甘四清 - 中南大学 - 数学与统计学院

个人简介

甘四清，2001年毕业于中国科学院数学研究所，获理学博士学位，2001-2003年在清华大学计算机科学与技术系高性能计算研究所从事博士后研究工作。曾访问美国南伊利诺伊大学、新加坡南洋理工大学、香港浸会大学、中国科学院晨兴数学中心等国内外科研院所。主要研究方向为确定性微分方程和随机微分方程数值解法。主持国家自然科学基金面上项目4项，参加国家自然科学基金重大研究计划集成项目1项，参加国家自然科学基金项目多项。在《SIAM Journal on Scientific Computing》、《BIT Numerical Analysis》、《Applied Numerical Mathematics》、《Journal of Mathematics Analysis and Applications》、《中国科学》等国内外学术刊物上发表论文80余篇。2005年入选湖南省首批新世纪121人才工程。2014年湖南省优秀博士学位论文指导老师。教育经历 [1] 1998.9-2001.6 中国科学院数学与系统科学研究院数学研究所 | 计算数学 | 博士学位 | 博士研究生毕业 [2] 1989.9-1992.6 湘潭大学数学系 | 计算数学 | 硕士学位 | 硕士研究生毕业 [3] 1980.9-1984.6 湘潭大学数学系 | 计算数学 | 学士学位 | 本科毕业工作经历 [1] 2003.9-至今中南大学 | 数学与统计学院 | 教授 | 教授 [2] 2001.9-2003.8 清华大学 | 计算机科学与技术系高性能计算研究所 | 博士后 [3] 1995.9-1998.8 长沙铁道学院 | 数理力学系 | 讲师、副教授 | 讲师、副教授 [4] 1984.8-1995.8 空军第一航空学院 | 数理力学教研室 | 助教、讲师 | 助教、讲师科研项目 [1]国家自然科学基金面上项目（主持人）：系数不连续的随机微分方程及其数值分析,在研,国家自然科学基金委,甘四清 [2]国家自然科学基金重大研究计划集成项目（参加）：随机哈密尔顿偏微分方程高效数值方法,在研,国家自然科学基金委,洪佳林 [3]国家自然科学基金面上项目（主持人）：随机微分方程弱逼近理论及应用,已结题,国家自然科学基金委,甘四清 [4]国家自然科学基金面上项目（主持人）：刚性随机微分方程的数值分析,已结题,国家自然科学基金委,甘四清 [5]国家自然科学基金面上项目（主持人）：几类随机泛函微分方程数值方法的收敛性、稳定性和散逸性,已结题,国家自然科学基金委,甘四清 [6]教育部留学回国人员科研启动基金（主持人）：几类随机泛函微分方程数值方法的散逸性,教育部留学回国人员科研启动基金,甘四清

