Related papers: Finite difference schemes for stochastic partial d…
A method for numerical approximation of a new class of fractional parabolic stochastic evolution equations is introduced and analysed. This class of equations has recently been proposed as a space-time extension of the SPDE-method in…
This article introduces and analyzes a new explicit, easily implementable, and full discrete accelerated exponential Euler-type approximation scheme for additive space-time white noise driven stochastic partial differential equations…
We develop error estimates for the finite element approximation of elliptic partial differential equations on perturbed domains, i.e. when the computational domain does not match the real geometry. The result shows that the error related to…
We consider linear elliptic and parabolic equations with measurable coefficients and prove two types of $L_{p}$-estimates for their solutions, which were recently used in the theory of fully nonlinear elliptic and parabolic second order…
A new concept is introduced for the adaptive finite element discretization of partial differential equations that have a sparsely representable solution. Motivated by recent work on compressed sensing, a recursive mesh refinement procedure…
We consider parametric estimation for a parabolic linear second order stochastic partial differential equation (SPDE) from high frequency data which are observed in time and space. By using thinned data obtained from the high frequency…
Stochastic partial differential equations (SPDEs) have become a crucial ingredient in a number of models from economics and the natural sciences. Many SPDEs that appear in such applications include non-globally monotone nonlinearities.…
Starting with some fundamental concepts, in this article we present the essential aspects of spectral methods and their applications to the numerical solution of Partial Differential Equations (PDEs). We start by using Lagrange and…
We introduce generalised finite difference methods for solving fully nonlinear elliptic partial differential equations. Methods are based on piecewise Cartesian meshes augmented by additional points along the boundary. This allows for…
For the fractional Laplace equation, a surprising observation is the non-uniqueness for the basic Dirichlet type problems. In this paper, a somewhat sharp uniqueness condition for the fractional Laplace equation is established. We derive…
The existence and uniqueness in fractional Sobolev spaces of the Cauchy problem to a stochastic parabolic integro-differential equation is investigated. A model problem with coefficients independent of space variable is considered. The…
In approximation theory, logarithmic derivatives of complex polynomials are called simple partial fractions (SPF) as suggested by Eu.P. Dolzhenko. Many solved and unsolved extremal problems related to SPF are traced back to works of G.…
In this paper, we study the numerical simulation of stochastic differential equations (SDEs) on the special orthogonal Lie group $\text{SO}(n)$. We propose a geometry-preserving numerical scheme based on the stochastic tangent space…
We develop efficient and high-order accurate finite difference methods for elliptic partial differential equations in complex geometry in the Difference Potentials framework. The main novelty of the developed schemes is the use of local…
This article gives a new insight of kernel-based (approximation) methods to solve the high-dimensional stochastic partial differential equations. We will combine the techniques of meshfree approximation and kriging interpolation to extend…
Recently there has been renewed interests in derivative free approaches to stochastic optimization. In this paper, we examine the rates of convergence for the Kiefer-Wolfowitz algorithm and the mirror descent algorithm, under various…
When solving elliptic partial differential equations in a region containing immersed interfaces (possibly evolving in time), it is often desirable to approximate the problem using an independent background discretisation, not aligned with…
Finite dimensional solutions to a class of stochastic partial differential equations are obtained extending the differential constraints method for deterministic PDE to the stochastic framework. A geometrical reformulation of the stochastic…
In this paper, exploiting the regularities of the corresponding Kolmogorov equations involved we investigate strong convergence of exponential integrator scheme for a range of stochastic partial differential equations, in which the drift…
Discrete approximations to the equation \begin{equation*} L_{cont}u = u^{(4)} + D(x) u^{(3)} + A(x) u^{(2)} + (A'(x)+H(x)) u^{(1)} + B(x) u = f, \; x\in[0,1] \end{equation*} are considered. This is an extension of the Sturm-Liouville case…