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Stochastic simulation algorithms such as likelihood weighting often give fast, accurate approximations to posterior probabilities in probabilistic networks, and are the methods of choice for very large networks. Unfortunately, the special…
This paper studies the numerical methods to approximate the solutions for a sort of McKean-Vlasov neutral stochastic differential delay equations (MV-NSDDEs) that the growth of the drift coefficients is super-linear. First, We obtain that…
We study the weak approximation of the second-order backward SDEs (2BSDEs), when the continuous driving martingales are approximated by discrete time martingales. We establish a convergence result for a class of 2BSDEs, using both…
To obtain strong convergence rates of numerical schemes, an overwhelming majority of existing works impose a global monotonicity condition on coefficients of SDEs. Nevertheless, there are still many SDEs from applications that do not have…
We consider a nonlinear SPDE approximation of the Dean-Kawasaki equation for independent particles. Our approximation satisfies the physical constraints of the particle system, i.e. its solution is a probability measure for all times…
In this paper, we first establish well-posedness results for one-dimensional McKean-Vlasov stochastic differential equations (SDEs) and related particle systems with a measure-dependent drift coefficient that is discontinuous in the spatial…
This paper is concerned with non-uniform fully-mixed FEMs for dynamic coupled Stokes-Darcy model with the well-known Beavers-Joseph-Saffman (BJS) interface condition. In particular, a decoupled algorithm with the lowest-order mixed…
High-dimensional partial differential equations (PDE) appear in a number of models from the financial industry, such as in derivative pricing models, credit valuation adjustment (CVA) models, or portfolio optimization models. The PDEs in…
We consider SDEs with bounded and $\alpha$-H\"older continuous drift, with $\alpha \in (0,1)$, driven by multiplicative noise. We show that under sufficient conditions on the diffusion matrix, which guarantee the existence of a unique…
Using previously developed method of two-dimensional Laplace transform we obtain the characteristic equations k(\omega) for electromagnetic waves in low-collision fully ionized plasma of a plane geometry. We apply here a new, different from…
The Eulerian-Lagrangian approach based on Large-Eddy Simulation (LES) is one of the most promising and viable numerical tools to study turbulent dispersed flows when the computational cost of Direct Numerical Simulation (DNS) becomes too…
The truncated Euler-Maruyama (EM) method is proposed to approximate a class of non-autonomous stochastic differential equations (SDEs) with the H\"older continuity in the temporal variable and the super-linear growth in the state variable.…
The approximation of invariant measures for nonlinear ergodic stochastic differential equations (SDEs) is a central problem in scientific computing, with important applications in stochastic sampling, physics, and ecology. We first propose…
In this article, we are interested in the strong well-posedness together with the numerical approximation of some one-dimensional stochastic differential equations with a non-linear drift, in the sense of McKean-Vlasov, driven by a…
We describe an Euler scheme to approximate solutions of L\'evy driven Stochastic Differential Equations (SDE) where the grid points are random and given by the arrival times of a Poisson process. This result extends a previous work of the…
Electron energy-loss spectroscopy (EELS) and cathodoluminescence (CL) are widely used experimental techniques for characterization of nanoparticles. The discrete dipole approximation (DDA) is a numerically exact method for simulating…
This paper is concerned with the numerical approximation of stochastic ordinary differential equations, which satisfy a global monotonicity condition. This condition includes several equations with super-linearly growing drift and diffusion…
We revisit the numerical stability of four well-established explicit stochastic integration schemes through a new generic benchmark stochastic differential equation designed to assess asymptotic statistical accuracy and stability…
This paper proposes a new second-order symmetric algorithm for solving decoupled forward-backward stochastic differential equations. Inspired by the alternating direction implicit splitting method for partial differential equations, we…
We develop interacting particle algorithms for learning latent variable models with energy-based priors. To do so, we leverage recent developments in particle-based methods for solving maximum marginal likelihood estimation (MMLE) problems.…