Related papers: Numerical Methods for Linear Diffusion Equations i…
This paper develops and analyzes an efficient numerical method for solving elliptic partial differential equations, where the diffusion coefficients are random perturbations of deterministic diffusion coefficients. The method is based upon…
In this paper, we propose a class of explicit positivity preserving numerical methods for general stochastic differential equations which have positive solutions. Namely, all the numerical solutions are positive. Under some reasonable…
This paper focusses on finite volume schemes for solving multilayer diffusion problems. We develop a finite volume method that addresses a deficiency of recently proposed finite volume/difference methods, which consider only a limited…
We consider one-step methods for integrating stochastic differential equations and prove pathwise convergence using ideas from rough path theory. In contrast to alternative theories of pathwise convergence, no knowledge is required of…
In this paper, we study numerical methods for the solution of partial differential equations on evolving surfaces. The evolving hypersurface in $\Bbb{R}^d$ defines a $d$-dimensional space-time manifold in the space-time continuum…
Problems with localized nonhomogeneous material properties present well-known challenges for numerical simulations. In particular, such problems may feature large differences in length scales, causing difficulties with meshing and…
Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler-Maruyama approximation method…
This paper is concerned with the numerical approximation of stochastic ordinary differential equations, which satisfy a global monotonicity condition. This condition includes several equations with super-linearly growing drift and diffusion…
We develop unified and easy to use framework to study robust fully discrete numerical methods for nonlinear degenerate diffusion equations $$ \partial_t u-\mathfrak{L}[\varphi(u)]=f(x,t) \qquad\text{in}\qquad \mathbb{R}^N\times(0,T), $$…
We study the convergence of the new family of mimetic finite difference schemes for linear diffusion problems recently proposed in [38]. In contrast to the conventional approach, the diffusion coefficient enters both the primary mimetic…
This paper presents a numerical method to implement the parameter estimation method using response statistics that was recently formulated by the authors. The proposed approach formulates the parameter estimation problem of It\^o drift…
Parameter inference for stochastic differential equations is challenging due to the presence of a latent diffusion process. Working with an Euler-Maruyama discretisation for the diffusion, we use variational inference to jointly learn the…
This article proposes a highly accurate and conservative method for hyperbolic systems using the finite volume approach. This innovative scheme constructs the intermediate states at the interfaces of the control volumes using the method of…
We consider a time-dependent linear diffusion equation together with a related inverse boundary value problem. The aim of the inverse problem is to determine, based on observations on the boundary, the non-homogeneous diffusion coefficient…
Numerical simulation of compressible fluid flows is performed using the Euler equations. They include the scalar advection equation for the density, the vector advection equation for the velocity and a given pressure dependence on the…
In this paper, we study numerical methods for the homogenization of linear second-order elliptic equations in nondivergence-form with periodic diffusion coefficients and large drift terms. Upon noting that the effective diffusion matrix can…
A Lagrangian numerical scheme for solving nonlinear degenerate Fokker-Planck equations in space dimensions $d\ge2$ is presented. It applies to a large class of nonlinear diffusion equations, whose dynamics are driven by internal energies…
We consider a nonlocal evolution equation representing the continuum limit of a large ensemble of interacting particles on graphs forced by noise. The two principle ingredients of the continuum model are a nonlocal term and Q-Wiener process…
We introduce a new class of numerical methods for solving McKean-Vlasov stochastic differential equations, which are relevant in the context of distribution-dependent or mean-field models, under super-linear growth conditions for both the…
In this paper, we propose a horizontal type method of lines numerical scheme for the unsteady Euler-Bernoulli beam equation. The problem is initially reformulated as a first order system of initial value problems and a suitable one-step…