Related papers: Higher order splitting methods with modified integ…
Numerical analysis for the stochastic Stokes equations is still challenging even though it has been well done for the corresponding deterministic equations. In particular, the pre-existing error estimates of finite element methods for the…
We develop a method for the rigorous estimation of Hausdorff dimensions of limit sets produced by continued fraction iterated function systems. Our method is based on the approximation of a Perron-Frobenius operator using the finite element…
We develop high-order flux splitting schemes for the one- and two-dimensional Euler equations of gas dynamics. The proposed schemes are high-order extensions of the existing first-order flux splitting schemes introduced in [ E. F. Toro, M.…
We construct integrators to be used in Hamiltonian (or Hybrid) Monte Carlo sampling. The new integrators are easily implementable and, for a given computational budget, may deliver five times as many accepted proposals as standard…
We present directional operator splitting schemes for the numerical solution of a fourth-order, nonlinear partial differential evolution equation which arises in image processing. This equation constitutes the $H^{-1}$-gradient flow of the…
In this paper, a non-uniform time-stepping convex-splitting numerical algorithm for solving the widely used time-fractional Cahn-Hilliard equation is introduced. The proposed numerical scheme employs the $L1^+$ formula for discretizing the…
This paper is dedicated to the construction of high-order (in both space and time) finite-difference schemes for both forward and backward PDEs and PIDEs, such that option prices obtained by solving both the forward and backward equations…
We study parameter estimation for univariate stochastic differential equations with locally Lipschitz drift and H\"older continuous multiplicative diffusion, a class commonly arising in several applications. Existing inference methods…
The aim of this paper is to develop and analyze high-order time stepping schemes for solving semilinear subdiffusion equations. We apply the $k$-step BDF convolution quadrature to discretize the time-fractional derivative with order…
We introduce a time-parallel algorithm for solving numerically almost integrable Hamiltonian systems in action-angle coordinates. This algorithm is a refinement of that introduced by Saha, Stadel and Tremaine in 1997 (SST97) for the same…
We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility jump models, e.g. in Bates model. In such models the option price is determined as the solution of a partial integro-differential…
Explicit symplectic integrators have been important tools for accurate and efficient approximations of mechanical systems with separable Hamiltonians. For the first time, the article proposes for arbitrary Hamiltonians similar integrators,…
We propose a class of semi-Lagrangian methods of high approximation order in space and time, based on spectral element space discretizations and exponential integrators of Runge-Kutta type. We discuss the extension of these methods to the…
We present sixth- and eighth-order Hermite integrators for astrophysical $N$-body simulations, which use the derivatives of accelerations up to second order ({\it snap}) and third order ({\it crackle}). These schemes do not require previous…
Phase reduction is a commonly used techinque for analyzing stable oscillators, particularly in studies concerning synchronization and phase lock of a network of oscillators. In a widely used numerical approach for obtaining phase reduction…
We show that a recently discovered fourth order symplectic algorithm, which requires one evaluation of force gradient in addition to three evaluations of the force, when iterated to higher order, yielded algorithms that are far superior to…
We study Hamiltonian Monte Carlo (HMC) samplers based on splitting the Hamiltonian $H$ as $H_0(\theta,p)+U_1(\theta)$, where $H_0$ is quadratic and $U_1$ small. We show that, in general, such samplers suffer from stepsize stability…
An efficient and accurate finite-element algorithm is described for the numerical solution of the incompressible Navier-Stokes (INS) equations. The new algorithm that solves the INS equations in a velocity-pressure reformulation is based on…
We are concerned with the numerical solution obtained by splitting methods of certain parabolic partial differential equations. Splitting schemes of order higher than two with real coefficients necessarily involve negative coefficients. It…
We reconsider the variational derivation of symplectic partitioned Runge-Kutta schemes. Such type of variational integrators are of great importance since they integrate mechanical systems with high order accuracy while preserving the…