Related papers: The Euler scheme for state constrained ordinary di…
This study proposes a novel spatial discretization procedure for the compressible Euler equations which guarantees entropy conservation at a discrete level when an arbitrary equation of state is assumed. The proposed method, based on a…
Mathematical models for flow and reactive transport in porous media often involve non-linear, degenerate parabolic equations. Their solutions have low regularity, and therefore lower order schemes are used for the numerical approximation.…
This work presents a novel interpolation-free mesh adaptation technique for the Euler equations within the arbitrary Lagrangian Eulerian framework. For the spatial discretization, we consider a residual distribution scheme, which provides a…
A practical and new Runge--Kutta numerical scheme for stochastic differential equations is explored. Numerical examples demonstrate the strong convergence of the method. The first order strong convergence is then proved using Ito integrals…
We present a subtraction scheme for ultraviolet (UV) divergent, infrared (IR) safe scalar Feynman integrals in dimensional regularization with any number of scales. This is done by the introduction of $u$-variables, which are a suitable…
We study the Euler scheme for scalar non-autonomous stochastic differential equations, whose diffusion coefficient is not globally Lipschitz but a fractional power of a globally Lipschitz function. We analyse the strong error and establish…
This paper investigates a numerical probabilistic method for the solution of some semilinear stochastic partial differential equations (SPDEs in short). The numerical scheme is based on discrete time approximation for solutions of systems…
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…
There exists a diversity of weak Local Linearization (LL) schemes for the integration of stochastic differential equations with additive noise, which differ with respect to the algorithm that is employed in the numerical implementation of…
This paper considers the implicit Euler discretization of Levant's arbitrary order robust exact differentiator in presence of sampled measurements. Existing implicit discretizations of that differentiator are shown to exhibit either…
In this paper we introduce a randomized version of the backward Euler method, that is applicable to stiff ordinary differential equations and nonlinear evolution equations with time-irregular coefficients. In the finite-dimensional case, we…
It is proposed to use stochastic differential equations with state-dependent switching rates (SDEwS) for sampling from finite mixture distributions. An Euler scheme with constant time step for SDEwS is considered. It is shown that the…
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…
Consider a multidimensional SDE of the form $X_t = x+\int_{0}^{t} b(X_{s-})ds+\int{0}^{t} f(X_{s-})dZ_s$ where $(Z_s)_{s\ge 0}$ is a symmetric stable process. Under suitable assumptions on the coefficients the unique strong solution of the…
We develop a second order well-balanced finite volume scheme for compressible Euler equations with a gravitational source term. The well-balanced property holds for arbitrary hydrostatic solutions of the corresponding Euler equations…
This paper is concerned with the approximation of the compressible Euler equations supplemented with an arbitrary or tabulated equation of state. The proposed approximation technique is robust, formally second-order accurate in space,…
A new type of systematic approach to study the incompressible Euler equations numerically via the vanishing viscosity limit is proposed in this work. We show the new strategy is unconditionally stable that the $L^2$-energy dissipates and…
We study three kinetic Langevin samplers including the Euler discretization, the BU and the UBU splitting scheme. We provide contraction results in $L^1$-Wasserstein distance for non-convex potentials. These results are based on a carefully…
We present a criterion for uniform in time convergence of the weak error of the Euler scheme for Stochastic Differential equations (SDEs). The criterion requires i) exponential decay in time of the space-derivatives of the semigroup…
This work is devoted to convergence analysis of an exponential integrator scheme for semi-discretization in time of nonlinear stochastic wave equation. A unified framework is first set forth, which covers important cases of additive and…