In this work,we propose an explicit second order scheme for decoupled mean-field forward backward stochastic differential equations with jumps.The sta-bility and the rigorous error estimates are presented,which show th...In this work,we propose an explicit second order scheme for decoupled mean-field forward backward stochastic differential equations with jumps.The sta-bility and the rigorous error estimates are presented,which show that the proposed scheme yields a second order rate of convergence,when the forward mean-field stochastic differential equation is solved by the weak order 2.0 Itˆo-Taylor scheme.Numerical experiments are carried out to verify the theoretical results.展开更多
In this paper, under weak conditions, we theoretically prove the second-order convergence rate of the Crank-Nicolson scheme for solving a kind of decoupled forward-backward stochastic differential equations.
In this work,by combining the multistep discretization in time and the Sinc quadrature rule for approximating the conditional mathematical expectations,we will propose new fully discrete multistep schemes called“Sinc...In this work,by combining the multistep discretization in time and the Sinc quadrature rule for approximating the conditional mathematical expectations,we will propose new fully discrete multistep schemes called“Sinc-multistep schemes”for forward backward stochastic differential equations(FBSDEs).The schemes avoid spatial interpolations and admit high order of convergence.The stability and the K-th order error estimates in time for the K-step Sinc multistep schemes are theoretically proved(1≤K≤6).This seems to be the first time for analyzing fully time-space discrete multistep schemes for FBSDEs.Numerical examples are also presented to demonstrate the effectiveness,stability,and high order of convergence of the proposed schemes.展开更多
Transmission error(TE)in geared rotors is a predominant source of inherent excitation at the pitch point of the gear meshing.In this paper,a transverse vibration analysis is presented to study the effect of TE on gear...Transmission error(TE)in geared rotors is a predominant source of inherent excitation at the pitch point of the gear meshing.In this paper,a transverse vibration analysis is presented to study the effect of TE on geared rotors.Due to asymmetry in the TE,it is expected to have both forward and backward whirls excited during rotor whirling,which could be used for its detection.This aspect has been envisioned first time in the present work.To capture this,an approach of orienting the line of action of a gear-pair along oblique plane is considered and the mathematical modeling has been performed of a simple spur gear-pair connecting two parallel shafts at its mid-span with an asymmetric TE.To capture the forward and backward whirls,equations of motion are converted into a complex form that facilitates obtaining response in full spectrum.The response of system model with assumed transmission error and gear-pair parameters has been obtained through a numerical simulation,which shows distinctly the forward and backward whirls due to the TE.Through a simple test rig experimentation,a similar behaviour was observed in transverse vibrations of geared rotors in the full spectrum,which validate the proposed model.展开更多
We introduce a new Euler-type scheme and its iterative algorithm for solving weakly coupled forward-backward stochastic differential equations （FBSDEs）. Although the schemes share some common features with the ones ...We introduce a new Euler-type scheme and its iterative algorithm for solving weakly coupled forward-backward stochastic differential equations （FBSDEs）. Although the schemes share some common features with the ones proposed by C. Bender and J. Zhang [Ann. Appl. Probab., 2008, 18： 143-177], less computational work is needed for our method. For both our schemes and the ones proposed by Bender and Zhang, we rigorously obtain first-order error estimates, which improve the half-order error estimates of Bender and Zhang. Moreover, numerical tests are given to demonstrate the first-order accuracy of the schemes.展开更多
基金supported by the NSF of China(Grant Nos.12071261,12001539,11801320,11831010,12371398)by the National Key R&D Program of China(Grant No.2018YFA0703900)+2 种基金by the NSF of Shandong Province(Grant No.ZR2023MA055)by the NSF of Hunan Province(Grant No.2020JJ5647)by the China Postdoctoral Science Foundation(Grant No.2019TQ0073).
文摘In this work,we propose an explicit second order scheme for decoupled mean-field forward backward stochastic differential equations with jumps.The sta-bility and the rigorous error estimates are presented,which show that the proposed scheme yields a second order rate of convergence,when the forward mean-field stochastic differential equation is solved by the weak order 2.0 Itˆo-Taylor scheme.Numerical experiments are carried out to verify the theoretical results.
文摘In this paper, under weak conditions, we theoretically prove the second-order convergence rate of the Crank-Nicolson scheme for solving a kind of decoupled forward-backward stochastic differential equations.
基金This work was partially supported by the science challenge project(No.TZ2018001)the national natural science foundation of China(Nos.12071261,11831010 and 11871068)+1 种基金the national key basic research program(No.2018YFA0703900)The authors would like to thank the referees for the helpful comments on the improvement of the present paper.
文摘In this work,by combining the multistep discretization in time and the Sinc quadrature rule for approximating the conditional mathematical expectations,we will propose new fully discrete multistep schemes called“Sinc-multistep schemes”for forward backward stochastic differential equations(FBSDEs).The schemes avoid spatial interpolations and admit high order of convergence.The stability and the K-th order error estimates in time for the K-step Sinc multistep schemes are theoretically proved(1≤K≤6).This seems to be the first time for analyzing fully time-space discrete multistep schemes for FBSDEs.Numerical examples are also presented to demonstrate the effectiveness,stability,and high order of convergence of the proposed schemes.
文摘Transmission error(TE)in geared rotors is a predominant source of inherent excitation at the pitch point of the gear meshing.In this paper,a transverse vibration analysis is presented to study the effect of TE on geared rotors.Due to asymmetry in the TE,it is expected to have both forward and backward whirls excited during rotor whirling,which could be used for its detection.This aspect has been envisioned first time in the present work.To capture this,an approach of orienting the line of action of a gear-pair along oblique plane is considered and the mathematical modeling has been performed of a simple spur gear-pair connecting two parallel shafts at its mid-span with an asymmetric TE.To capture the forward and backward whirls,equations of motion are converted into a complex form that facilitates obtaining response in full spectrum.The response of system model with assumed transmission error and gear-pair parameters has been obtained through a numerical simulation,which shows distinctly the forward and backward whirls due to the TE.Through a simple test rig experimentation,a similar behaviour was observed in transverse vibrations of geared rotors in the full spectrum,which validate the proposed model.
基金Acknowledgements The authors would like to thank the referees for the valuable comments, which improved the paper a lot. This work was partially supported by the National Natural Science Foundations of China （Grant Nos. 91130003, 11171189） and the Natural Science Foundation of Shandong Province （No. ZR2011AZ002）.
文摘We introduce a new Euler-type scheme and its iterative algorithm for solving weakly coupled forward-backward stochastic differential equations （FBSDEs）. Although the schemes share some common features with the ones proposed by C. Bender and J. Zhang [Ann. Appl. Probab., 2008, 18： 143-177], less computational work is needed for our method. For both our schemes and the ones proposed by Bender and Zhang, we rigorously obtain first-order error estimates, which improve the half-order error estimates of Bender and Zhang. Moreover, numerical tests are given to demonstrate the first-order accuracy of the schemes.
