Related papers: Comparing Numerical Integration Schemes for Time-C…
We present Cahn-Hilliard and Allen-Cahn numerical integration algorithms that are unconditionally stable and so provide significantly faster accuracy-controlled simulation. Our stability analysis is based on Eyre's theorem and unconditional…
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…
We develop an Euler-type method to predict the evolution of a time-dependent probability measure without explicitly learning an operator that governs its evolution. We use linearized optimal transport theory to prove that the measure-valued…
The integration of gyroscope measurements is an essential task for most navigation systems. Modern vehicles typically use strapdown systems, such that gyro integration requires coning compensation to account for the sensor's rotation during…
In this paper, discrete linear quadratic regulator (DLQR) and iterative linear quadratic regulator (ILQR) methods based on high-order Runge-Kutta (RK) discretization are proposed for solving linear and nonlinear quadratic optimal control…
To address the issues of stability and accuracy for reaction-diffusion equations, the development of high order and stable time-stepping methods is necessary. This is particularly true in the context of cardiac electrophysiology, where…
We analyse a Monte Carlo particle method for the simulation of the calibrated Heston-type local stochastic volatility (H-LSV) model. The common application of a kernel estimator for a conditional expectation in the calibration condition…
We consider a class of stochastic path-dependent volatility models where the stochastic volatility, whose square follows the Cox-Ingersoll-Ross model, is multiplied by a (leverage) function of the spot price, its running maximum, and time.…
We propose a theoretical framework for investigating a modeling error caused by numerical integration in the learning process of dynamics. Recently, learning equations of motion to describe dynamics from data using neural networks has been…
We provide a note on continuous-stage Runge-Kutta methods (csRK) for solving initial value problems of first-order ordinary differential equations. Such methods, as an interesting and creative extension of traditional Runge-Kutta (RK)…
In this paper, two new families of fourth-order explicit exponential Runge--Kutta (ERK) methods with four stages are studied for solving first-order differential systems $y'(t)+My(t)=f(y(t))$. By comparing the Taylor series of the exact…
We present a general, high-order, fully explicit relaxation scheme which can be applied to any system of nonlinear hyperbolic conservation laws in multiple dimensions. The scheme consists of two steps. In a first (relaxation) step, the…
This article presents an in-depth review of the topic of path following for autonomous robotic vehicles, with a specific focus on vehicle motion in two dimensional space (2D). From a control system standpoint, path following can be…
The car-following behavior of individual drivers in real city traffic is studied on the basis of (publicly available) trajectory datasets recorded by a vehicle equipped with an radar sensor. By means of a nonlinear optimization procedure…
A recently developed high-order implicit shock tracking (HOIST) framework for resolving discontinuous solutions of inviscid, steady conservation laws [41, 43] is extended to the unsteady case. Central to the framework is an optimization…
In this paper, we study probabilistic numerical methods based on optimal quantization algorithms for computing the solution to optimal multiple switching problems with regime-dependent state process. We first consider a discrete-time…
An approach is treated for numerical integration of ordinary differential equations systems of the first order with choice of a computation scheme, ensuring the required local precision. The treatment is made on the basis of schemes of…
The Allen-Cahn equation is a fundamental model for phase transitions, offering critical insights into the dynamics of interface evolution in various physical systems. This paper investigates the stability and robustness of frequently…
In this paper, we study the uniform accuracy of implicit-explicit (IMEX) Runge-Kutta (RK) schemes for general linear hyperbolic relaxation systems satisfying the structural stability condition proposed in \cite{yong_singular_1999}. We…
We study the effect of global error control in the numerical solution of Hamiltonian systems. In particular, we apply the RKQ algorithm in the numerical solution of a Hamiltonian system. This algorithm is designed to provide stepwise…