Related papers: Optimal explicit stabilized integrator of weak ord…
This work presents a novel stabilization strategy for the Galerkin formulation of the incompressible Navier-Stokes equations, developed to achieve high accuracy while ensuring convergence and compatibility with high-order elements on…
In this paper we consider stabilised finite element methods for hyperbolic transport equations without coercivity. Abstract conditions for the convergence of the methods are introduced and these conditions are shown to hold for three…
We propose an algorithm for approximating the solution of a strongly oscillating SDE, that is, a system in which some ergodic state variables evolve quickly with respect to the other variables. The algorithm profits from homogenization…
Considering generating samples with high rewards, we focus on optimizing deep neural networks parameterized stochastic differential equations (SDEs), the advanced generative models with high expressiveness, with policy gradient, the leading…
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…
In this paper, we first establish well-posedness results for one-dimensional McKean-Vlasov stochastic differential equations (SDEs) and related particle systems with a measure-dependent drift coefficient that is discontinuous in the spatial…
Three numerical algorithms are proposed to solve the time-dependent elastodynamic equations in elastic solids. All algorithms are based on approximating the solution of the equations, which can be written as a matrix exponential. By…
Dynamical systems that are subject to continuous uncertain fluctuations can be modelled using Stochastic Differential Equations (SDEs). Controlling such system results in solving path constrained SDEs. Broadly, these problems fall under the…
A discretization scheme for variable coefficient elliptic PDEs in the plane is presented. The scheme is based on high-order Gaussian quadratures and is designed for problems with smooth solutions, such as scattering problems involving soft…
We develop an entropy-stable high-order numerical method for the two-dimensional compressible Euler equations on general curvilinear meshes. The proposed approach is based on a nodal discontinuous Galerkin spectral element method (DGSEM)…
We present compact semi-implicit finite difference schemes on structured grids for numerical solutions of the advection by an external velocity and by a speed in normal direction that are applicable in level set methods. The most involved…
We establish an existence and uniqueness result for a class of multidimensional quadratic backward stochastic differential equations (BSDE). This class is characterized by constraints on some uniform a priori estimate on solutions of a…
This paper is concerned with the PDE and numerical analysis of a modified one-dimensional intravascular stent model originally proposed in [4]. It is proved that the modified model has a unique weak solution using the Galerkin method…
Sticky diffusion models a Markovian particle experiencing reflection and temporary adhesion phenomena at the boundary. Numerous numerical schemes exist for approximating stopped or reflected stochastic differential equations (SDEs), but…
We propose a novel numerical approach for nonlocal diffusion equations [8] with integrable kernels, based on the relationship between the backward Kolmogorov equation and backward stochastic differential equations (BSDEs) driven by L\`{e}vy…
Forecasting physical signals in long time range is among the most challenging tasks in Partial Differential Equations (PDEs) research. To circumvent limitations of traditional solvers, many different Deep Learning methods have been…
We study multiscale integrator numerical schemes for a class of stiff stochastic differential equations (SDEs). We consider multiscale SDEs with potentially multiple attractors that behave as diffusions on graphs as the stiffness parameter…
In this paper, we present new types of exponential integrators for Stochastic Differential Equations (SDEs) that take the advantage of the exact solution of (generalised) geometric Brownian motion. We examine both Euler and Milstein…
Review of implicit methods of integrating system of stiff ordinary differential equations is presented. Defines and graphically presents absolute stability region for Gears methods (backward differentiation formula) used to solve system of…
A fractional advection-dispersion equation (fADE) has been advocated for heavy-tailed flows where the usual Brownian diffusion models fail. A stochastic differential equation (SDE) driven by a stable L\'{e}vy process gives a forward…