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This article introduces and analyzes a new explicit, easily implementable, and full discrete accelerated exponential Euler-type approximation scheme for additive space-time white noise driven stochastic partial differential equations…
Exponential integrators are explicit methods for solving ordinary differential equations that treat linear behaviour exactly. The stiff-order conditions for exponential integrators derived in a Banach space framework by Hochbruck and…
This article deals with the numerical integration in time of nonlinear Schr\"odinger equations. The main application is the numerical simulation of rotating Bose-Einstein condensates. The authors perform a change of unknown so that the…
A stochastic solution is constructed for a fractional generalization of the KPP (Kolmogorov, Petrovskii, Piskunov) equation. The solution uses a fractional generalization of the branching exponential process and propagation processes which…
We reformulate the second-order Schrodinger equation as a set of two coupled first order differential equations, a so-called "Shabat-Zakharov system", (sometimes called a "Zakharov-Shabat" system). There is considerable flexibility in this…
The numerical evaluation of statistics plays a crucial role in statistical physics and its applied fields. It is possible to evaluate the statistics for a stochastic differential equation with Gaussian white noise via the corresponding…
The solution $X_n$ to a nonlinear stochastic differential equation of the form $dX_n(t)+A_n(t)X_n(t)\,dt-\tfrac12\sum_{j=1}^N(B_j^n(t))^2X_n(t)\,dt=\sum_{j=1}^N B_j^n(t)X_n(t)d\beta_j^n(t)+f_n(t)\,dt$, $X_n(0)=x$, where $\beta_j^n$ is a…
We consider the numerical approximation of a general second order semi--linear parabolic stochastic partial differential equation (SPDEs) driven by space-time noise, for multiplicative and additive noise. We examine convergence of…
A wide range of numerical methods exists for computing polynomial approximations of solutions of ordinary differential equations based on Chebyshev series expansions or Chebyshev interpolation polynomials. We consider the application of…
This paper constructs a solvability theory for a system of stochastic partial differential equations. On account of the Kolmogorov continuity theorem, solutions are looked for in certain H\"older-type classes in which a random field is…
For stochastic systems driven by continuous semimartingales an explicit formula for the logarithm of the Ito flow map is given. A similar formula is also obtained for solutions of linear matrix-valued SDEs driven by arbitrary…
We give a definition of integration by quadratures of first-order ordinary differential equations, and recover a little known result by Maximovic which states that a first-order ordinary differential equation can be integrated by…
Stochastic ordering among distributions has been considered in a variety of scenarios. Economic studies often involve research about the ordering of investment strategies or social welfare. However, as noted in the literature, stochastic…
Motivated by the study of dynamics of interacting spins for infinite particle systems, we consider an infinite family of first order differential equations in a Euclidean space, parameterized by elements $x$ of a fixed countable set. We…
We develop a family of reformulations of an arbitrary consistent linear system into a stochastic problem. The reformulations are governed by two user-defined parameters: a positive definite matrix defining a norm, and an arbitrary discrete…
Consider a low temperature stochastic Ising model in the phase coexistence regime with Markov semigroup $P_t$. A fundamental and still largely open problem is the understanding of the long time behavior of $\d_\h P_t$ when the initial…
The emphasis of this paper is to investigate the high-order approximation of a class of SPDEs with cubic nonlinearity driven by multiplicative noise with the help of the amplitude equations. The highlight of our work is that we improve the…
We consider stochastic versions of the Cauchy exponential functional equation and give a martingale characterization of the general solution.
In this paper we analyze the finite element approximation of the Stokes equations with non-smooth Dirichlet boundary data. To define the discrete solution, we first approximate the boundary datum by a smooth one and then apply a standard…
We consider finite-dimensional systems of linear stochastic differential equations ${\partial_t}{x_k}\left( t \right) = {A_{kp}}\left( t \right){x_p}\left( t \right)$, ${\bf A}(t)$ being a stationary continuous statistically isotropic…