Related papers: A new extrapolation method for weak approximation …
We propose a new algorithm to approach weakly the solution of a McKean-Vlasov SDE. Based on the cubature method of Lyons and Victoir 2004, the algorithm is deterministic differing from the the usual methods based on interacting particles.…
We consider the problem of the approximation of the solution of a one-dimensional SDE with non-globally Lipschitz drift and diffusion coefficients behaving as $x^\alpha$, with $\alpha>1$. We propose an (semi-explicit) exponential-Euler…
This paper presents an algorithm for applying the high-order recombination method, originally introduced by Lyons and Litterer in ``High-order recombination and an application to cubature on Wiener space'' (Ann. Appl. Probab.…
The original Fujita approximation theorem states that the volume of a big divisor $D$ on a projective variety $X$ can always be approximated arbitrarily closely by the self-intersection number of an ample divisor on a birational…
Weak-value amplification employs postselection to enhance the measurement of small parameters of interest. The amplification comes at the expense of reduced success probability, hindering the utility of this technique as a tool for…
We study the strong convergence order of the Euler-Maruyama scheme for scalar stochastic differential equations with additive noise and irregular drift. We provide a general framework for the error analysis by reducing it to a weighted…
Kamlah's second order method for approximate particle number projection is applied for the first time to variational calculations with effective forces. High spin states of normal and superdeformed nuclei have been calculated with the…
Finding suitable points for multivariate polynomial interpolation and approximation is a challenging task. Yet, despite this challenge, there has been tremendous research dedicated to this singular cause. In this paper, we begin by…
In this paper we develop a numerical method for efficiently approximating solutions of certain Zakai equations in high dimensions. The key idea is to transform a given Zakai SPDE into a PDE with random coefficients. We show that under…
We consider a singular fractional differential equation involving generalized Katugampola derivative and obtain the existence and uniqueness of its solution. A scheme for uniformly approximating solution is constructed by using Picard…
We establish a novel convergent iteration framework for a weak approximation of general switching diffusion. The key theoretical basis of the proposed approach is a restriction of the maximum number of switching so as to untangle and…
We consider a nonlinear SPDE approximation of the Dean-Kawasaki equation for independent particles. Our approximation satisfies the physical constraints of the particle system, i.e. its solution is a probability measure for all times…
A new deep-learning neural network architecture based on high-order weak approximation algorithms for stochastic differential equations (SDEs) is proposed. The architecture enables the efficient learning of martingales by deep learning…
We introduce a new class of fractional backward orthogonal functions designed for the spectral approximation of weakly singular adjoint Volterra integral equations. These basis functions generate an approximation space that naturally…
In this work, a new compact sixth order accurate finite difference scheme for the two and three-dimensional Helmholtz equation is presented. The main significance of the proposed scheme is that its sixth order leading truncation error term…
A discretization scheme for variable coefficient elliptic PDEs in the plane is presented. The scheme is based on high-order Gaussian quadratures and is designed for problems with smooth solutions, such as scattering problems involving soft…
This contribution deals with an extension to our developed novel cubature methods of degrees 5 on Wiener space. In our previous studies, we have shown that the cubature formula is exact for all multiple Stratonovich integrals up to…
The mathematical theory of a novel variational approximation scheme for general second and fourth order partial differential equations \begin{equation}\label{eq: A} \partial_t u - \nabla\cdot\Big(u\nabla\frac{\delta\phi}{\delta…
We develop a finite difference approximation of order $\alpha$ for the $\alpha$-fractional derivative. The weights of the approximation scheme have the same rate-matrix type properties as the popular Gr\"unwald scheme. In particular,…
We prove the multivariate Fujiwara bound for exponential sums: for a $d$-variate exponential sum $f$ with scaling parameter $\mu$, if $x$ is contained in the amoeba $\mathscr{A}(f)$, then the distance from $x$ to the Archimedean tropical…