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Transport and acceleration of charged particles in turbulent media is a topic of great interest in space physics and interstellar astrophysics. These processes are dominated by the scattering of particles off magnetic irregularities. The…
We investigate the strong approximation of stochastic differential equations whose drift is square-integrable in time and Dini continuous in space, while the diffusion coefficient is non-constant and uniformly elliptic. Using a refined…
This paper introduces a randomized tamed Euler scheme tailored for L\'evy-driven stochastic differential equations (SDEs) with superlinear random coefficients and Carath\'eodory-type drift. Under assumptions that allow for time-irregular…
We present an efficient numerical scheme based on Monte Carlo integration to approximate statistical solutions of the incompressible Euler equations. The scheme is based on finite volume methods, which provide a more flexible framework than…
This paper deals with asymptotic errors, limit theorems for errors between numerical and exact solutions of stochastic differential equation (SDE) driven by one-dimensional fractional Brownian motion (fBm). The Euler-Maruyama, higher-order…
We consider a class of stochastic gradient optimization schemes. Assuming that the objective function is strongly convex, we prove weak error estimates which are uniform in time for the error between the solution of the numerical scheme,…
Motivated by the results of \cite{sabanis2015}, we propose explicit Euler-type schemes for SDEs with random coefficients driven by L\'evy noise when the drift and diffusion coefficients can grow super-linearly. As an application of our…
We investigate the role of the form of the spatial diffusion coefficient in shock acceleration of fast particles. Referring to non-classical diffusion and using the results of numerical (hybrid) simulations tailored for the downstream shock…
In this paper, we investigate the problem of strong approximation of the solutions of stochastic differential equations (SDEs) when the drift coefficient is given in integral form. We investigate its upper error bounds, in terms of the…
Mathematically modelling diffusive and advective transport of particles in heterogeneous layered media is important to many applications in computational, biological and medical physics. While deterministic continuum models of such…
In this work, we adapt the {\em micro-macro} methodology to stochastic differential equations for the purpose of numerically solving oscillatory evolution equations. The models we consider are addressed in a wide spectrum of regimes where…
We develop a new numerical algorithm to model collisional cascades in debris disks. Because of the large dynamical range in particle masses, we solve the integro-differential equations describing erosive and catastrophic collisions in a…
We discuss new methods to integrate the cosmic ray (CR) evolution equations coupled to magneto-hydrodynamics (MHD) on an unstructured moving mesh, as realised in the massively parallel AREPO code for cosmological simulations. We account for…
A numerical method for integrating the equations describing a dynamically coupled system made of a fluid and cosmic-rays is developed. In smooth flows the effect of CR pressure is accounted for by modification of the characteristic…
This paper is concerned with high moment and pathwise error estimates for both velocity and pressure approximations of the Euler-Maruyama scheme for time discretization and its two fully discrete mixed finite element discretizations. The…
A finite difference numerical scheme is proposed and analyzed for the Cahn-Hilliard-Stokes system with Flory-Huggins energy functional. A convex splitting is applied to the chemical potential, which in turns leads to the implicit treatment…
The aim of this article is to provide a scheme for simulating diffusion processes evolving in one-dimensional discontinuous media. This scheme does not rely on smoothing the coefficients that appear in the infinitesimal generator of the…
This is one of our series papers on multistep schemes for solving forward backward stochastic differential equations (FBSDEs) and related problems. Here we extend (with non-trivial updates) our multistep schemes in [W. Zhao, Y. Fu and T.…
The HLLEM scheme is a popular contact and shear preserving approximate Riemann solver for cheap and accurate computation of high speed gasdynamical flows. Unfortunately this scheme is known to be plagued by various forms of numerical shock…
Several relaxation approximations to partial differential equations have been recently proposed. Examples include conservation laws, Hamilton-Jacobi equations, convection-diffusion problems, gas dynamics problems. The present paper focuses…