Related papers: On the wavelets-based SWIFT method for backward st…
In this article, we derive \textit{a posteriori} error estimates for the Dirichlet boundary control problem governed by Stokes equation. An energy-based method has been deployed to solve the Dirichlet boundary control problem. We employ an…
We consider a sparse grid collocation method in conjunction with a time discretization of the differential equations for computing expectations of functionals of solutions to differential equations perturbed by time-dependent white noise.…
In this paper we study different algorithms for backward stochastic differential equations (BSDE in short) basing on random walk framework for 1-dimensional Brownian motion. Implicit and explicit schemes for both BSDE and reflected BSDE are…
We introduce a discretization/approximation scheme for reflected stochastic partial differential equations driven by space-time white noise through systems of reflecting stochastic differential equations. To establish the convergence of the…
An FFT-based algorithm is developed to simulate the propagation of elastic waves in heterogeneous $d$-dimensional rectangular shape domains. The method allows one to prescribe the displacement as a function of time in a subregion of the…
In deep time series forecasting, the Fourier Transform (FT) is extensively employed for frequency representation learning. However, it often struggles in capturing multi-scale, time-sensitive patterns. Although the Wavelet Transform (WT)…
We propose a numerical accountant for evaluating the tight $(\varepsilon,\delta)$-privacy loss for algorithms with discrete one dimensional output. The method is based on the privacy loss distribution formalism and it uses the recently…
Fourier transform-based methods enable accurate, dispersion-free simulations of time-domain scattering problems by evaluating solutions to the Helmholtz equation at a discrete set of frequencies sufficient to approximate the inverse Fourier…
A novel efficient and high accuracy numerical method for the time-fractional differential equations (TFDEs) is proposed in this work. We show the equivalence between TFDEs and the integer-order extended parametric differential equations…
In this article, we deal with the efficient computation of the Wright function in the cases of interest for the expression of solutions of some fractional differential equations. The proposed algorithm is based on the inversion of the…
One of the most accurate methods for solving the time-dependent Schr\"{o}dinger equation uses a combination of the dynamic Fourier method with the split-operator algorithm on a tensor-product grid. To reduce the number of required grid…
In backward error analysis, an approximate solution to an equation is compared to the exact solution to a nearby modified equation. In numerical ordinary differential equations, the two agree up to any power of the step size. If the…
We propose a new numerical method for one dimensional stochastic differential equations (SDEs). The main idea of this method is based on a representation of a weak solution of a SDE with a time changed Brownian motion, dated back to Doeblin…
This work deals with the numerical approximation of backward stochastic differential equations (BSDEs). We propose a new algorithm which is based on the regression-later approach and the least squares Monte Carlo method. We give some…
In two and three dimensional Lipschitz, but not necessarily convex, polytopal domains, we propose and analyze a posteriori error estimators for an optimal control problem involving the stationary Navier--Stokes equations; control…
We introduce a novel numerical approach for a class of stochastic dynamic programs which arise as discretizations of backward stochastic differential equations or semi-linear partial differential equations. Solving such dynamic programs…
We aim at the development and analysis of the numerical schemes for approximately solving the backward diffusion-wave problem, which involves a fractional derivative in time with order $\alpha\in(1,2)$. From terminal observations at two…
This paper introduces a statistical treatment of inverse problems constrained by models with stochastic terms. The solution of the forward problem is given by a distribution represented numerically by an ensemble of simulations. The goal is…
Tseng's forward-backward-forward algorithm is a valuable alternative for Korpelevich's extragradient method when solving variational inequalities over a convex and closed set governed by monotone and Lipschitz continuous operators, as it…
Recently the synchrosqueezed transform (SST) was developed as an empirical mode decomposition (EMD)-like tool to enhance the time-frequency resolution and energy concentration of a multi-component non-stationary signal and provides more…