Related papers: On the wavelets-based SWIFT method for backward st…
We provide a new algorithm for the treatment of inverse problems which combines the traditional SVD inversion with an appropriate thresholding technique in a well chosen new basis. Our goal is to devise an inversion procedure which has the…
Time-frequency representations (TFRs) of signals, such as the windowed Fourier transform (WFT), wavelet transform (WT) and their synchrosqueezed variants (SWFT, SWT), provide powerful analysis tools. However, there are many important issues…
This article deals with the numerical resolution of backward stochastic differential equations. Firstly, we consider a rather general case where the filtration is generated by a Brownian motion and a Poisson random measure. We provide a…
We are concerned with the numerical resolution of backward stochastic differential equations. We propose a new numerical scheme based on iterative regressions on function bases, which coefficients are evaluated using Monte Carlo…
The solution of differential problems, and in particular of quantum wave equations, can in general be performed both in the direct and in the reciprocal space. However, to achieve the same accuracy, direct-space finite-difference approaches…
In this paper, we develop a numerical resolution of the space-time fractional advection-dispersion equation. After time discretization, we utilize collocation technique and implement a product integration method in order to simplify the…
We present a computationally efficient algorithm for stable numerical differentiation from noisy, uniformly-sampled data on a bounded interval. The method combines multi-interval Fourier extension approximations with an adaptive domain…
Several differentiating algorithms of the noisy signals are considered. The proposed wavelet based technique is compared with others based on the Fourier transform and the finite differences. The accuracy of the calculations for different…
Sharp asymptotic lower bounds of the expected quadratic variation of discretization error in stochastic integration are given. The theory relies on inequalities for the kurtosis and skewness of a general random variable which are themselves…
The computation of the symmetric regularized-long-wave (SRLW) equation, which describes weekly nonlinear ion acoustic and space-charge waves, is dealt with in this paper. The numerical scheme to be proposed applies the Fourier…
The convolution method for the numerical solution of forward-backward stochastic differential equations (FBSDEs), introduced in [21], uses a uniform space grid. In this paper we utilize a tree-like spatial discretization that approximates…
In this article, we are interested in solving numerically backward doubly stochastic differential equations (BDSDEs) with random terminal time tau. The main motivations are giving a probabilistic representation of the Sobolev's solution of…
This paper is concerned with the inverse scattering problem which aims to determine the spatially distributed dielectric constant coefficient of the 2D Helmholtz equation from multifrequency backscatter data associated with a single…
The article presents a computationally effective algorithm for calculating the multiresolution discrete Fourier transform (MrDFT). The algorithm is based on the idea of reducing the computational complexity which was introduced by Wen and…
This paper is concerned with an inverse wavenumber/frequency-dependent source problem for the Helmholtz equation. In two and three dimensions, the unknown source term is supposed to be compactly supported in spatial variables but…
This article investigates residual a posteriori error estimates and adaptive mesh refinements for time-dependent boundary element methods for the wave equation. We obtain reliable estimates for Dirichlet and acoustic boundary conditions…
This paper proposes a frequency/time hybrid integral-equation method for the time dependent wave equation in two and three-dimensional spatial domains. Relying on Fourier Transformation in time, the method utilizes a fixed…
Forward-backward methods are a very useful tool for the minimization of a functional given by the sum of a differentiable term and a nondifferentiable one and their investigation has experienced several efforts from many researchers in the…
A splitting scheme for backward doubly stochastic differential equations is proposed. The main idea is to decompose a backward doubly stochastic differential equation into a backward stochastic differential equation and a stochastic…
We present a novel solution method for It\^o stochastic differential equations (SDEs). We subdivide the time interval into sub-intervals, then we use the quadratic polynomials for the approximation between two successive intervals. The main…