Professor Chenggui Yuan
Telephone: (01792) 602228
Room: Office - 340
Third Floor
Computational Foundry
Bay Campus


  1. & Convergence rates of theta-method for NSDDEs under non-globally Lipschitz continuous coefficients. Bulletin of Mathematical Sciences, 1950006
  2. & Stability of regime-switching processes under perturbation of transition rate matrices. Nonlinear Analysis: Hybrid Systems 33, 211-226.
  3. & Numerical solutions of neutral stochastic functional differential equations with Markovian switching. Advances in Difference Equations 2019(1)
  4. & Asymptotic Log-Harnack inequality and applications for stochastic systems of infinite memory. Stochastic Processes and their Applications
  5. & New regularity of kolmogorov equation and application on approximation of semi-linear spdes with Hölder continuous drifts. Communications on Pure & Applied Analysis 18(1), 341-360.

See more...


  • 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.

  • MA-M92 Itô Calculus and Stochastic Differential Equations

    This module serves as an introduction to stochastic calculus for Brownian motion. The module is designed in an intuitive (but rigorous) manner to enable students to grasp the essence of this modern topic. Examples arising from mathematical finance are included.


  • Stochastic Volatility Models: Heston and Bates models (current)

    Student name:
    Other supervisor: Prof Eugene Lytvynov
  • Large deviations and weak convergence for SFDEs/SPDEs with singular drifts«br /» and weak convergence of some kinds of stochastic differential equations with singular drifts. (current)

    Student name:
    Other supervisor: Dr Andrew Neate
  • Neutral stochastic functional differential equations and applications (current)

    Student name:
    Other supervisor: Prof Jiang-Lun Wu
  • Parameter estamite for path-distribution dependent SDEs (current)

    Student name:
    Other supervisor: Prof Jiang-Lun Wu
  • Modelling direct biotic interactions with a focus on filamentous fungi (awarded 2018)

    Student name:
    Other supervisor: Dr Lloyd Bridge
    Other supervisor: Dr Mike Fowler