Related papers: Semi-implicit Milstein approximation scheme for no…
We introduce some approximation schemes for linear and fully non-linear diffusion equations of Bellman-Isaacs type. Although they are not monotone one can prove their convergence to the viscosity solution of the problem. Effective…
In this paper we present splitting methods which are based on iterative schemes and applied to stochastic nonlinear Schroedinger equation. We will design stochastic integrators which almost conserve the symplectic structure. The idea is…
In this paper, we discuss the problem of minimizing the sum of two convex functions: a smooth function plus a non-smooth function. Further, the smooth part can be expressed by the average of a large number of smooth component functions, and…
We study disorder-induced spectral correlations and their effect on the magnetic susceptibility of mesoscopic quantum systems in the non-diffusive regime. By combining a diagrammatic perturbative approach with semiclassical techniques we…
In this paper, we derive rigorously a non-local cross-diffusion system from an interacting stochastic many-particle system in the whole space. The convergence is proved in the sense of probability by introducing an intermediate particle…
We analyze a semi-implicit finite volume scheme for the Gray--Scott system, a model for pattern formation in chemical and biological media. We prove unconditional well-posedness of the fully discrete problem and establish qualitative…
In this paper we address the convergence of stochastic approximation when the functions to be minimized are not convex and nonsmooth. We show that the "mean-limit" approach to the convergence which leads, for smooth problems, to the ODE…
In this study, we propose high-order implicit and semi-implicit schemes for solving ordinary differential equations (ODEs) based on Taylor series expansion. These methods are designed to handle stiff and non-stiff components within a…
The aim of this work is to provide the strong convergence results of numerical approximations of a general second order non-autonomous semilinear stochastic partial differential equation (SPDE) driven simultaneously by an additive…
We prove a rate of convergence for the $N$-particle approximation of a second-order partial differential equation in the space of probability measures, like the Master equation or Bellman equation of mean-field control problem under common…
We present an explicit method for simulating stochastic differential equations (SDEs) that have variable diffusion coefficients and satisfy the detailed balance condition with respect to a known equilibrium density. In Tupper and Yang…
This article analyses the convergence of the Lie-Trotter splitting scheme for the stochastic Manakov equation, a system arising in the study of pulse propagation in randomly birefringent optical fibers. First, we prove that the strong order…
In this article, we extend a Milstein finite difference scheme introduced in [Giles & Reisinger(2011)] for a certain linear stochastic partial differential equation (SPDE), to semi- and fully implicit timestepping as introduced by…
The Milstein approximation with step size $\Delta t>0$ of the solution $(X, Y)$ to a two-by-two system of linear stochastic differential equations is considered. It is proved that when the solution of the underlying model is exponentially…
We present a class of nonlinear Schroedinger equations (NLSEs) describing, in the mean field approximation, systems of interacting particles. This class of NLSEs is obtained generalizing expediently the approach proposed in Ref. [G.K. Phys.…
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…
For stochastic differential equations (SDEs) with a superlinearly growing and globally one-sided Lipschitz continuous drift coefficient, the classical explicit Euler scheme fails to converge strongly to the exact solution. Recently, an…
In this paper, a modification of the conventional approximations to the quasi-maximum likelihood method is introduced for the parameter estimation of diffusion processes from discrete observations. This is based on a convergent…
We consider a Poisson equation in $\mathbb R^d$ for the elliptic operator corresponding to an ergodic diffusion process. Optimal regularity and smoothness with respect to the parameter are obtained under mild conditions on the coefficients.…
In the field of computational finance, one is commonly interested in the expected value of a financial derivative whose payoff depends on the solution of stochastic differential equations (SDEs). For multi-dimensional SDEs with…