Related papers: Convergent numerical approximation of the stochast…
In this paper, we consider a backward problem for a time-space fractional diffusion process. For this problem, we propose to construct the initial data by minimizing data residual error in fourier space domain and variable total variation…
We show that the solutions to the damped stochastic wave equation converge pathwise to the solution of a stochastic heat equation. This is called the Smoluchowski-Kramers approximation. Cerrai and Freidlin have previously demonstrated that…
Calibration of stochastic local volatility (SLV) models to their underlying local volatility model is often performed by numerically solving a two-dimensional non-linear forward Kolmogorov equation. We propose a novel finite volume (FV)…
Total variation (TV) minimization is one of the most important techniques in modern signal/image processing, and has wide range of applications. While there are numerous recent works on the restoration guarantee of the TV minimization in…
This paper focuses on stochastic proximal gradient methods for optimizing a smooth non-convex loss function with a non-smooth non-convex regularizer and convex constraints. To the best of our knowledge we present the first non-asymptotic…
We present an effective numerical procedure, which is based on the computational scheme from [Heid et al., arXiv:1906.06954], for the numerical approximation of excited states of Schr\"odingers equation. In particular, this procedure…
Stochastic nonconvex optimization problems with nonlinear constraints have a broad range of applications in intelligent transportation, cyber-security, and smart grids. In this paper, first, we propose an inexact-proximal accelerated…
In this paper, we continue to study the fractional harmonic gradient flow on $S^{n-1}$ taking values in a general closed manifold $N \subset \mathbb{R}^n$, addressing global existence and uniqueness of solutions of energy class with…
In this contribution, we present a numerical analysis of the continuous stochastic gradient (CSG) method, including applications from topology optimization and convergence rates. In contrast to standard stochastic gradient optimization…
In this contribution, we provide convergence rates for a finite volume scheme of a stochastic non-linear parabolic equation with multiplicative Lipschitz noise and homogeneous Neumann boundary conditions. More precisely, we give an error…
We propose a mixed finite element method for the motion of a strongly viscous, ideal, and isentropic gas. At the boundary we impose a Navier-slip condition such that the velocity equation can be posed in mixed form with the vorticity as an…
We revisit the well-known Curve Shortening Flow for immersed curves in the $d$-dimensional Euclidean space. We exploit a fundamental structure of the problem to derive a new global construction of a solution, that is, a construction that is…
Time fractional advection-dispersion equations arise as generalizations of classical integer order advection-dispersion equations and are increasingly used to model fluid flow problems through porous media. In this paper we develop an…
In this paper we study variational inequalities (VI) defined by the conditional value-at-risk (CVaR) of uncertain functions. We introduce stochastic approximation schemes that employ an empirical estimate of the CVaR at each iteration to…
We study the convergence and error estimates of a finite volume method for the compressible Navier-Stokes-Fourier system with Dirichlet boundary conditions. Physical fluid domain is typically smooth and needs to be approximated by a…
We develop a weakly intrusive framework to simulate the propagation of uncertainty in solutions of generic hyperbolic partial differential equation systems on graph-connected domains with nodal coupling and boundary conditions. The method…
To model wave propagation in inhomogeneous media with frequency-dependent power-law attenuation, it is needed to use the fractional powers of symmetric coercive elliptic operators in space and the Caputo tempered fractional derivative in…
This paper is concerned with fully discrete finite element methods for approximating variational solutions of nonlinear stochastic elastic wave equations with multiplicative noise. A detailed analysis of the properties of the weak solution…
We are interested in the gradient flow of a general first order convex functional with respect to the $L^1$-topology. By means of an implicit minimization scheme, we show existence of a global limit solution, which satisfies an…
We consider a linear partial integro-differential equation that arises in the modeling of various physical and biological processes. We study the problem in a spatial periodic domain. We analyze numerical stability and numerical convergence…