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The variable two-step backward differentiation formula (BDF2) is revisited via a new theoretical framework using the positive semi-definiteness of BDF2 convolution kernels and a class of orthogonal convolution kernels. We prove that, if the…
The optimal stopping problem is one of the core problems in financial markets, with broad applications such as pricing American and Bermudan options. The deep BSDE method [Han, Jentzen and E, PNAS, 115(34):8505-8510, 2018] has shown great…
We propose some numerical schemes for forward-backward stochastic differential equations (FBSDEs) based on a new fundamental concept of transposition solutions. These schemes exploit time-splitting methods for the variation of constants…
Forward and inverse models are used throughout different engineering fields to predict and understand the behaviour of systems and to find parameters from a set of observations. These models use root-finding and minimisation techniques…
We present a novel positive kinetic scheme built on the efficient collide-and-stream algorithm of the lattice Boltzmann method (LBM) to address hyperbolic conservation laws. We focus on the compressible Euler equations with strong…
Solutions exhibiting weak initial singularities arise in various equations, including diffusion and subdiffusion equations. When employing the well-known L1 scheme to solve subdiffusion equations with weak singularities, numerical…
Higher order finite difference Weighted Essentially Non-Oscillatory (WENO) schemes for conservation laws represent a technology that has been reasonably consolidated. They are extremely popular because, when applied to multidimensional…
High-order numerical methods for solving elliptic equations over arbitrary domains typically require specialized machinery, such as high-quality conforming grids for finite elements method, and quadrature rules for boundary integral…
We present a novel framework for the development of fourth-order lattice Boltzmann schemes to tackle multidimensional nonlinear systems of conservation laws. As for other numerical schemes for hyperbolic problems, high-order accuracy…
Convergence acceleration of flow simulations to their steady states at lower Mach numbers can be achieved via preconditioning the lattice Boltzmann (LB) schemes that alleviate the associated numerical stiffness, which have so far been…
In this work a new finite element based Method of Relaxed Streamline Upwinding is proposed to solve hyperbolic conservation laws. Formulation of the proposed scheme is based on relaxation system which replaces hyperbolic conservation laws…
In this paper stability and error estimates for time discretizations of linear and semilinear parabolic equations by the two-step backward differentiation formula (BDF2) method with variable step-sizes are derived. An affirmative answer is…
We show how to combine in a natural way (i.e. without any test nor switch) the conservative and non conservative formulations of an hyperbolic system that has a conservative form. This is inspired from two different class of schemes: the…
The paper is concerned with a posteriori error bounds for a wide class of numerical schemes, for $n\times n$ hyperbolic conservation laws in one space dimension. These estimates are achieved by a "post-processing algorithm", checking that…
This paper is dedicated to the presentation and the analysis of a numerical scheme for forward-backward SDEs of the McKean-Vlasov type, or equivalently for solutions to PDEs on the Wasserstein space. Because of the mean field structure of…
Different ways of implementing dimension-by-dimension CWENO reconstruction are discussed and the most efficient method is applied to develop a fourth order central scheme for multi-dimensional hyperbolic problems. Fourth order accuracy and…
We provide a new theoretical framework for the variable-step deferred correction (DC) methods based on the well-known BDF2 formula. By using the discrete orthogonal convolution kernels, some high-order BDF2-DC methods are proven to be…
Flux-corrected transport (FCT) is one of the flux limiter methods. Unlike the total variation diminishing methods, obtaining the known FCT formulas for computing flux limiters is not quite transparent, and their transformation is not…
The monotonicity and stability of difference schemes for, in general, hyperbolic systems of conservation laws with source terms are studied. The basic approach is to investigate the stability and monotonicity of a non-linear scheme in terms…
We consider hyperbolic systems of conservation laws with relaxation source terms leading to a diffusive asymptotic limit under a parabolic scaling. We introduce a new class of secondorder in time and space numerical schemes, which are…