveals that the rate of weak convergence is essentially twice that of strong convergence. [ABSTRACT FROM AUTHOR]

Published
2018
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