Related papers: An implementation of Milstein's method for general…
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 give an introduction to discrete functional analysis techniques for stationary and transient diffusion equations. We show how these techniques are used to establish the convergence of various numerical schemes without assuming…
The aim of this paper is to study the recovery of a spatially dependent potential in a (sub)diffusion equation from overposed final time data. We construct a monotone operator one of whose fixed points is the unknown potential. The…
In this paper, we propose a new adaptation of the D-iteration algorithm to numerically solve the differential equations. This problem can be reinterpreted in 2D or 3D (or higher dimensions) as a limit of a diffusion process where the…
This papers deals with a construction and convergence analysis of a finite difference scheme for solving time-fractional porous medium equation. The governing equation exhibits both nonlocal and nonlinear behaviour making the numerical…
Bayesian inference for nonlinear diffusions, observed at discrete times, is a challenging task that has prompted the development of a number of algorithms, mainly within the computational statistics community. We propose a new direction,…
In this paper we investigate a sub-diffusion equation for simulating the anomalous diffusion phenomenon in real physical environment. Based on an equivalent transformation of the original sub-diffusion equation followed by the use of a…
We study the particle method to approximate the gradient flow on the $L^p$-Wasserstein space. This method relies on the discretization of the energy introduced by [3] via nonoverlapping balls centered at the particles and preserves the…
In this paper we present a numerical method for the Boltzmann equation. It is a spectral discretization in the velocity and a discontinuous Galerkin discretization in physical space. To obtain uniform approximation properties in the mach…
We derive a fluctuating lattice Boltzmann method for the diffusion equation. The derivation removes several shortcomings of previous derivations for fluctuating lattice Boltzmann methods for hydrodynamic systems. The comparative simplicity…
Deep stochastic processes have recently become a central paradigm for image enhancement, with many methods explicitly conditioning the stochastic trajectory on the degraded input. However, the relationship between these conditional…
We study regularity and numerical methods for two-sided fractional diffusion equations with a lower-order term. We show that the regularity of the solution in weighted Sobolev spaces can be greatly improved compared to that in standard…
The Immersed Boundary Method (IBM) is a popular numerical approach to impose boundary conditions without relying on body-fitted grids, thus reducing the costly effort of mesh generation. To obtain enhanced accuracy, IBM can be combined with…
Diffusions are a fundamental class of models in many fields, including finance, engineering, and biology. Simulating diffusions is challenging as their sample paths are infinite-dimensional and their transition functions are typically…
We prove convergence of the proximal policy gradient method for a class of constrained stochastic control problems with control in both the drift and diffusion of the state process. The problem requires either the running or terminal cost…
Near-optimal computational complexity of an adaptive stochastic Galerkin method with independently refined spatial meshes for elliptic partial differential equations is shown. The method takes advantage of multilevel structure in expansions…
In this work, we explore a time-fractional diffusion equation of order $\alpha \in (0,1)$ with a stochastic diffusivity parameter. We focus on efficient estimation of the expected values (considered as an infinite dimensional integral on…
The problem of diffusion in a porous medium with a spatially varying porosity is considered. The particular microstructure analyzed comprises a collection of impenetrable spheres, though the methods developed are general. Two different…
For the stationary advection-diffusion problem the standard continuous Galerkin method is unstable without some additional control on the mesh or method. The interior penalty discontinuous Galerkin method is stable but at the expense of an…
In this paper, we present a finite difference heterogeneous multiscale method for the Landau-Lifshitz equation with a highly oscillatory diffusion coefficient. The approach combines a higher order discretization and artificial damping in…