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We proved the explicit formulas in Laplace transform of the hitting times for the birth and death processes on a denumerable state space with $\ift$ the exit or entrance boundary. This extends the well known Keilson's theorem from finite…
We give an algorithm to compute $N$ steps of a convolution quadrature approximation to a continuous temporal convolution using only $O(N \log N)$ multiplications and $O(\log N)$ active memory. The method does not require evaluations of the…
We consider the problem of analyzing and designing gradient-based discrete-time optimization algorithms for a class of unconstrained optimization problems having strongly convex objective functions with Lipschitz continuous gradient. By…
In a previous paper, a technique was suggested to avoid order reduction with any explicit exponential Runge-Kutta method when integrating initial boundary value nonlinear problems with time-dependent boundary conditions. In this paper, we…
This paper continues to study the explicit two-stage fourth-order accurate time discretiza- tions [5, 7]. By introducing variable weights, we propose a class of more general explicit one-step two-stage time discretizations, which are…
A mixed accuracy framework for Runge--Kutta methods presented in Grant [JSC 2022] and applied to diagonally implicit Runge--Kutta (DIRK) methods can significantly speed up the computation by replacing the implicit solver by less expensive…
This note contains a short and simple proof of Wormald's differential equation method (that yields slightly improved approximation guarantees and error probabilities). This powerful method uses differential equations to approximate the…
A parallel algorithm for computing the finite difference solution to the elliptic equations with non-separable variables is presented. The resultant matrix is symmetric positive definite, thus the preconditioning conjugate gradient or the…
We address a linear fractional differential equation and develop effective solution methods using algorithms for inversion of triangular Toeplitz matrices and the recently proposed QTT format. The inverses of such matrices can be computed…
There exist many Runge-Kutta methods (explicit or implicit), more or less adapted to specific problems. Some of them have interesting properties, such as stability for stiff problems or symplectic capability for problems with energy…
Vacuum energy and other spectral functions of Laplace-type differential operators have been studied approximately by classical-path constructions and more fundamentally by boundary integral equations. As the first step in a program of…
For an arbitrary L\'evy process $X$ which is not a compound Poisson process, we are interested in its occupation times. We use a quite novel and useful approach to derive formulas for the Laplace transform of the joint distribution of $X$…
We transform the time-dependent Schroedinger equation for the most general variable quadratic Hamiltonians into a standard autonomous form. As a result, the time-evolution of exact wave functions of generalized harmonic oscillators is…
Our article considers a regression model with observed factors. The observed factors have a flexible stochastic volatility structure that has separate dynamics for the volatilities and the correlation matrix. The correlation matrix of the…
We study the stability of explicit Runge-Kutta methods for high order Lagrangian finite element approximation of linear parabolic equations and establish bounds on the largest eigenvalue of the system matrix which determines the largest…
We prove certain localized and global differential Harnack inequality for all positive solutions to the geometric conjugate heat equation coupled to the forward in time Ricci flow. In this case, the diffusion operator is perturbed with the…
This article is devoted to derivation of the Laplace transforms of the derivatives with respect to parameters of certain special functions, namely, the Mittag-Leffler type, Wright and Le Roy type functions. These formulas show…
It is shown that quadrature formulas in many different applications can be derived from rational approximation of the Cauchy transform of a weight function. Since rational approximation is now a routine technology, this provides an easy new…
By using the Lewis-Riesenfeld theory and the invariant-related unitary transformation formulation, the exact solutions of the {\it time-dependent} Schr\"{o}dinger equations which govern the various Lie-algebraic quantum systems in atomic…
Algebraic Riccati equations are encountered in many applications of control and engineering problems, e.g., LQG problems and $H^\infty$ control theory. In this work, we study the properties of one type of discrete-time algebraic Riccati…