Related papers: Algebraic Structures and Stochastic Differential E…
Impulse methods are generalized to a family of integrators for Langevin systems with quadratic stiff potentials and arbitrary soft potentials. Uniform error bounds (independent from stiff parameters) are obtained on integrated positions…
Efficient fourth order symplectic integrators are proposed for numerical integration of separable Hamiltonian systems H(p,q)=T(p)+V(q). Symmetric splitting coefficients with five to nine stages are obtained by higher order decomposition of…
We provide an analytical framework for analyzing the quality of stochastic Verlet-type integrators for simulating the Langevin equation. Focusing only on basic objective measures, we consider the ability of an integrator to correctly…
We present a unified framework for the construction of localized exponential integrators that bypasses the traditional trade-off between the accuracy of global spectral methods and the efficiency of sparse finite differences. By evaluating…
Probabilistic solvers provide a flexible and efficient framework for simulation, uncertainty quantification, and inference in dynamical systems. However, like standard solvers, they suffer performance penalties for certain stiff systems,…
Levy processes are widely used in financial mathematics, telecommunication, economics, queueing theory and natural sciences for modelling. A typical model is obtained by considering finite dimensional linear stochastic SISO systems driven…
Variational integrators are well-suited for simulation of mechanical systems because they preserve mechanical quantities about a system such as momentum, or its change if external forcing is involved, and holonomic constraints. While they…
In this paper, we derive a Chen-Strichartz formula for stochastic differential equations driven by Levy processes, that is, we derive a series expansion of the logarithm of the flowmap of the stochastic differential equation in terms of…
A practical and simple stable method for calculating Fourier integrals is proposed, effective both at low and at high frequencies. An approach based on the fruitful idea of Levin, to use of the collocation method to approximate the slowly…
In this paper approximation methods for infinite-dimensional Levy processes, also called (time-dependent) Levy fields, are introduced. For square integrable fields beyond the Gaussian case, it is no longer given that the one-dimensional…
In this paper, we derive a variational integrator for certain highly oscillatory problems in mechanics. To do this, we take a new approach to the splitting of fast and slow potential forces: rather than splitting these forces at the level…
This paper presents a continuous and discrete Lagrangian theory for stochastic Hamiltonian systems on manifolds. The main result is to derive stochastic governing equations for such systems from a critical point of a stochastic action.…
We describe an Euler scheme to approximate solutions of L\'evy driven Stochastic Differential Equations (SDE) where the grid points are random and given by the arrival times of a Poisson process. This result extends a previous work of the…
We consider the numerical approximation of general semilinear parabolic stochastic partial differential equations (SPDEs) driven by additive space-time noise. In contrast to the standard time stepping methods which uses basic increments of…
Variational integrators are derived for structure-preserving simulation of stochastic Hamiltonian systems with a certain type of multiplicative noise arising in geometric mechanics. The derivation is based on a stochastic discrete…
Langevin and Brownian simulations play a prominent role in computational research, and state of the art integration algorithms provide trajectories with different stability ranges and accuracy in reproducing statistical averages. The…
An integrator for a class of stochastic Lie-Poisson systems driven by Stratonovich noise is developed. The integrator is suited for Lie-Poisson systems that also admit an isospectral formulation, which enables scalability to…
Dynamic systems are ubiquitous in nature and are used to model many processes in biology, chemistry, physics, medicine, and engineering. In particular, systems of ordinary differential equations are commonly used for the mathematical…
A comparison principle for stochastic integro-differential equations driven by Levy processes is proved. This result is obtained via an extension of an Ito formula from [11] for the square of the norm of the positive part of $L_2-$valued,…
The usual explicit finite-difference method of solving partial differential equations is limited in stability because it approximates the exact amplification factor by power-series. By adapting the same exponential-splitting method of…