Related papers: Numerical schemes for $G$--Expectations
We prove that some discretization schemes for the 2D Navier-Stokes equations subject to a random perturbation converge in $L^2(\Omega)$. This refines previous results which only established the convergence in probability of these numerical…
This work explores the use of a forward-backward martingale method together with a decoupling argument and entropic estimates between the conditional and averaged measures to prove a strong averaging principle for stochastic differential…
In this paper, we investigate the convergence order in probability of a novel ergodic numerical scheme for damped stochastic nonlinear Schr\"{o}dinger equation with an additive noise. Theoretical analysis shows that our scheme is of order…
For any discrete-time $P$--local martingale $S$ there exists a probability measure $Q \sim P$ such that $S$ is a $Q$--martingale. A new proof for this result is provided. The core idea relies on an appropriate modification of an argument by…
Computing the rate-distortion function for continuous sources is commonly regarded as a standard continuous optimization problem. When numerically addressing this problem, a typical approach involves discretizing the source space and…
In this work, we present a general technique for establishing the strong convergence of numerical methods for stochastic delay differential equations (SDDEs) in the infinite horizon. This technique can also be extended to analyze certain…
We consider a perturbed integrable system with one frequency, and the approximate dynamics for the actions given by averaging over the angle. The classical theory grants that, for a perturbation of order epsilon, the error of this…
The theory of stochastic approximations form the theoretical foundation for studying convergence properties of many popular recursive learning algorithms in statistics, machine learning and statistical physics. Large deviations for…
In this paper, numerical analysis is carried out for a class of history-dependent variational-hemivariational inequalities arising in contact problems. Three different numerical treatments for temporal discretization are proposed to…
The purpose of this paper is to propose a semi-analytical technique convenient for numerical approximation of solutions of the initial value problem for $p$-dimensional delayed and neutral differential systems with constant, proportional…
We consider a discrete-time process adapted to some filtration which lives on a (typically countable) subset of $\mathbb{R}^d$, $d\geq 2$. For this process, we assume that it has uniformly bounded jumps, is uniformly elliptic (can advance…
We present a new time discretization scheme adapted to the structure of GENERIC systems. The scheme is variational in nature and is based on a conditional incremental minimization. The GENERIC structure of the scheme provides stability and…
We introduce a notion of volatility uncertainty in discrete time and define the corresponding analogue of Peng's G-expectation. In the continuous-time limit, the resulting sublinear expectation converges weakly to the G-expectation. This…
This is a survey note of the author's observations on the discrete-time analogues of It\^o formulas.
We study the numerical strong stability of explicit schemes for the numerical approximation of the solution to a BSDE where the driver has polynomial growth in the primary variable and satisfies a monotone decreasing condition, and we…
We apply a composite idea of semi-discrete finite difference approximation in time and Galerkin finite element method in space to solve the Navier-Stokes equations with Caputo derivative of order 0 < {\alpha} < 1. The stability properties…
We shall develop a fully discrete space-time adaptive method for linear parabolic problems based on new reliable and efficient a posteriori analysis for higher order dG(s) finite element discretisations. The adaptive strategy is motivated…
The strong convergence of numerical methods for stochastic differential equations (SDEs) for $t\in[0,\infty)$ is proved. The result is applicable to any one-step numerical methods with Markov property that have the finite time strong…
We investigate the connection between the dynamical Borel-Cantelli and waiting time results. We prove that if a system has the dynamical Borel-Cantelli property, then the time needed to enter for the first time in a sequence of small balls…
We consider a single-server queue where interarrival and service times depend linearly and randomly on customer waiting times, and establish a sample-path moderate deviation principle (MDP) for the waiting time process. The waiting times…