Related papers: An explicit and positivity preserving numerical sc…
In this paper we propose a numerical scheme for the class of backward doubly stochastic (BDSDEs) with possible path-dependent terminal values. We prove that our scheme converge in the strong $L^2$-sense and derive its rate of convergence.…
The aim of this paper is to develop and analyze numerical schemes for approximately solving the backward problem of subdiffusion equation involving a fractional derivative in time with order $\alpha\in(0,1)$. After using quasi-boundary…
It is shown that the first-order term of the asymptotic bias of the posterior mean is removed by a suitable choice of a prior density. In regular statistical models including exponential families, and linear and logistic regression models,…
We develop a positivity-preserving finite difference WENO scheme for the Ten-Moment equations with body forces acting as a source in the momentum and energy equations. A positive forward Euler scheme under a CFL condition is first…
We consider a chemo-repulsion model with quadratic production in a bounded domain. Firstly, we obtain global in time weak solutions, and give a regularity criterion (which is satisfied for $1D$ and $2D$ domains) to deduce uniqueness and…
An algorithm is proposed for generalized mean curvature flow of closed two-dimensional surfaces, which include inverse mean curvature flow, powers of mean and inverse mean curvature flow, etc. Error estimates are proven for semi- and full…
This paper proposes a new class of arbitrarily high-order conservative numerical schemes for the generalized Korteweg-de Vries (KdV) equation. This approach is based on the scalar auxiliary variable (SAV) method. The equation is…
We develop a new finite difference scheme for the Maxwell-Stefan diffusion system. The scheme is conservative, energy stable and positivity-preserving. These nice properties stem from a variational structure and are proved by reformulating…
This article is concerned with the multilevel Monte Carlo (MLMC) methods for approximating expectations of some functions of the solution to the Heston 3/2-model from mathematical finance, which takes values in $(0, \infty)$ and possesses…
In this work, we propose a positivity-preserving scheme for solving two-dimensional advection-diffusion equations including mixed derivative terms, in order to improve the accuracy of lower-order methods. The solution to these equations, in…
The category of coherent sheaves over a noetherian scheme is very important for studying the properties of a given scheme. For noetherian schemes it is a well-known fact that the topology can be fully recovered from the corresponding…
In this paper we are interested in the numerical solution of stochastic differential equations with non negative solutions. Our goal is to construct explicit numerical schemes that preserve positivity, even for super linear stochastic…
This paper presents a sequence of deferred correction (DC) schemes built recursively from the implicit midpoint scheme for the numerical solution of general first order ordinary differential equations (ODEs). It is proven that each scheme…
The porous medium equation (PME) is a typical nonlinear degenerate parabolic equation. An energetic variational approach has been studied in a recent work [6], in which the trajectory equation is obtained, and a few first order accurate…
In this paper, we consider a fixed delay Cox-Ingersoll-Ross process (CIR process) on the regime where it does not hit zero, the aim is to determine a positive preserving implicit Euler Scheme. On a time grid with constant stepsize our…
A new second-order numerical scheme based on an operator splitting is proposed for the Godunov-Peshkov-Romenski model of continuum mechanics. The homogeneous part of the system is solved with a finite volume method based on a WENO…
This work investigates preserving and reversing unimodality and convexity properties for sequences under transformations defined by sign-regular kernels. It is shown that these transformations only preserve these properties if the kernels…
In this work we consider an extension of a recently proposed structure preserving numerical scheme for nonlinear Fokker-Planck-type equations to the case of nonconstant full diffusion matrices. While in existing works the schemes are…
This work focuses on the numerical approximations of neutral stochastic delay differential equations with their drift and diffusion coefficients growing super-linearly with respect to both delay variables and state variables. Under…
The continuous observation of the financial markets has identified some stylized facts which challenge the conventional assumptions, promoting the born of new approaches. On the one hand, the long-range dependence has been faced replacing…