Related papers: On explicit numerical schemes for the CIR process
In this paper, based on the weak form of the Hamiltonian formulation of the regularized long-wave equation and a novel approach of transforming the original Hamiltonian energy into a quadratic functional, a fully implicit and three…
A precise estimation of the computational complexity in Shor's factoring algorithm under the condition that the large integer we want to factorize is composed by the product of two prime numbers, is derived by the results related to number…
In this paper, we present extensions of the exact simulation algorithm introduced by Beskos et al. (2006). First, a modification in the order in which the simulation is done accelerates the algorithm. In addition, we propose a truncated…
Recently, we have proposed a new diffusive representation for fractional derivatives and, based on this representation, suggested an algorithm for their numerical computation. From the construction of the algorithm, it is immediately…
This work presents several new results concerning the analysis of the convergence of binary, univariate, and linear subdivision schemes, all related to the {\it contractivity factor} of a convergent scheme. First, we prove that a convergent…
In this paper we analyze and implement a second-order-in-time numerical scheme for the three-dimensional phase field crystal (PFC) equation. The numerical scheme was proposed in [46], with the unique solvability and unconditional energy…
Our work presents a new iterative scheme to approximate the fixed points of nonexpansive mapping. The proposed algorithm is constructed to enhance convergence efficiency while preserving theoretical robustness. Under appropriate assumptions…
The derivation of combined prefactored compact schemes for first and second order derivatives is described here, relying on the Fourier analysis of the original prefactored compact schemes. By this approach, the order of accuracy of the…
We observe that successive applications of known results from the theory of positive systems lead to an {\it efficient general algorithm} for positive realizations of transfer functions. We give two examples to illustrate the algorithm, one…
Non-local systems of conservation laws play a crucial role in modeling flow mechanisms across various scenarios. The well-posedness of such problems is typically established by demonstrating the convergence of robust first-order schemes.…
The semi-implicit schemes for the nonlinear predator-prey reaction-diffusion model with the space-time fractional derivatives are discussed, where the space fractional derivative is discretized by the fractional centered difference and WSGD…
The algorithm of Shor for prime factorization is a hybrid algorithm consisting of a quantum part and a classical part. The main focus of the classical part is a continued fraction analysis. The presentation of this is often short, pointing…
Our main objective in this paper is to develop a second-order stochastic numerical method which generalizes the well-known deterministic TR-BDF2 scheme. Since most stochastic techniques used for approximating the solution of a stochastic…
Many important applications are modelled by differential equations with positive solutions. However, it remains an outstanding open problem to develop numerical methods that are both (i) of a high order of accuracy and (ii) capable of…
The aim of this paper is to study a whole class of first order differential inclusions, which fit into the framework of perturbed sweeping process by uniformly prox-regular sets. After obtaining well-posedness results, we propose a…
The second-order cone (SOC) is a class of simple convex cones and optimizing over them can be done more efficiently than with semidefinite programming. It is interesting both in theory and in practice to investigate which convex cones admit…
A modified Green operator is proposed as an improvement of Fourier-based numerical schemes commonly used for computing the electrical or thermal response of heterogeneous media. Contrary to other methods, the number of iterations necessary…
This paper presents a methodology for constructing iterative schemes of any order of convergence for solving nonlinear systems of equations. It also provides formulas for the order of convergence of any iterative schemes constructed using…
In this paper, we develop a first order (in time) numerical scheme for the binary fluid surfactant phase field model. The free energy contains a double-well potential, a nonlinear coupling entropy and a Flory-Huggins potential. The…
This paper derives the exact transition density and cumulative distribution function of a linear combination of two independent Cox-Ingersoll-Ross (CIR) processes. By combining the Poisson Gamma mixture representation of the noncentral…