Related papers: Explicit schemes for parabolic and hyperbolic equa…
We are investigating the first strong convergence analysis of a numerical method for stochastic differential algebraic equations (SDAEs) under a non-global Lipschitz setting. It is well known that the explicit Euler scheme fails to converge…
In this paper, we develop an ensemble-based time-stepping algorithm to efficiently find numerical solutions to a group of linear, second-order parabolic partial differential equations (PDEs). Particularly, the PDE models in the group could…
We propose an approximation scheme for a class of semilinear parabolic equations that are convex and coercive in their gradients. Such equations arise often in pricing and portfolio management in incomplete markets and, more broadly, are…
We develop and analyze a class of maximum bound preserving schemes for approximately solving Allen--Cahn equations. We apply a $k$th-order single-step scheme in time (where the nonlinear term is linearized by multi-step extrapolation), and…
With the example of the spherically symmetric scalar wave equation on Minkowski space-time we demonstrate that a fully pseudospectral scheme (i.e. spectral with respect to both spatial and time directions) can be applied for solving…
Moving grids are of interest in the numerical solution of hydrodynamical problems and in numerical relativity. We show that conventional integration methods for the simple wave equation in one and more than one dimension exhibit a number of…
We propose a variational splitting technique for the generalized-$\alpha$ method to solve hyperbolic partial differential equations. We use tensor-product meshes to develop the splitting method, which has a computational cost that grows…
In this paper we describe an iterative operator-splitting method for unbounded operators. We derive error bounds for iterative splitting methods in the presence of unbounded operators and semigroup operators. Here mixed applications of…
This paper proposes a new second-order symmetric algorithm for solving decoupled forward-backward stochastic differential equations. Inspired by the alternating direction implicit splitting method for partial differential equations, we…
We investigate time complexities of finite difference methods for solving the high-dimensional linear heat equation, the high-dimensional linear hyperbolic equation and the multiscale hyperbolic heat system with quantum algorithms (hence…
In this article a class of additive invariant positive selfadjoint pseudodifferential unbounded operators on $L^{2}(\mathbb{A}_{f})$, where $\mathbb{A}_{f}$ is the ring of finite ad\'eles of the rational numbers, is considered to state a…
Matrix double splitting iterations are simple in implementation while solving real non-singular (rectangular) linear systems. In this paper, we present two Alternating Double Splitting (ADS) schemes formulated by two double splittings and…
In this paper, a high-order and fast numerical method is investigated for the time-fractional Black-Scholes equation. In order to deal with the typical weak initial singularities of the solution, we construct a finite difference scheme with…
The numerical methods for differential equation solution allow obtaining a discrete field that converges towards the solution if the method is applied to the correct problem. Nevertheless, the numerical methods have the restricted class of…
We consider compact finite-difference schemes of the 4th approximation order for an initial-boundary value problem (IBVP) for the $n$-dimensional non-homogeneous wave equation, $n\geq 1$. Their construction is accomplished by both the…
It is a very common practice to use semi-implicit schemes in various computations, which treat selected linear terms implicitly and the nonlinear terms explicitly. For phase-field equations, the principal elliptic operator is treated…
In the present paper we consider a 2-D shallow-water equations (SWE) model on a $\beta$-plane solved using an alternating direction fully implicit (ADI) finite-difference scheme on a rectangular domain. The scheme was shown to be…
Explicit stabilized methods are highly efficient time integrators for large and stiff systems of ordinary differential equations especially when applied to semi-discrete parabolic problems. However, when local spatial mesh refinement is…
In this paper, we propose multicontinuum splitting schemes for multiscale problems, focusing on a parabolic equation with a high-contrast coefficient. Using the framework of multicontinuum homogenization, we introduce spatially smooth…
We study an asymptotic preserving scheme for the temporal discretization of a system of parabolic semilinear SPDEs with two time scales. Owing to the averaging principle, when the time scale separation $\epsilon$ vanishes, the slow…