Related papers: A comparative linear mean-square stability analysi…
We introduce a stochastic model to analyze in quantitative detail the effect of the high frequency components of the residual accelerations onboard spacecraft (often called g-jitter) on fluid motion. The residual acceleration field is…
We present a Milstein-type scheme for stochastic differential equations driven by L\'evy noise with super-linear diffusion coefficients and establish its strong convergence.
This thesis aims at investigating the first steps toward an unconditionally stable space-time isogeometric method, based on splines of maximal regularity, for the linear acoustic wave equation. The unconditional stability of space-time…
In this paper, we propose a new method to measure the probabilistic robustness of stochastic jump linear system with respect to both the initial state uncertainties and the randomness in switching. Wasserstein distance which defines a…
In this paper, we study the polynomial stability of analytical solution and convergence of the semi-implicit Euler method for non-linear stochastic pantograph differential equations. Firstly, the sufficient conditions for solutions to grow…
In this note we study the asymptotic mean-square stability for two-step schemes applied to a scalar stochastic differential equation (sde) and applied to systems of sdes. We derive necessary and sufficient conditions for the asymptotic…
We study strong approximation of $d$-dimensional stochastic differential equations (SDEs) with a discontinuous drift coefficient driven by a $d$-dimensional Brownian motion $W$. More precisely, we essentially assume that the drift…
In this paper we discuss the adjoint stabilised finite element method introduced in, E. Burman, Stabilized finite element methods for nonsymmetric, noncoercive and ill-posed problems. Part I: elliptic equations, SIAM Journal on Scientific…
We present a study of the escape time from a metastable state of an overdamped Brownian particle, in the presence of colored noise generated by Ornstein-Uhlenbeck process. We analyze the role of the correlation time on the enhancement of…
The existence and uniqueness of the stationary distribution of the numerical solution generated by the stochastic theta method is studied. When the parameter theta takes different values, the requirements on the drift and diffusion…
We consider the use of adaptive timestepping to allow a strong explicit Euler-Maruyama discretisation to reproduce dynamical properties of a class of nonlinear stochastic differential equations with a unique equilibrium solution and…
In this paper, we study the stabilization problem for the Ito systems with both multiplicative noise and multiple delays which exist widely in applications such as networked control systems. Sufficient and necessary conditions are obtained…
In this paper, we propose two variants of the positivity-preserving schemes, namely the truncated Euler-Maruyama (EM) method and the truncated Milstein scheme, applied to stochastic differential equations (SDEs) with positive solutions and…
Robustness of linear systems with constant coefficients is considered. There exist methods and tools for analyzing the stability of systems with random or deterministic uncertainties. At the same time, there are no approaches for the…
We study the nonlinear stability of a large class of inhomogeneous steady state solutions to the Hamiltonian Mean Field (HMF) model. Under a simple criterion, we prove the nonlinear stability of steady states which are decreasing functions…
The development of accurate and fast algorithms for the Boltzmann collision integral and their analysis represent a challenging problem in scientific computing and numerical analysis. Recently, several works were devoted to the derivation…
We describe stochastic Newton and stochastic quasi-Newton approaches to efficiently solve large linear least-squares problems where the very large data sets present a significant computational burden (e.g., the size may exceed computer…
In this paper, we establish existence and uniqueness of strong solutions for a stochastic differential equation driven by an additive noise given by the sum of two correlated fractional Brownian sheets with different Hurst parameters. Our…
In the second part of this two-paper series, the stability margin of a critical machine and that of the system are first proposed, and then the concept of non-global stability margin is illustrated. Based on the crucial statuses of the…
This paper is concerned with developing and analyzing two novel implicit temporal discretization methods for the stochastic semilinear wave equations with multiplicative noise. The proposed methods are natural extensions of well-known…