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Implicit-explicit (IMEX) time integration schemes are well suited for nonlinear structural dynamics because of their low computational cost and high accuracy. However, stability of IMEX schemes cannot be guaranteed for general nonlinear…
Given a stochastic differential equation (SDE) in $\mathbb{R}^n$ whose solution is constrained to lie in some manifold $M \subset \mathbb{R}^n$, we propose a class of numerical schemes for the SDE whose iterates remain close to $M$ to high…
In this paper, uniformly unconditionally stable first and second order finite difference schemes are developed for kinetic transport equations in the diffusive scaling. We first derive an approximate evolution equation for the macroscopic…
We derive and analyze numerical methods for underdamped (kinetic) Langevin dynamics in a domain with elastic reflection at the boundary. First-order approximations are based on an Euler-type scheme incorporating collision-handling at the…
A new weak Galerkin (WG) finite element method for solving the biharmonic equation in two or three dimensional spaces by using polynomials of reduced order is introduced and analyzed. The WG method is on the use of weak functions and their…
We study a general class of singular degenerate parabolic stochastic partial differential equations (SPDEs) which include, in particular, the stochastic porous medium equations and the stochastic fast diffusion equation. We propose a fully…
We show that a first order problem can approximate solutions of a robust optimization problem when the uncertainty set is scaled, and explore further properties of this first order problem.
This paper investigates the robust stabilisation of a class of fractional-order non-linear systems via fixed-order dynamic output feedback controller in terms of linear matrix inequalities (LMIs). The systematic stabilisation algorithm…
In this paper, we propose and analyse a reconstruction technique which enables one to design high-order conservative semi-Lagrangian schemes for kinetic equations. The proposed reconstruction can be obtained by taking the sliding average of…
The goal of this paper is to solve backward doubly stochastic differential equation (BDSDE, in short) under weak assumptions on the data. The first part is devoted to the development of some new technical aspects of stochastic calculus…
This paper studies the problem of stability of a parameterized delay differential equations (DDE see equation (0.1)). After discretizing the DDE (0.1), we show that the problem can be equivalently casted into a semi-definite programming…
In this paper, it is shown that any well-posed 2nd order PDE can be reformulated as a well-posed first order least squares system. This system will be solved by an adaptive wavelet solver in optimal computational complexity. The…
We develop a multilevel approach to compute approximate solutions to backward differential equations (BSDEs). The fully implementable algorithm of our multilevel scheme constructs sequential martingale control variates along a sequence of…
We introduce a class of first-order methods for smooth constrained optimization that are based on an analogy to non-smooth dynamical systems. Two distinctive features of our approach are that (i) projections or optimizations over the entire…
We revisit second-order-in-time space-time discretizations of the linear and semilinear wave equations by establishing precise equivalences with first-order-in-time formulations. Focusing on schemes using continuous piecewise-polynomial…
In this paper, we propose a stochastic method for solving equality constrained optimization problems that utilizes predictive variance reduction. Specifically, we develop a method based on the sequential quadratic programming paradigm that…
This paper addresses the challenging numerical simulation of nonlinear hybrid stochastic functional differential equations with infinite delays. We first propose an explicit scheme using space and time truncation, requiring only finite…
The rates of strong convergence for various approximation schemes are investigated for a class of stochastic differential equations (SDEs) which involve a random time change given by an inverse subordinator. SDEs to be considered are unique…
This paper investigates the quantitative homogenization of first-order ODEs. For single-scale scalar ODEs, we obtain a sharp $O(\varepsilon)$ convergence rate and characterize the effective constant. In the multi-scale setting, our results…
We consider implementations of high-order finite difference Weighted Essentially Non-Oscillatory (WENO) schemes for the Euler equations in cylindrical and spherical coordinate systems with radial dependence only. The main concern of this…