Related papers: Weak and strong approximations of reflected diffus…
A theory is presented (and supported by numerical simulations) for phase-coherent reflection of light by a disordered medium which either absorbs or amplifies radiation. The distribution of reflection eigenvalues is shown to be the Laguerre…
We consider a diffusion equation with highly oscillatory coefficients that admits a homogenized limit. As an alternative to standard corrector problems, we introduce here an embedded corrector problem, written as a diffusion equation in the…
We present a numerical approximation method for linear diffusion-reaction problems with possibly discontinuous Dirichlet boundary conditions. The solution of such problems can be represented as a linear combination of explicitly known…
We consider the regularized short-pulse equation, which contains nonlinear dis- persive effects. We prove that as the diffusion parameter tends to zero, the solutions of the dispersive equation converge to discontinuous weak solutions of…
The aim of this paper is to develop a sequence of discrete approximations to a one-dimensional It\^o diffusion that almost surely converges to a weak solution of the given stochastic differential equation. Under suitable conditions, the…
By using the spectrum of the underlying symmetric diffusion operator, the convergence in $L^p$-Wasserstein distance $\mathbb W_p (p\ge 1)$ is characterized for the empirical measure $\mu_t$ of non-symmetric subordinated diffusion processes…
A new class of explicit Euler schemes, which approximate stochastic differential equations (SDEs) with superlinearly growing drift and diffusion coefficients, is proposed in this article. It is shown, under very mild conditions, that these…
In this paper we study reflected backward stochastic differential equations with a continuous, linear growth coefficient and two barriers which belong to L^2. We prove that there exists at least by penalization method.
We investigate the fractional diffusion approximation of a kinetic equation set in a bounded interval with diffusive reflection conditions at the boundary. In an appropriate singular limit corresponding to small Knudsen number and long time…
Strong convergence rates for numerical approximations of semilinear stochastic partial differential equations (SPDEs) with smooth and regular nonlinearities are well understood in the literature. Weak convergence rates for numerical…
We consider a jump-diffusion process on a bounded domain with reflection at the boundary, and establish long-term results for a general additive process of its path. This includes the long-term behaviour of its occupation time in the…
We consider the rate of convergence of the expected loss of empirically optimal vector quantizers. Earlier results show that the mean-squared expected distortion for any fixed distribution supported on a bounded set and satisfying some…
We consider an optimization problem with strongly convex objective and linear inequalities constraints. To be able to deal with a large number of constraints we provide a penalty reformulation of the problem. As penalty functions we use a…
We consider elliptic problems with complicated, discontinuous diffusion tensor $A_{\scriptscriptstyle 0} $. One of the standard approaches to numerically treat such problems is to simplify the coefficient by some approximation, say…
We address an original approach for the convergence analysis of a finite-volume scheme for the approximation of a stochastic diffusion-convection equation with multiplicative noise in a bounded domain of $\mathbb{R}^d$ (with $d=2$ or $3$)…
In this paper, we study the diffusion approximation for slow-fast stochastic differential equations with state-dependent switching, where the slow component $X^{\varepsilon}$ is the solution of a stochastic differential equation with…
We characterize diffusion matrices that yield a $L^{\infty}$ convergence rate of $\mathcal{O}(\varepsilon^2)$ in the theory of periodic homogenization of linear elliptic equations in nondivergence-form. Such type-$\varepsilon^2$ diffusion…
For shape optimization problems, governed by elliptic equations with Dirichlet boundary condition and random coefficients, we utilize a penalization technique to get the approximate problem. We consider that uncertainties exists in the…
In this note, we consider a Stochastic Differential Equation under a strong confluence and Lipschitz continuity assumption of the coefficients. For the unique stationary solution, we study the rate of convergence of its empirical measure…
In this paper, we consider Fredlin-Wentzell type large deviation principle (LDP) of multidimensional reflected stochastic partial differential equations in a convex domain, allowing for oblique direction of reflection. To prove the LDP, a…