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We consider the numerical solution of coupled volume-surface reaction-diffusion systems having a detailed balance equilibrium. Based on the conservation of mass, an appropriate quadratic entropy functional is identified and an…
This study concerns numerical methods for efficiently solving the Richards equation where different weak formulations and computational techniques are analyzed. The spatial discretizations are based on standard or mixed finite element…
In this article we propose a new, explicit and easily implementable numerical method for approximating a class of semilinear stochastic evolution equations with non-globally Lipschitz continuous nonlinearities. We establish strong…
The numerical solution methods for partial differential equation (PDE) solution allow obtaining a discrete field that converges towards the solution if the method is applied to the correct problem. Nevertheless, the numerical methods…
We consider the numerical approximation of the quantile hedging price in a non-linear market. In a Markovian framework, we propose a numerical method based on a Piecewise Constant Policy Timestepping (PCPT) scheme coupled with a monotone…
We develop a new spatial semidiscrete multiscale method based upon the edge multiscale methods to solve semilinear parabolic problems with heterogeneous coefficients and smooth initial data. This method allows for a cheap spatial…
This short communication develops a new numerical procedure suitable for a large class of ordinary differential equation systems found in models in physics and engineering. The main numerical procedure is analogous to those concerning the…
The present work provides a critical assessment of numerical solutions of the space-fractional diffusion-advection equation, which is of high significance for applications in various natural sciences. In view of the fact that, in contrast…
This paper presents a comparative study three numerical schemes such as Linear, Quadratic and Quadratic-Linear scheme for the fractional integro-differential equations defined in terms of the Caputo fractional derivatives. The error…
This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids. These…
This paper introduces a new approximation scheme for solving high-dimensional semilinear partial differential equations (PDEs) and backward stochastic differential equations (BSDEs). First, we decompose a target semilinear PDE (BSDE) into…
We propose a nonlinear Discrete Duality Finite Volume scheme to approximate the solutions of drift diffusion equations. The scheme is built to preserve at the discrete level even on severely distorted meshes the energy / energy dissipation…
We introduce a new approach for designing numerical schemes for stochastic differential equations (SDEs). The approach, which we have called direction and norm decomposition method, proposes to approximate the required solution $X_t$ by…
Parabolic partial differential equations (PDEs) and backward stochastic differential equations (BSDEs) are key ingredients in a number of models in physics and financial engineering. In particular, parabolic PDEs and BSDEs are fundamental…
Pseudospectral collocation methods and finite difference methods have been used for approximating an important family of soliton like solutions of the mKdV equation. These solutions present a structural instability which make difficult to…
This paper develops a probabilistic numerical method for solution of partial differential equations (PDEs) and studies application of that method to PDE-constrained inverse problems. This approach enables the solution of challenging inverse…
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 study the numerical approximation of numerous processes, solutions of nonlinear stochastic differential equations, that appear in various applications such as financial mathematics and population dynamics. Between the investigated models…
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…
This paper develops and analyzes a fully discrete finite element method for a class of semilinear stochastic partial differential equations (SPDEs) with multiplicative noise. The nonlinearity in the diffusion term of the SPDEs is assumed to…