Related papers: Adapted time steps explicit scheme for monotone BS…
The Poisson-Nernst-Planck equations with generalized Frumkin-Butler-Volmer boundary conditions (PNP-FBV) describe ion transport with Faradaic reactions and have applications in a wide variety of fields. Using an adaptive time-stepper based…
We study the strong approximation of a Backward SDE with finite stopping time horizon, namely the first exit time of a forward SDE from a cylindrical domain. We use the Euler scheme approach of Bouchard and Touzi, Zhang 04}. When the domain…
In this short paper, we intend to describe one way to construct arbitrarily high order kinetic schemes on regular meshes. The method can be arbitrarily high order in space and time, run at least CFL one, is asymptotic preserving and…
Simulating physical problems involving multi-time scale coupling is challenging due to the need of solving these multi-time scale processes simultaneously. In response to this challenge, this paper proposed an explicit multi-time step…
The Poisson-Nernst-Planck equations with generalized Frumkin-Butler-Volmer boundary conditions (PNP-FBV) describe ion transport with Faradaic reactions, and have applications in a number of fields. In this article, we develop an adaptive…
This is one of our series works on discrete energy analysis of the variable-step BDF schemes. In this part, we present stability and convergence analysis of the third-order BDF (BDF3) schemes with variable steps for linear diffusion…
We revisit adaptive time stepping, one of the classical topics of numerical analysis and computational engineering. While widely used in application and subject of many theoretical works, a complete understanding is still missing. Apart…
Safe and economic operation of networked systems is often challenging. Optimization-based schemes are frequently considered, since they achieve near-optimality while ensuring safety via the explicit consideration of constraints. In…
We introduce an explicit adaptive Milstein method for stochastic differential equations (SDEs) with no commutativity condition. The drift and diffusion are separately locally Lipschitz and together satisfy a monotone condition. This method…
We analyze the long-time behavior of numerical schemes for a class of monotone stochastic partial differential equations (SPDEs) driven by multiplicative noise. By deriving several time-independent a priori estimates for the numerical…
This paper aims to investigate the numerical approximation of a general second order parabolic stochastic partial differential equation(SPDE) driven by multiplicative and additive noise. Our main interest is on such SPDEs where the…
Many low-Mach or all-Mach number codes are based on space discretizations which in combination with the first order explicit Euler method as time integration would lead to an unstable scheme. In this paper, we investigate how the choice of…
Numerical approximation of the long time behavior of a stochastic differential equation (SDE) is considered. Error estimates for time-averaging estimators are obtained and then used to show that the stationary behavior of the numerical…
When applying the classical multistep schemes for solving differential equations, one often faces the dilemma that smaller time steps are needed with higher-order schemes, making it impractical to use high-order schemes for stiff problems.…
We consider the long-time behavior of an explicit tamed exponential Euler scheme applied to a class of parabolic semilinear stochastic partial differential equations driven by additive noise, under a one-sided Lipschitz continuity…
We propose an {\em implementable} numerical scheme for the discretization of linear-quadratic optimal control problems involving SDEs in higher dimensions with {\em control constraint}. For time discretization, we employ the implicit Euler…
We develop adaptive time-stepping strategies for It\^o-type stochastic differential equations (SDEs) with jump perturbations. Our approach builds on adaptive strategies for SDEs. Adaptive methods can ensure strong convergence of nonlinear…
In this article we develop a fully discrete variational scheme that approximates the equations of three dimensional elastodynamics with polyconvex stored energy. The fully discrete scheme is based on a time-discrete variational scheme…
We give polynomial-time approximation schemes for monotone maximization problems expressible in terms of distances (up to a fixed upper bound) and efficiently solvable in graphs of bounded treewidth. These schemes apply in all fractionally…
We present an explicit numerical approximation scheme, denoted by $\{X^n\}$, for the effective simulation of solutions $X$ to a multivariate stochastic differential equation (SDE) with a superlinearly growing $\kappa$-dissipative drift,…