Related papers: Stochastic simulation of collisions using high-ord…
We study the strong convergence order of the Euler-Maruyama scheme for scalar stochastic differential equations with additive noise and irregular drift. We provide a general framework for the error analysis by reducing it to a weighted…
An Euler-type framework with equidistant step sizes is proposed for a class of time-changed stochastic differential equations.We establish the strong convergence rate of the standard Euler--Maruyama method under the global Lipschitz…
We present a criterion for uniform in time convergence of the weak error of the Euler scheme for Stochastic Differential equations (SDEs). The criterion requires i) exponential decay in time of the space-derivatives of the semigroup…
We deal with the problem of parameter estimation in stochastic differential equations (SDEs) in a partially observed framework. We aim to design a method working for both elliptic and hypoelliptic SDEs, the latters being characterized by…
Simulations of relativistic heavy-ion collisions within the three-fluid model employing a purely hadronic equation of state (EoS) and two versions of the EoS involving deconfinement transition are presented. The latter are an EoS with the…
An efficient technique to simulate turbulent particle-laden flow at high mass loadings within the four-way coupled simulation regime is presented. The technique implements large eddy simulation, discrete phase simulation, a deterministic…
In the present paper, a class of stochastic Runge-Kutta methods containing the second order stochastic Runge-Kutta scheme due to E. Platen for the weak approximation of It\^o stochastic differential equation systems with a multi-dimensional…
We focus here on a class of fourth-order parabolic equations that can be written as a system of second-order equations by introducing an auxiliary variable. We design a novel second-order fully discrete mixed finite element method to…
In this paper, we study a class of super-linear stochastic differential delay equations with Poisson jumps (SDDEwPJs). The convergence and rate of the convergence of the truncated Euler-Maruyama numerical solutions to SDDEwPJs are…
In this work, we propose a novel backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations (BSDEs), where the deep neural network (DNN) models are trained not only…
In this paper, we establish the weak convergence rate of density-dependent stochastic differential equations with bounded drift driven by $\alpha$-stable processes with $\alpha\in(1,2)$. The well-posedness of these equations has been…
This paper mainly investigates the strong convergence and stability of the truncated Euler-Maruyama (EM) method for stochastic differential delay equations with variable delay whose coefficients can be growing super-linearly. By…
A new fluid model for runaway electron simulation based on fluid description is introduced and implemented in the magnetohydrodynamics code M3D-C1, which includes self-consistent interactions between plasma and runaway electrons. The model…
We consider the weak-error rate of the SPDE approximation by regularized Dean-Kawasaki equation with It\^o noise for particle systems with mean-field interactions both on the drift and the noise. The global existence and uniqueness of the…
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…
We address the multiclass classification problem for stochastic diffusion paths, assuming that the classes are distinguished by their drift functions, while the diffusion coefficient remains common across all classes. In this setting, we…
A minimal requirement for simulating multi-scale systems is to reproduce the statistical behavior of the slow variables. In particular, a good numerical method should accurately aproximate the probability density function of the…
For the simulation of disruptions in tokamak fusion plasmas, a fluid model describing the evolution of relativistic runaway electrons and their interaction with the background plasma is presented. The overall aim of the model is to…
We derive equations for the strongly coupled system of light and dense atomic ensembles. The formalism includes an arbitrary internal level structure for the atoms and is not restricted to weak excitation of atoms by light. In the low light…
Runaway electrons (RE) generated during magnetic disruptions present a major threat to the safe operation of plasma nuclear fusion reactors. A critical aspect of understanding RE dynamics is to calculate the runaway probability, i.e., the…