Related papers: An explicit and positivity preserving numerical sc…
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…
In this paper, we consider the numerical methods preserving single or multiple conserved quantities, and these methods are able to reach high order of strong convergence simultaneously based on some kinds of projection methods. The…
We analyze numerical stability of a recursive computation scheme of present value (PV) amd show that the absolute error increases exponentially for positive discount rates. We show that reversing the direction of calculations in the…
The authors aim to develop numerical schemes of the two representative quadratic hedging strategies: locally risk minimizing and mean-variance hedging strategies, for models whose asset price process is given by the exponential of a normal…
In this paper, we propose a semi-implicit Euler scheme to discretize the stochastic nonlinear Maxwell equations with multiplicative Ito noise, which is implicit in the drift term and explicit in the diffusion term of the equations, in order…
We propose a semi-discrete scheme for 2D Keller-Segel equations based on a symmetrization reformation, which is equivalent to the convex splitting method and is free of any nonlinear solver. We show that, this new scheme is unconditionally…
We introduce a nonlinear structure preserving high-order scheme for anisotropic advection-diffusion equations. This scheme, based on Hybrid High-Order methods, can handle general meshes. It also has an entropy structure, and preserves the…
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…
This article aims to reveal the mean-square convergence rate of the backward Euler method (BEM) for a generalized Ait-Sahaliz interest rate model with Poisson jumps. The main difficulty in the analysis is caused by the non-globally…
We present a high-order conservative, positivity-preserving, and non-oscillatory scheme for solving the Vlasov equation. The scheme attains formal fifth-order accuracy through a convex combination of positive and non-oscillatory polynomials…
In this paper we design high-order positivity-preserving approximation schemes for an integro-differential model describing photochemical reactions. Specifically, we introduce and analyze three classes of dynamically consistent methods,…
In this paper, we consider a mean-reverting stochastic volatility equation with regime switching, and present some sufficient conditions for the existence of global positive solution, asymptotic boundedness in pth moment, positive…
In this paper, we revisit the backward Euler method for numerical approximations of random periodic solutions of semilinear SDEs with additive noise. Improved $L^{p}$-estimates of the random periodic solutions of the considered SDEs are…
This paper proposes a second-order accurate numerical scheme for the Patlak-Keller-Segel system with various mobilities for the description of chemotaxis. Formulated in a variational structure, the entropy part is novelly discretized by a…
We propose a new fully-discretized finite difference scheme for a quantum diffusion equation, in both one and two dimensions. This is the first fully-discretized scheme with proven positivity-preserving and energy stable properties using…
In this paper, we are interested in constructing a scheme solving compressible Navier--Stokes equations, with desired properties including high order spatial accuracy, conservation, and positivity-preserving of density and internal energy…
We propose and analyse a new Milstein type scheme for simulating stochastic differential equations (SDEs) with highly nonlinear coefficients. Our work is motivated by the need to justify multi-level Monte Carlo simulations for…
In a previous paper, an implementable algorithm was introduced to compute discrete solutions of sweeping processes (i.e. specific first order differential inclusions). The convergence of this numerical scheme was proved thanks to…
In this work, we introduce semi-implicit or implicit finite difference schemes for the continuity equation with a gradient flow structure. Examples of such equations include the linear Fokker-Planck equation and the Keller-Segel equations.…
This paper is concerned with the numerical analysis of the explicit upwind finite volume scheme for numerically solving continuity equations. We are interested in the case where the advecting velocity field has spatial Sobolev regularity…