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We consider the problem of minimizing a sum of several convex non-smooth functions. We introduce a new algorithm called the selective linearization method, which iteratively linearizes all but one of the functions and employs simple…

We consider a stochastic sequence $\xi(m)$ with periodically stationary generalized multiple increments of fractional order which combines cyclostationary, multi-seasonal, integrated and fractionally integrated patterns. The filtering…

We consider the system of partial differential equations stemming from the time discretization of the two-field formulation of the Biot's model with the backward Euler scheme. A typical difficulty encountered in the space discretization of…

We study the problem of computing the value function from a discretely-observed trajectory of a continuous-time diffusion process. We develop a new class of algorithms based on easily implementable numerical schemes that are compatible with…

In this paper we give stochastic solutions of conformable fractional Cauchy problems. The stochastic solutions are obtained by running the processes corresponding to Cauchy problems with a nonlinear deterministic clock.

This work aims to construct an efficient and highly accurate numerical method to address the time singularity at $t=0$ involved in a class of time-fractional parabolic integro-partial differential equations in one and two dimensions. The…

We reconsider the variational integration of optimal control problems for mechanical systems based on a direct discretization of the Lagrange-d'Alembert principle. This approach yields discrete dynamical constraints which by construction…

We prove optimal error bounds for a second order in time finite element approximation of curve shortening flow in possibly higher codimension. In addition, we introduce a second order in time method for curve diffusion. Both schemes are…

In this paper, we consider a new approach for semi-discretization in time and spatial discretization of a class of semi-linear stochastic partial differential equations (SPDEs) with multiplicative noise. The drift term of the SPDEs is only…

Biharmonic wave equations are of importance to various applications including thin plate analyses. In this work, the numerical approximation of their solutions by a $C^1$-conforming in space and time finite element approach is proposed and…

The time fractional diffusion equation is obtained from the standard diffusion equation by replacing the first-order time derivative with a fractional derivative of order $\beta \in (0,1)$. The fundamental solution for the Cauchy problem is…

We propose a time discretization scheme for a class of ordinary differential equations arising in simulations of fluid/particle flows. The scheme is intended to work robustly in the lubrication regime when the distance between two particles…

This paper establishes explicit solutions for fractional diffusion problems on bounded domains. It also gives stochastic solutions, in terms of Markov processes time-changed by an inverse stable subordinator whose index equals the order of…

This paper considers the temporal discretization of an inverse problem subject to a time fractional diffusion equation. Firstly, the convergence of the L1 scheme is established with an arbitrary sectorial operator of spectral angle $< \pi/2…

Let X be a continuous-time Markov chain in a finite set I, let h be a mapping of I onto another set, and let Y be defined by Y_t=h(X_t), (for t nonnegative). We address the filtering problem for X in terms of the observation Y, which is not…

In this paper, we consider the inverse source problem for the time-fractional diffusion equation, which has been known to be an ill-posed problem. To deal with the ill-posedness of the problem, we propose to transform the problem into a…

Conley indices and Morse decompositions of flows can be found by using algorithms which rigorously analyze discrete dynamical systems. This usually involves integrating a time discretization of the flow using interval arithmetic. We compare…

An approximation to the solution of a stochastic parabolic equation is constructed using the Galerkin approximation followed by the Wiener Chaos decomposition. The result is applied to the nonlinear filtering problem for the time…

The solution of a Caputo time fractional diffusion equation of order $0<\alpha<1$ is expressed in terms of the solution of a corresponding integer order diffusion equation. We demonstrate a linear time mapping between these solutions that…

In this contribution, a wave equation with a time-dependent variable-order fractional damping term and a nonlinear source is considered. Avoiding the circumstances of expressing the nonlinear variable-order fractional wave equations via…