Related papers: A new extrapolation method for weak approximation …
An efficient approximate version of implicit Taylor methods for initial-value problems of systems of ordinary differential equations (ODEs) is introduced. The approach, based on an approximate formulation of Taylor methods, produces a…
We propose new machine learning schemes for solving high dimensional nonlinear partial differential equations (PDEs). Relying on the classical backward stochastic differential equation (BSDE) representation of PDEs, our algorithms estimate…
This letter aims at resolving the issues raised in the recent short communication [1] and answered by [2] by proposing a systematic approximation scheme based on non-mapped shape functions, which both allows to fully exploit the unique…
This paper concerns the construction and analysis of a numerical scheme for a mixed discrete-continuous fragmentation equation. A finite volume scheme is developed, based on a conservative formulation of a truncated version of the…
Computationally efficient numerical methods for high-order approximations of convolution integrals involving weakly singular kernels find many practical applications including those in the development of fast quadrature methods for…
We propose a multi-step Richardson-Romberg extrapolation method for the computation of expectations $E f(X_{_T})$ of a diffusion $(X_t)_{t\in [0,T]}$ when the weak time discretization error induced by the Euler scheme admits an expansion at…
We are concerned with the convergence of a numerical scheme for the initial-boundary value problem associated to the Korteweg-de Vries- Kawahara equation (in short Kawahara equation), which is a transport equation perturbed by dispersive…
In this article, we consider the so-called modified Euler scheme for stochastic differential equations (SDEs) driven by fractional Brownian motions (fBm) with Hurst parameter $\frac13<H<\frac12$. This is a first-order time-discrete…
The Gr\"unwald and shifted Gr\"unwald formulas for the function $y(x)-y(b)$ are first order approximations for the Caputo fractional derivative of the function $y(x)$ with lower limit at the point $b$. We obtain second and third order…
We introduce a class of unconditionally energy stable, high order accurate schemes for gradient flows in a very general setting. The new schemes are a high order analogue of the minimizing movements approach for generating a time discrete…
Extriangulated categories, introduced by Nakaoka and Palu, serve as a simultaneous generalization of exact and triangulated categories. In this paper, we first introduce the concept of admissible weak factorization systems and establish a…
In this paper we construct approximations for the Caputo derivative of order $1-\alpha,2-\alpha,2$ and $3-\alpha$. The approximations have weights $0.5\left((k+1)^{-\alpha}-(k-1)^{-\alpha}\right)/\Gamma(1-\alpha)$ and…
This paper presents a weakly intrusive strategy for computing a low-rank approximation of the solution of a system of nonlinear parameter-dependent equations. The proposed strategy relies on a Newton-like iterative solver which only…
We focus here on a class of fourth-order parabolic equations that can be written as a system of second-order equations by introducing an auxiliary variable. We design a novel second-order fully discrete mixed finite element method to…
We introduce efficient numerical methods for generic HJM equations of interest rate theory by means of high-order weak approximation schemes. These schemes allow for QMC implementations due to the relatively low dimensional integration…
In this paper, a high-order and fast numerical method is investigated for the time-fractional Black-Scholes equation. In order to deal with the typical weak initial singularities of the solution, we construct a finite difference scheme with…
This paper focuses on explicit approximations for nonlinear stochastic delay differential equations (SDDEs). Under the weakly local Lipschitz and some suitable conditions, a generic truncated Euler-Maruyama (TEM) scheme for SDDEs is…
We extend the Weak Adversarial Neural Pushforward Method (WANPM) to fractional Fokker-Planck equations, in which the classical Laplacian diffusion operator is replaced by the fractional Laplacian of order alpha in (0, 2]. The solution…
Cubature formulas, asymptotically optimal with respect to accuracy, are derived for calculating multidimensional weakly singular integrals. They are used for developing a universal code for calculating capacitances of conductors of…
This paper addresses emulation algorithms for matrix multiplication. General Matrix-Matrix Multiplication (GEMM), a fundamental operation in the Basic Linear Algebra Subprograms (BLAS), is typically optimized for specific hardware…