Related papers: Sharp error estimates on a stochastic structure-pr…
We study a family of numerical schemes applied to a class of multiscale systems of stochastic differential equations. When the time scale separation parameter vanishes, a well-known homogenization or Wong--Zakai diffusion approximation…
Stochastic differential equations are an important modeling class in many disciplines. Consequently, there exist many methods relying on various discretization and numerical integration schemes. In this paper, we propose a novel,…
Several relaxation approximations to partial differential equations have been recently proposed. Examples include conservation laws, Hamilton-Jacobi equations, convection-diffusion problems, gas dynamics problems. The present paper focuses…
In this work, we study and extend a class of semi-Lagrangian exponential methods, which combine exponential time integration techniques, suitable for integrating stiff linear terms, with a semi-Lagrangian treatment of nonlinear advection…
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…
Diffusion is the macroscopic manifestation of disordered molecular motion. Mathematically, diffusion equations are partial differential equations describing the fluid-like large-scale dynamics of parcels of molecules. Spatially…
In this paper, we develop numerical methods for solving Stochastic Differential Equations (SDEs) with solutions that evolve within a hypercube $D$ in $\mathbb{R}^d$. Our approach is based on a convex combination of two numerical flows, both…
We consider the initial/boundary value problem for the fractional diffusion and diffusion-wave equations involving a Caputo fractional derivative in time. We develop two "simple" fully discrete schemes based on the Galerkin finite element…
This paper deals with the asymptotic behavior and FEM error analysis of a class of strongly damped wave equations using a semidiscrete finite element method in spatial directions combined with a finite difference scheme in the time…
This article studies a direct numerical approach for fractional advection-diffusion equations (ADEs). Using a set of cubic trigonometric B-splines as test functions, a differential quadrature (DQ) method is firstly proposed for the 1D and…
A data-driven algorithm is proposed that employs sparse data from velocity and/or scalar sensors to forecast the future evolution of three dimensional turbulent flows. The algorithm combines time-delayed embedding together with Koopman…
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…
Numerical schemes used for the integration of complex flow simulations should provide accurate solutions for the long time integrations these flows require. To this end, the performance of various high-order accurate numerical schemes is…
The past few years have witnessed the great success of Diffusion models~(DMs) in generating high-fidelity samples in generative modeling tasks. A major limitation of the DM is its notoriously slow sampling procedure which normally requires…
Fractional differential equations (FDEs) are an extension of the theory of fractional calculus. However, due to the difficulty in finding analytical solutions, there have not been extensive applications of FDEs until recent decades. With…
This work presents a comprehensive framework for enhanced diffusion modeling in fluid-structure interactions by combining the Immersed Boundary Method (IBM) with stochastic trajectories and high-order spectral boundary conditions. Using…
The Lagrangian approach is natural to study issues of turbulent dispersion and mixing. We propose in this work a general Lagrangian stochastic model including velocity and acceleration as dynamical variables for inhomogeneous turbulent…
Maxwell equations describe the propagation of electromagnetic waves and are therefore fundamental to understanding many problems encountered in the study of antennas and electromagnetics. The aim of this paper is to propose and analyse an…
We study strong approximation of $d$-dimensional stochastic differential equations (SDEs) with a discontinuous drift coefficient. More precisely, we essentially assume that the drift coefficient is piecewise Lipschitz continuous with an…
This paper develops and analyzes an optimal-order semi-discrete scheme and its fully discrete finite element approximation for nonlinear stochastic elastic wave equations with multiplicative noise. A non-standard time-stepping scheme is…