Professor Chenggui Yuan
Professor
Mathematics
Telephone: (01792) 602228
Room: Office - 219
Second Floor
Talbot Building
Singleton Campus

Publications

  1. & The Numerical Invariant Measure of Stochastic Differential Equations With Markovian Switching. SIAM Journal on Numerical Analysis
  2. & Invariant Measures for Path-Dependent Random Diffusions. ArXiv: 1706.05638
  3. & Asymptotic Analysis for Functional Stochastic Differential Equations. Springer.
  4. & Stationary distributions for retarded stochastic differential equations without dissipativity. STOCHASTICS 89, 530-549.
  5. & Tamed EM scheme of neutral stochastic differential delay equations. Journal of Computational and Applied Mathematics 326, 337-357.

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Teaching

  • MA-004 Fundamental Geometry

    This module introduces some essential geometric tools covering the basics of trigonometry, coordinate geometry, vectors and matrices.

  • MA-D00 Mathematics Masters Dissertation

    A research project selected from an area of expertise of a member of staff in the Department of Mathematics. It will enable the students to develop an enquiring, analytical critical and creative approach to problem identification and solution. The project will typically focus on a subject area related to one of the taught modules in the MSc scheme.

  • MA-M72 Black-Scholes Theory

    This module serves as an introduction to the theory of Black-Scholes in continuous time. Special attention is paid to the theory of Ito's integration, stochastic differential equations, Ito's formula and application of the Ito calculus to value the options.

Supervision

  • Modelling direct biotic interactions with a focus on filamentous fungi (current)

    Student name:
    PhD
    Other supervisor: Dr Lloyd Bridge
    Other supervisor: Dr Mike Fowler
  • Stochastic Analysis and Applications to reliability (current)

    Student name:
    PhD
    Other supervisor: Prof Jiang-Lun Wu
  • Modelling currency exchange markets by matrix-valued stochastic differential equations (current)

    Student name:
    PhD
    Other supervisor: Prof Jiang-Lun Wu
  • Untitled (current)

    Student name:
    PhD
    Other supervisor: Dr Andrew Neate