Related papers: Exponential integrability properties of numerical …
In this paper we consider the Euler-Maruyama scheme for a class ofstochastic delay differential equations driven by a fractional Brownian motion with index $H\in(0,1)$. We establish the consistency of the scheme and study the rate of…
Purpose of writing this paper is to solve a transcendental function containing a product of a variable and its double exponential by a unique method of approximation. If the value of the said product is given, then its inverse function is…
Exponential integrators are a well-known class of time integration methods that have been the subject of many studies and developments in the past two decades. Surprisingly, there have been limited efforts to analyze their stability and…
In this paper, we study the polynomial stability of analytical solution and convergence of the semi-implicit Euler method for non-linear stochastic pantograph differential equations. Firstly, the sufficient conditions for solutions to grow…
In this paper, we formulate and analyse exponential integrations when applied to nonlinear Schr\"{o}dinger equations in a normal or highly oscillatory regime. A kind of exponential integrators with energy preservation, optimal convergence…
An approach is suggested defining effective sums of divergent series in the form of self-similar exponential approximants. The procedure of constructing these approximants from divergent series with arbitrary noninteger powers is developed.…
In this study, we employ Euler's method and Richardson's extrapolation to solve a triple integral, which is then transformed into a third-order initial value problem. Our objective is to resolve the computational challenges associated with…
Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum with general stochastic partition is studied. Effective discretization schemes of which asymptotic conditional…
The Inverse Problem for the estimation of a point-wise approximation error occurring at the discretization and solving of the system of partial differential equations is addressed. The set of the differences between the numerical solutions…
This paper mainly investigates the strong convergence and stability of the truncated Euler-Maruyama (EM) method for stochastic differential delay equations with variable delay whose coefficients can be growing super-linearly. By…
Computers calculate transcendental functions by approximating them through the composition of a few limited-precision instructions. For example, an exponential can be calculated with a Taylor series. These approximation methods were…
The efficient numerical solution of many kinetic models in plasma physics is impeded by the stiffness of these systems. Exponential integrators are attractive in this context as they remove the CFL condition induced by the linear part of…
In this paper, we investigate the problem of strong approximation of the solutions of stochastic differential equations (SDEs) when the drift coefficient is given in integral form. We investigate its upper error bounds, in terms of the…
Many stochastic differential equations that occur in financial modelling do not satisfy the standard assumptions made in convergence proofs of numerical schemes that are given in textbooks, i.e., their coefficients and the corresponding…
In this paper, we investigate the weak convergence rate of Euler-Maruyama's approximation for stochastic differential equations with irregular drifts. Explicit weak convergence rates are presented if drifts satisfy an integrability…
We study a class of stochastic integral equations with jumps under non-Lipschitz conditions. We use the method of Euler approximations to obtain the existence of the solution and give some sufficient conditions for the strong uniqueness.
Given strong uniqueness for an It\^o's stochastic equation, we prove that its solution can beconstructed on "any" probability space by using, for example, Euler's polygonal approximations. Stochastic equations in $\mathbb{R}^{d}$ and in…
The Euler scheme is up to date the most important numerical method for ordinary differential inclusions, because the use of the available higher-order methods is prohibited by their enormous complexity after spatial discretization.…
The strong numerical approximation of semilinear stochastic partial differential equations (SPDEs) driven by infinite dimensional Wiener processes is investigated. There are a number of results in the literature that show that Euler-type…
The Euler scheme is one of the standard schemes to obtain numerical approximations of stochastic differential equations (SDEs). Its convergence properties are well-known in the case of globally Lipschitz continuous coefficients. However, in…