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Dr Chenggui Yuan

Lecturer

Specialist Subjects: Stochastic analysis, Markov processes, Mathematical finance

Chenggui Yuan is Lecturer in stochastic processes in Department of Mathematics, University of Swansea. He obtained a Ph.D. in numerical solutions and stability of stochastic differential equations (SDEs) with Markovian switching from Strathclyde in 2004, worked as a research associate at the Cambridge University Control Laboratory from 2003 to 2004, and has been in Swansea since 2004. His currently research is on numerical solutions of SDEs, Markov processes, stochastic control and hybrid systems, and also their applications to mathematical finance and population dynamics.

 

Recent Publications

 

  1. C.Yuan, X. Mao, A note on numerical solutions of stochastic functional differential equations with Markovian switching, Funct. Differ. Equ. 14 (2007), no. 2-4, 161--172. 60H10
  2. Y. Wang, C. Yuan, Convergence of the Euler-Maruyama method for stochastic differential equations with respect to semimartingales, Appl. Math. Sci., Vol. 1, 2007, no. 41-44, 2063-2077.
  3. D. J. Higham, X. Mao, C.Yuan, Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations. SIAM Journal on Numerical Analysis, vol. 45, 2007, pp. 592-609.
  4. X. Mao, C. Yuan, G. Yin, Approximations of Euler�Maruyama type for stochastic differential equations with Markovian switching, under non-Lipschitz conditions, Co-authors, Journal of Computational and Applied Mathematics, Volume 205, Issue 2, 15 August 2007, Pages 936-948
  5. X. Mao, G. Yin, C.Yuan, Stabilization and destabilization of hybrid systems of stochastic differential, Automatica 43 (2007) 264 � 273.
  6. C.Yuan, X.Mao, Attraction and Stochastic Asymptotic Stability and Boundedness of Stochastic Functional Differential Equations with Respect to Semimartingales, Stochastic Analysis and Applications,Volume 24 (2006), pp1169-1184.
  7. X.Mao, A.Truman, C.Yuan, Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching, Journal of Applied Mathematics and Stochastic Analysis,Volume 2006 (2006), Article ID 80967, 20 pages.
  8. C.Yuan, W. Glover, Approximate solutions of stochastic differential delay equations with Markovian switching, Co-authors W. Glover, Journal of Computational and Applied Mathematics, Volume 194, 2006, Issue 2
  9. J. Lygeros, X.Mao, C.Yuan, Stochastic hybrid delay population dynamics, Lecture Notes in Computer Science, Publisher: Springer Berlin / Heidelberg
  10. C.Yuan, J. Lygeros, Asymptotic stability and boundedness of delay switching Diffusions, IEEE Tran. Auto. Control,Volume 51, 2006, Pages 171- 175.
  11. C.Yuan, Stability in terms of two measures for stochastic differential equations with Markovian switching, Stochastic Analysis and Applications, Volume 23, 2005, Pages 1259-1276.
  12. C.Yuan, J.Lygeros, On The Exponential Stability of Switching Diffusion Processes, IEEE Tran. Auto. Control,Volume 50, 2005, Pages 422- 1426.
  13. C.Yuan, J.Lygeros, Stabilization of a class of stochastic differential equations with Markovian switching, Systems and control letters, Volume 54, 2005, Pages 819-833.
  14. X. Mao, C.Yuan, Z. Zou, Stochastic differential delay equations of population dynamics, J.Journal of Mathematical Analysis and Applications,Volume 304, Issue 1, 1 April 2005, Pages 296-320.
  15. X. Mao, G.Yin, C.Yuan, Numerical methods for stationary distributions of stochastic differential equations with Markovian switching (variable stepsize), Journal of Computational and Applied Mathematics, Vol. 174 ( 2005 ) 1-27.
  16. X. Mao, G.Yin, C.Yuan, Stationary distributions of Euler-Maruyama-type stochastic difference equations with Markovian switching and their convergence, Journal of Difference Equations and Applications, Vol. 11 ( 2005 ) 29-48.

PhD

 

Mathematics

Swansea University

Tel: 01792 602228

Fax: 01792 295843

Email: C.Yuan@swansea.ac.uk