Related papers: Numerical stability analysis of the Euler scheme f…
In this paper we propose an efficient third-order numerical scheme for backward stochastic differential equations(BSDEs). We use 3-point Gauss-Hermite quadrature rule for approximation of the conditional expectation and avoid spatial…
In this paper, we study a novel second-order energy stable Backward Differentiation Formula (BDF) finite difference scheme for the epitaxial thin film equation with slope selection (SS). One major challenge for the higher oder in time…
In a recent paper by Kamrani et al. (2024), exponential Euler method for stiff stochastic differential equations with additive fractional Brownian noise was discussed, and the convergence order close to the Hurst parameter H was proved.…
We introduce a class of explicit balanced schemes for stochastic differential equations with coefficients of superlinearly growth satisfying a global monotone condition. The first scheme is a balanced Euler scheme and is of order half in…
Both the mean square polynomial stability and exponential stability of $\theta$ Euler-Maruyama approximation solutions of stochastic differential equations will be investigated for each $0\le\theta\le 1$ by using an auxiliary function $F$…
For the $1$-d isothermal Euler system, we consider the family of entropic BV solutions with possibly large, but finite, total variation. We show that these solutions are stable with respect to large perturbations in a class of weak…
In this paper, a general theorem on the equivalence of pth moment stability between stochastic differential delay equations (SDDEs) and their numerical methods is proved under the assumptions that the numerical methods are strongly…
The optimal stopping problem is one of the core problems in financial markets, with broad applications such as pricing American and Bermudan options. The deep BSDE method [Han, Jentzen and E, PNAS, 115(34):8505-8510, 2018] has shown great…
The present work concerns the derivation of a fully well-balanced Godunov-type finite volume scheme for the Euler equations with a gravitational potential based on an approximate Riemann solver in a one-dimensional framework. It is an…
In this paper, we study the convergence of the Euler-Maruyama numerical solutions for pantograph stochastic functional differential equations which was proposed in [11]. We also show that the numerical solutions have the properties of…
Machine learning for partial differential equations (PDEs) is a hot topic. In this paper we introduce and analyse a Deep BSDE scheme for nonlinear integro-PDEs with unbounded nonlocal operators -problems arising in e.g. stochastic control…
Intrusive Uncertainty Quantification methods such as stochastic Galerkin are gaining popularity, whereas the classical stochastic Galerkin approach is not ensured to preserve hyperbolicity of the underlying hyperbolic system. We apply a…
In this paper, we consider scalar stochastic differential equations (SDEs) with a superlinearly growing and piecewise continuous drift coefficient. Existence and uniqueness of strong solutions of such SDEs are obtained. Furthermore, the…
In this contribution, we study the theoretical and numerical stability of a bidimensional relative velocity lattice Boltzmann scheme. These relative velocity schemes introduce a velocity field parameter called "relative velocity" function…
In this paper exponential stability of nonlinear fractional order stochastic system with Poisson jumps is studied in finite dimensional space. Existence and uniqueness of solution, stability and exponential stability results are established…
We study a second order BDF (Backward Differentiation Formula) scheme for the numerical approximation of parabolic HJB (Hamilton-Jacobi-Bellman) equations. The scheme under consideration is implicit, non-monotone, and second order accurate…
We study the convergence rate of a class of linear multi-step methods for BSDEs. We show that, under a sufficient condition on the coefficients, the schemes enjoy a fundamental stability property. Coupling this result to an analysis of the…
We solve the optimal control problem of a one-dimensional reflected stochastic differential equation, whose coefficients can be path dependent. The value function of this problem is characterized by a backward stochastic partial…
This work presents the design of nonlinear stabilization techniques for the finite element discretization of Euler equations in both steady and transient form. Implicit time integration is used in the case of the transient form. A…
This paper deals with the backward Euler method applied to semilinear parabolic stochastic partial differential equations (SPDEs) driven by additive noise. The SPDE is discretized in space by the finite element method and in time by the…