研究领域

[1] 随机微分方程数值解法 [2] 确定性微分方程数值解法 [3] 金融数学及计算

近期论文

查看导师新发文章（温馨提示：请注意重名现象，建议点开原文通过作者单位确认）

[1]Chen Ziheng, Gan Siqing, Wang Xiaojie.A full-discrete exponential Euler approximation of the invariant measure for parabolic stochastic partial differential equations.[J]:Applied Numerical Mathematics,2020,157:135–158 [2]Chen Ziheng, Gan Siqing.Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients.[J]:J. Comput. Appl. Math.,2020,363(1):350-369 [3]Chen Ziheng, Gan Siqing, Wang Xiaojie.Mean-square approximations of Levy noise driven SDEs with super-linearly growing diffusion and jump coefficients.[J]:DCDS-B,2019,24(8):4513-4545 [4]Gan Siqing, He Youzi, Wang Xiaojie.Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients.[J]:Applied Numerical Mathematics,2020,152:379-402 [5]Khan Feroz, Gan Siqing.Pathwise convergence of an efficient scheme for SPDEs with non-globally Lipschitz nonlinearity.[J]:Applied Mathematics and Computation,2019,353:114-133 [6]Yao Jinran, Gan Siqing.Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs.[J]:Applied Mathematics and Computation,2018,339:294-301 [7]Gan Siqing, Yao Jinran.Dissipativity of θ-methods for nonlinear delay differential equations.[J]:Numer. Math. Theor. Meth. Appl.,2018,11(3):477-490 [8]Hu Jinhao, Gan Siqing.High order method for Black–Scholes PDE.[J]:Computers and Mathematics with Applications,2018,75(7):2259-2270 [9]Chen Hongbin, Gan Siqing, Xu Da.A fractional trapezoidal rule type difference scheme for fractional order integro-differential equation.[J]:Journal of Fractional Calculus and Applications,2016,7(1):133-146 [10]Chen Hongbin, Gan Siqing, Xu Da & Liu Qiwen.A second-order BDF compact difference scheme for fractional-order Volterra equation.[J]:International Journal of Computer Mathematics,2015,93:1140-1154 [11]Yin Zhengwei, Gan Siqing.An improved Milstein method for stiff stochastic differential equations.[J]:Advances in Difference Equations,2015 [12]Sun Xianming, Gan Siqing, Vanmaele Michèle.Analytical approximation for distorted expectations.[J]:Statistics & Probability Letters,2015,107:246-252 [13]Wang Xiaojie, Gan Siqing, Wang Desheng.θ-Maruyama methods for nonlinear stochastic differential delay equations.[J]:Applied Numerical Mathematics,2015,98:38-58 [14]Gan Siqing.Dissipativity of the backward Euler method for nonlinear Volterra functional differential equations in Banach space.[J]:Advances in Difference Equations,2015 [15]Yin Zhengwei, Gan Siqing.Chebyshev spectral collocation method for stochastic delay differential equations.[J]:Advances in Difference Equations,2015 [16]Yin Zhengwei, Gan Siqing.An error corrected Euler-Maruyama method for stiff stochastic differential equations.[J]:Applied Mathematics and Computation,2015,256(1):630-641 [17]Wang Xiaojie, Gan Siqing, Tang Jingtian.Higher order strong approximations of semilinear stochastic wave equation with additive space-time white noise.[J]:SIAM Journal on Scientific Computing,2014,36(6):2611-2632 [18]Gan Siqing, Xiao Aiguo, Wang Desheng.Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations.[J]:Journal of Computational and Applied Mathematics,2014,268:5-22 [19]Sun Xianming, Gan Siqing.An Efficient Semi-Analytical Simulation for the Heston Model.[J]:Computational Economics,2014,43(4):433-445 [20]Hu Lin, Gan Siqing.Numerical analysis of the balanced implicit methods for stochastic pantograph equations with jumps.[J]:Applied Mathematics and Computation,2013,223:281-297 [21]Gan Siqing, Shang Zaijiu, Sun Geng.A class of symplectic partitioned Runge-Kutta methods.[J]:Applied Mathematics Letters,2013,26(9):968-973 [22]Li Qiyong, Gan Siqing, Wang Xiaojie.Compensated stochastic theta methods for stochastic differential delay equations with jumps.[J]:International Journal of Computer Mathematics,2013,90(5):1057-1071 [23]李启勇,甘四清,张浩敏.随机延迟积分微分方程改进分步向后Euler方法的均方指数稳定性.[J]:数值计算与计算机应用,2013,34(4):241-248 [24]Wang Xiaojie, Gan Siqing.A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise.[J]:Numerical Algorithms,2013,62(2):193-223 [25]Wang Xiaojie, Gan Siqing.The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients.[J]:Journal of Difference Equations and Applications,2013,19(3):466-490 [26]Li Qiyong, Gan Siqing.Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps.[J]:Abstract and Applied Analysis,2012:Article ID 831082 [27]Wang Xiaojie, Gan Siqing.Weak convergence analysis of linear implicit Euler method for semilinear stochastic partial differential equations with additive noise.[J]:Journal of Mathematical Analysis and Application,2013,398(1):151-169 [28]Hu Lin, Gan Siqing, Wang Xiaojie.Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations.[J]:Journal of Computational and Applied Mathematics,2013,238:126-143 [29]Wang Xiaojie, Gan Siqing, Wang Desheng.A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise.[J]:BIT Numerical Mathematics,2012,52(3):741-772