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We indicate that the nonlinear Schr\"odinger equation with white noise dispersion possesses stochastic symplectic and multi-symplectic structures. Based on these structures, we propose the stochastic symplectic and multi-symplectic methods,…
A very simple and efficient local variational iteration method for solving problems of nonlinear science is proposed in this paper. The analytical iteration formula of this method is derived first using a general form of first order…
This paper identifies certain interesting mathematical problems of stochastic quantization type in the modeling of Laser propagation through turbulent media. In some of the typical physical contexts the problem reduces to stochastic…
We find explicit (multisoliton) solutions for nonabelian integrable systems such as periodic Toda field equations, Langmuir equations, and Schrodinger equations for functions with values in any associative algebra. The solution for…
A new method of inferencing of coupled stochastic nonlinear oscillators is described. The technique does not require extensive global optimization, provides optimal compensation for noise-induced errors and is robust in a broad range of…
We construct an efficient integrator for stochastic differential systems driven by Levy processes. An efficient integrator is a strong approximation that is more accurate than the corresponding stochastic Taylor approximation, to all orders…
The numerical analysis of variational integrators relies on variational error analysis, which relates the order of accuracy of a variational integrator with the order of approximation of the exact discrete Lagrangian by a computable…
We develop local discontinuous Galerkin (LDG) methods for conservation laws with heterogeneous stochastic fluxes, where the Stratonovich-driven transport terms may be linear or nonlinear. Such equations arise, for example, in simplified…
We consider a new splitting based on the Sherman-Morrison-Woodbury formula, which is particularly effective with iterative methods for the numerical solution of large linear systems. These systems involve matrices that are perturbations of…
A novel second order family of explicit stabilized Runge-Kutta-Chebyshev methods for advection-diffusion-reaction equations is introduced. The new methods outperform existing schemes for relatively high Peclet number due to their favorable…
We study existence and uniqueness of a variational solution in terms of stochastic variational inequalities (SVI) to stochastic nonlinear diffusion equations with a highly singular diffusivity term and multiplicative Stratonovich…
In this paper is described a general 2-nd order accurate (weak sense) procedure for stablizing Monte-Carlo simulations of Ito stochastic differential equations. The splitting procedure includes explicit Runge-Kutta methods, semi-implicit…
We introduce exponential numerical integration methods for stiff stochastic dynamical systems of the form $d\mathbf{z}_t = L(t)\mathbf{z}_tdt + \mathbf{f}(t)dt + Q(t)d\mathbf{W}_t$. We consider the setting of time-varying operators $L(t),…
We present a collection of well-conditioned integral equation methods for the solution of electrostatic, acoustic or electromagnetic scattering problems involving anisotropic, inhomogeneous media. In the electromagnetic case, our approach…
We present a computationally efficient algorithm for stable numerical differentiation from noisy, uniformly-sampled data on a bounded interval. The method combines multi-interval Fourier extension approximations with an adaptive domain…
We construct importance sampling schemes for stochastic differential equations with small noise and fast oscillating coefficients. Standard Monte Carlo methods perform poorly for these problems in the small noise limit. With multiscale…
Darboux transformation is one of the methods used in solving nonlinear evolution equation. Basically, the Darboux transformation is a linear algebra formulation of the solutions of the Zakharov-Shabat system of equations associated with the…
In this paper we consider an approach to improve the performance of exponential Runge--Kutta integrators and Lawson schemes} in cases where the solution of a related, but usually much simpler, problem can be computed efficiently. While for…
In this paper, a higher-order time-discretization scheme is proposed, where the iterates approximate the solution of the stochastic semilinear wave equation driven by multiplicative noise with general drift and diffusion. We employ a…
A stochastic affine evolution equation with bilinear noise term is studied where the driving process is a real-valued fractional Brownian motion. Stochastic integration is understood in the Skorokhod sense. Existence and uniqueness of weak…