Related papers: Cayley Splitting for Second-Order Langevin Stochas…
We want to propose a new discretization ansatz for the second order Hessian complex exploiting benefits of isogeometric analysis, namely the possibility of high-order convergence and smoothness of test functions. Although our approach is…
In this article we present an $L_p$-theory ($p\geq 2$) for the time-fractional quasi-linear stochastic partial differential equations (SPDEs) of type $$ \partial^{\alpha}_tu=L(\omega,t,x)u+f(u)+\partial^{\beta}_t \sum_{k=1}^{\infty}\int^t_0…
Geometric discretizations that preserve certain Hamiltonian structures at the discrete level has been proven to enhance the accuracy of numerical schemes. In particular, numerous symplectic and multi-symplectic schemes have been proposed to…
Formulated is a new systematic method for obtaining higher order corrections in numerical simulation of stochastic differential equations (SDEs), i.e., Langevin equations. Random walk step algorithms within a given order of finite $\Delta…
Semi-Lagrangian methods are numerical methods designed to find approximate solutions to particular time-dependent partial differential equations (PDEs) that describe the advection process. We propose semi-Lagrangian one-step methods for…
We propose a novel kinetic Langevin sampler based on a specific splitting scheme using the exact harmonic Langevin integrator. For strongly log-concave target measures, the sampler exploits a decomposition of the strongly convex potential…
We present a parametric family of semi-implicit second order accurate numerical methods for non-conservative and conservative advection equation for which the numerical solutions can be obtained in a fixed number of forward and backward…
In this paper we investigate the application of pseudo-transient-continuation (PTC) schemes for the numerical solution of semilinear elliptic partial differential equations, with possible singular perturbations. We will outline a residual…
We propose a general scheme for separation of variables in the integrable Hamiltonian systems on orbits of the loop algebra $\mathfrak{sl}(2,\Complex)\times \mathcal{P}(\lambda,\lambda^{-1})$. In particular, we illustrate the scheme by…
This paper presents a rigorous numerical framework for computing multiple solutions of semilinear elliptic problems by spatiotemporal high-index saddle dynamics (HiSD), which extends the traditional HiSD to the continuous-in-space setting,…
By using the theory of analytic vectors and manifolds modelled on normed spaces, we provide a rigorous symplectic differential geometric approach to $t$-dependent Schr\"odinger equations on separable (possibly infinite-dimensional) Hilbert…
In this paper we consider splitting methods for the time integration of parabolic and certain classes of hyperbolic partial differential equations, where one partial flow can not be computed exactly. Instead, we use a numerical…
In this manuscript, we propose efficient stochastic semi-explicit symplectic schemes tailored for nonseparable stochastic Hamiltonian systems (SHSs). These semi-explicit symplectic schemes are constructed by introducing augmented…
We develop a hybrid spatial discretization for the wave equation in second order form, based on high-order accurate finite difference methods and discontinuous Galerkin methods. The hybridization combines computational efficiency of finite…
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…
Over the last few years there have been dramatic advances in our understanding of mathematical and computational models of complex systems in the presence of uncertainty. This has led to a growth in the area of uncertainty quantification as…
We deal with a class of semilinear parabolic PDEs on the space of continuous functions that arise, for example, as Kolmogorov equations associated to the infinite-dimensional lifting of path-dependent SDEs. We investigate existence of…
In this paper we present novel integrable symplectic maps, associated with ordinary difference equations, and show how they determine, in a remarkably diverse manner, the integrability, including Lax pairs and the explicit solutions, for…
We revisit second-order-in-time space-time discretizations of the linear and semilinear wave equations by establishing precise equivalences with first-order-in-time formulations. Focusing on schemes using continuous piecewise-polynomial…
The aim of this paper is to apply a high-order discontinuous-in-time scheme to second-order hyperbolic partial differential equations (PDEs). We first discretize the PDEs in time while keeping the spatial differential operators…