Related papers: Semi-implicit Euler-Maruyama approximation for non…
A system of interacting Brownian particles subject to short-range repulsive potentials is considered. A continuum description in the form of a nonlinear diffusion equation is derived systematically in the dilute limit using the method of…
Some recently proposed approximations to follow the non--linear evolution of collisionless matter perturbations in the universe are reviewed. The first one, called frozen--flow approximation, is an Eulerian method within Newtonian theory,…
We study a stochastic Hamiltonian system of $N$ particles with many particles interacting through a potential whose range is large in comparison with the typical distance between neighbouring particles. It is shown that the empirical…
Consider the following stochastic differential equation driven by multiplicative noise on $\mathbb{R}^d$ with a superlinearly growing drift coefficient, \begin{align*} \mathrm{d} X_t = b (X_t) \, \mathrm{d} t + \sigma (X_t) \, \mathrm{d}…
We give a probabilistic numerical method for solving a partial differential equation with fractional diffusion and nonlinear drift. The probabilistic interpretation of this equation uses a system of particles driven by L\'evy alpha-stable…
In this paper we study a type of stochastic McKean-Vlasov equations with non-Lipschitz coefficients. Firstly, by an Euler-Maruyama approximation existence of its weak solutions is proved. And then we observe pathwise uniqueness of its weak…
We investigate a quantum non-relativistic system describing the interaction of two particles with spin 1/2 and spin 0, respectively. Assuming that the Hamiltonian is rotationally invariant and parity conserving we identify all such systems…
This paper is concerned with the numerical approximation of stochastic mechanical systems with nonlinear holonomic constraints. Such systems are described by second order stochastic differential-algebraic equations involving an implicitly…
Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler-Maruyama approximation method…
We construct a deterministic, Lagrangian many-particle approximation to a class of nonlocal transport PDEs with nonlinear mobility arising in many contexts in biology and social sciences. The approximating particle system is a nonlocal…
A noncolliding diffusion process is a conditional process of $N$ independent one-dimensional diffusion processes such that the particles never collide with each other. This process realizes an interacting particle system with long-ranged…
An implicit Euler--Maruyama method with non-uniform step-size applied to a class of stochastic partial differential equations is studied. A spectral method is used for the spatial discretization and the truncation of the Wiener process. A…
We study the strong rates of the Euler-Maruyama approximation for one dimensional stochastic differential equations whose drift coefficient may be neither continuous nor one-sided Lipschitz and diffusion coefficient is H\"older continuous.…
A well-known result with respect to the one dimensional nearest-neighbor symmetric simple exclusion process is the convergence to fractional Brownian motion with Hurst parameter 1/4, in the sense of finite-dimensional distributions, of the…
In the first part of a series of two papers, we present in considerable detail a collision-driven molecular dynamics algorithm for a system of nonspherical particles, within a parallelepiped simulation domain, under both periodic or…
Sub-fractional Brownian motion is a process analogous to fractional Brownian motion but without stationary increments. In \cite{GGL1} we proved a strong uniform approximation with a rate of convergence for fractional Brownian motion by…
We show that the dynamical Wigner functions for noninteracting fermions and bosons can have complex singularity structures with a number of new solutions accompanying the usual mass-shell dispersion relations. These new shell solutions are…
We propose a collision-oriented particle system to approximate a class of Landau-type equations. This particle system is formally derived from a particle system with random collisions in the grazing regime, and happens to be a special…
We study parameter estimation for interacting particle systems (IPSs) consisting of $N$ weakly interacting multivariate hypoelliptic SDEs. We propose a locally Gaussian approximation of the transition dynamics, carefully designed to address…
Building on the well-posedness of the backward Kolmogorov partial differential equation in the Wasserstein space, we analyze the strong and weak convergence rates for approximating the unique solution of a class of McKean-Vlasov stochastic…