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In this paper we study the diffusion approximation of a swarming model given by a system of interacting Langevin equations with nonlinear friction. The diffusion approximation requires the calculation of the drift and diffusion coefficients…
We consider a generic and explicit tamed Euler--Maruyama scheme for multidimensional time-inhomogeneous stochastic differential equations with multiplicative Brownian noise. The diffusive coefficient is uniformly elliptic, H\"older…
This paper deals with the weak error estimates of the exponential Euler method for semi-linear stochastic partial differential equations (SPDEs). A weak error representation formula is first derived for the exponential integrator scheme in…
The Wright-Fisher (W-F) diffusion model serves as a foundational framework for interpreting population evolution through allele frequency dynamics over time. Despite the known transition probability between consecutive generations, an exact…
We establish a general framework to study the rate of convergence of a Euler type approximation scheme with decreasing time steps to the invariant measure, for a general class of stochastic systems. The error is measured in general…
We give bounds for the total variation distance between the solutions to two stochastic differential equations starting at the same point and with close coefficients, which applies in particular to the distance between an exact solution and…
In a recent paper by Kamrani et al. (2024), exponential Euler method for stiff stochastic differential equations with additive fractional Brownian noise was discussed, and the convergence order close to the Hurst parameter H was proved.…
An implicit Euler finite-volume scheme for a cross-diffusion system modeling biofilm growth is analyzed by exploiting its formal gradient-flow structure. The numerical scheme is based on a two-point flux approximation that preserves the…
We study a family of numerical schemes applied to a class of multiscale systems of stochastic differential equations. When the time scale separation parameter vanishes, a well-known homogenization or Wong--Zakai diffusion approximation…
In this article, we consider diffusion approximations for a general class of stochastic recursions. Such recursions arise as models for population growth, genetics, financial securities, multiplicative time series, numerical schemes and…
We present a more accurate numerical scheme for the calculation of diffusive shock acceleration of cosmic rays using Stochastic Differential Equations. The accuracy of this scheme is demonstrated using a simple analytical flow profile that…
The convergence of the first order Euler scheme and an approximative variant thereof, along with convergence rates, are established for rough differential equations driven by c\`adl\`ag paths satisfying a suitable criterion, namely the…
Variational methods are attractive for computing Bayesian inference for highly parametrized models and large datasets where exact inference is impractical. They approximate a target distribution - either the posterior or an augmented…
In this paper, we consider a numerical approximation of the stochastic differential equation (SDE) $$X_{t}=x_{0}+ \int_{0}^{t} b(s, X_{s}) \mathrm{d}s + L_{t},~x_{0} \in \mathbb{R}^{d},~t \in [0,T],$$ where the drift coefficient $b:[0,T]…
The strong convergence of Euler approximations of stochastic delay differential equations is proved under general conditions. The assumptions on drift and diffusion coefficients have been relaxed to include polynomial growth and only…
Simulations are made of a probe particle diffusing through a complex fluid. Probe particle motions are described by the Mori-Zwanzig equation and Mori's orthogonal hierarchy of random forces scheme, subject to the approximation that the…
In this paper, we apply rough paths techniques to provide an approximation of the solution of stochastic functional differential equations driven by fractional Brownian motion with Hurst parameter $H>1/2$. Here, the involved stochastic…
We study parameter estimation for univariate stochastic differential equations with locally Lipschitz drift and H\"older continuous multiplicative diffusion, a class commonly arising in several applications. Existing inference methods…
Discrete time analogues of ergodic stochastic differential equations (SDEs) are one of the most popular and flexible tools for sampling high-dimensional probability measures. Non-asymptotic analysis in the $L^2$ Wasserstein distance of…
We deal with Mckean-Vlasov and Boltzmann type jump equations. This means that the coefficients of the stochastic equation depend on the law of the solution, and the equation is driven by a Poisson point measure with intensity measure which…