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We develop and analyze a general class of Euler-type numerical schemes for Levy-driven McKean-Vlasov stochastic differential equations (SDEs), where the drift, diffusion and jump coefficients grow super-linearly in the state variable. These…
We derive unconditionally stable and convergent variable-step BDF2 scheme for solving the MBE model with slope selection. The discrete orthogonal convolution kernels of the variable-step BDF2 method is commonly utilized recently for solving…
The convergence of stochastic interacting particle systems in the mean-field limit to solutions of conservative stochastic partial differential equations is established, with optimal rate of convergence. As a second main result, a…
Privacy-preserving data analysis has become more prevalent in recent years. In this study, we propose a distributed group differentially private Majority Vote mechanism, for the sign selection problem in a distributed setup. To achieve…
An implicit scheme for steady state solutions of diatomic gas flow is presented. The method solves the Rykov model equation in the finite volume discrete velocity method (DVM) framework, in which the translational and rotational degrees of…
We propose a numerical method for the valuation of European-style options under two-asset infinite-activity exponential L\'evy models. Our method extends the effective approach developed by Wang, Wan & Forsyth (2007) for the 1-dimensional…
Motivated by the construction of the It\^o stochastic integral, we consider a step function method to discretize and simulate volatility modulated L\'evy semistationary processes. Moreover, we assess the accuracy of the method with a…
We propose a new numerical method for one dimensional stochastic differential equations (SDEs). The main idea of this method is based on a representation of a weak solution of a SDE with a time changed Brownian motion, dated back to Doeblin…
In this paper, we focus on constructing numerical schemes preserving the averaged energy evolution law for nonlinear stochastic wave equations driven by multiplicative noise. We first apply the compact finite difference method and the…
In this article we consider Bayesian parameter inference for a type of partially observed stochastic Volterra equation (SVE). SVEs are found in many areas such as physics and mathematical finance. In the latter field they can be used to…
This paper studies the numerical methods to approximate the solutions for a sort of McKean-Vlasov neutral stochastic differential delay equations (MV-NSDDEs) that the growth of the drift coefficients is super-linear. First, We obtain that…
Structure-preserving numerical schemes for a nonlinear parabolic fourth-order equation, modeling the electron transport in quantum semiconductors, with periodic boundary conditions are analyzed. First, a two-step backward differentiation…
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 introduce a semi-implicit Milstein approximation scheme for some class of non-colliding particle systems modeled by systems of stochastic differential equations with non-constant diffusion coefficients. We show that the scheme converges…
In this paper, we develop a novel staggered mesh (SM) approach for general nonlinear dissipative systems with arbitrary energy distributions (including cases with known or unknown energy lower bounds). Based on this framework, we propose…
The stochastic logistic model with regime switching is an important model in the ecosystem. While analytic solution to this model is positive, current numerical methods are unable to preserve such boundaries in the approximation. So,…
Different relaxation approximations to partial differential equations, including conservation laws, Hamilton-Jacobi equations, convection-diffusion problems, gas dynamics problems, have been recently proposed. The present paper focuses onto…
In this paper, we introduce a new approach for constructing robust well-balanced numerical methods for the one-dimensional Saint-Venant system with and without the Manning friction term. Following the idea presented in [R. Abgrall, Commun.…
We propose an efficient numerical scheme for the resolution of a non-hydrostatic Saint-Venant type model. The model is a shallow water type approximation of the incompressbile Euler system with free surface and slightly differs from the…
We propose some finite element schemes to solve a class of fourth-order nonlinear PDEs, which include the vector-valued Landau--Lifshitz--Baryakhtar equation, the Swift--Hohenberg equation, and various Cahn--Hilliard-type equations with…