Related papers: The Euler scheme for state constrained ordinary di…
We propose a finite volume stochastic collocation method for the random Euler system. We rigorously prove the convergence of random finite volume solutions under the assumption that the discrete differential quotients remain bounded in…
We consider the problem of the approximation of the solution of a one-dimensional SDE with non-globally Lipschitz drift and diffusion coefficients behaving as $x^\alpha$, with $\alpha>1$. We propose an (semi-explicit) exponential-Euler…
This paper focuses on two variants of the Milstein scheme, namely the split-step backward Milstein method and a newly proposed projected Milstein scheme, applied to stochastic differential equations which satisfy a global monotonicity…
The stochastic Euler scheme is known to converge to the exact solution of a stochastic differential equation with globally Lipschitz continuous drift and diffusion coefficient. Recent results extend this convergence to coefficients which…
In this paper, we address the issue on non-asymptotic convergence bounds of Euler-type schemes associated with non-dissipative SDEs. On the one hand, for non-degenerate SDEs with super-linear drifts, we propose a novel modified Euler scheme…
We consider a sequence of approximate solutions to the compressible Euler system admitting uniform energy bounds and/or satisfying the relevant field equations modulo an error vanishing in the asymptotic limit. We show that such a sequence…
In this paper we consider multi-dimensional partial differential equations of parabolic type involving divergence form operators that possess a discontinuous coefficient matrix along some smooth interface. The solution of the equation is…
Many applications, such as systems of interacting particles in physics, require the simulation of diffusion processes with singular coefficients. Standard Euler schemes are then not convergent, and theoretical guarantees in this situation…
This work presents arbitrary high order well balanced finite volume schemes for the Euler equations with a prescribed gravitational field. It is assumed that the desired equilibrium solution is known, and we construct a scheme which is…
The problem of inverting the total divergence operator is central to finding components of a given conservation law. This might not be taxing for a low-order conservation law of a scalar partial differential equation, but integrable systems…
We study several variants of Euler sums by using the methods of contour integration and residue theorem. These variants exhibit nice properties such as closed forms, reduction, etc., like classical Euler sums. In addition, we also define a…
We consider controlled differential equations and give new estimates for higher order Euler schemes. Our proofs are inspired by recent work of A. M. Davie who considers first and second order schemes. In order to implement the general case…
This paper focuses on the numerical scheme for multiple-delay stochastic differential equations with partially H\"older continuous drifts and locally H\"older continuous diffusion coefficients. To handle with the superlinear terms in…
Exponential integrability properties of numerical approximations are a key tool for establishing positive rates of strong and numerically weak convergence for a large class of nonlinear stochastic differential equations. It turns out that…
This paper provides the theory of integration with respect to Euler characteristics of finite categories. As an application, we use sensors to enumerate the targets lying on a poset. This is a discrete analogue to Baryshnikov and Ghrist's…
In this work, we present an efficient gradient projection method for solving a class of stochastic optimal control problem with expected integral state constraint. The first order optimality condition system consisting of forward-backward…
In this paper we address the existence, uniqueness and approximation of solutions of delay differential equations (DDEs) with Carath\'eodory type right-hand side functions. We provide construction of randomized Euler scheme for DDEs and…
A semi-implicit in time, entropy stable finite volume scheme for the compressible barotropic Euler system is designed and analyzed and its weak convergence to a dissipative measure-valued (DMV) solution [E. Feireisl et al., Dissipative…
We address here the discretization of the momentum convection operator for fluid flow simulations on 2D triangular and quadrangular meshes and 3D polyhedral meshes containing hexahedra, tetrahedra, prisms and pyramids. The finite volume…
We present a new multi-symplectic formulation of constrained Hamiltonian partial differential equations, and we study the associated local conservation laws. A multi-symplectic discretisation based on this new formulation is exemplified by…