Related papers: On explicit numerical schemes for the CIR process
Splitting methods for the numerical integration of differential equations of order greater than two involve necessarily negative coefficients. This order barrier can be overcome by considering complex coefficients with positive real part.…
We present a new algorithm to compute the integral closure of a reduced Noetherian ring in its total ring of fractions. A modification, applicable in positive characteristic, where actually all computations are over the original ring, is…
An explicit weak solution for the 3/2 stochastic volatility model is obtained and used to develop a simulation algorithm for option pricing purposes. The 3/2 model is a non-affine stochastic volatility model whose variance process is the…
We present an optimal rate convergence analysis for a second order accurate in time, fully discrete finite difference scheme for the Cahn-Hilliard-Navier-Stokes (CHNS) system, combined with logarithmic Flory-Huggins energy potential. The…
We present an efficient second-order finite difference scheme for solving the 2D sine-Gordon equation, which can inherit the discrete energy conservation for the undamped model theoretically. Due to the semi-implicit treatment for the…
Successive quadratic approximations, or second-order proximal methods, are useful for minimizing functions that are a sum of a smooth part and a convex, possibly nonsmooth part that promotes regularization. Most analyses of iteration…
Structure-preserving discretizations of the SIR model are presented by focusing on the hodograph transformation and the conditions for integrability for their discrete SIR models are given. For those integrable discrete SIR models, we…
Interior Point Methods are widely used to solve Linear Programming problems. In this work, we present two primal affine scaling algorithms to achieve faster convergence in solving Linear Programming problems. In the first algorithm, we…
Private information retrieval has been reformulated in an information-theoretic perspective in recent years. The two most important parameters considered for a PIR scheme in a distributed storage system are the storage overhead and PIR…
We introduce a systematic approach for the resummation of perturbative series which involve large logarithms not only due to large invariant mass ratios but large rapidities as well. Series of this form can appear in a variety of gauge…
Building on the standard theory of process algebra with priorities, we identify a new scheduling mechanism, called "constructive reduction" which is designed to capture the essence of synchronous programming. The distinctive property of…
A refinement of Shor's Algorithm for determining order is introduced, which determines a divisor of the order after any one run of a quantum computer with almost absolute certainty. The information garnered from each run is accumulated to…
This paper proposes an optimum version of the recently advanced scheme for generalized unary coding. In this method, the block of 1s that identifies the number is allowed to be broken up, which extends the count. The result is established…
We offer multiplication method for factoring big natural numbers which extends the group of the Fermat's and Lehman's factorization algorithms and has run-time complexity $O(n^{1/3})$. This paper is argued the finiteness of proposed…
To solve the Cahn-Hilliard equation numerically, a new time integration algorithm is proposed, which is based on a combination of the Eyre splitting and the local iteration modified (LIM) scheme. The latter is employed to tackle the…
Computer model calibration is a crucial step in building a reliable computer model. In the face of massive physical observations, a fast estimation for the calibration parameters is urgently needed. To alleviate the computational burden, we…
We propose a novel scheme for the exact renormalisation group motivated by the desire of reducing the complexity of practical computations. The key idea is to specify renormalisation conditions for all inessential couplings, leaving us with…
Making good predictions of a physical system using a computer code requires the inputs to be carefully specified. Some of these inputs called control variables have to reproduce physical conditions whereas other inputs, called parameters,…
We propose a novel time stepping method for linear poroelasticity by extending a recent iterative decoupling approach to the second-order case. This results in a two-step scheme with an inner iteration and a relaxation step. We prove…
Given n=p*q with p and q prim and y in Z_{p*q}^*. Shor's Algorithm computes the order r of y, i.e. y^r=1 (mod n). If r=2k is even and y^k \ne -1 (mod n) we can easily compute a non trivial factor of n: gcd(y^k-1,n). In the original paper it…