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A fully discrete approximation of the linear stochastic wave equation driven by additive noise is presented. A standard finite element method is used for the spatial discretisation and a stochastic trigonometric scheme for the temporal…
We consider a convexity constrained Hamilton-Jacobi-Bellman-type obstacle problem for the value function of a zero-sum differential game with asymmetric information. We propose a convexity-preserving probabilistic numerical scheme for the…
This paper develops and analyzes a fully discrete finite element method for a class of semilinear stochastic partial differential equations (SPDEs) with multiplicative noise. The nonlinearity in the diffusion term of the SPDEs is assumed to…
In this paper, we present a robust and fully discretized method for solving the time fractional diffusion equation with high-contrast multiscale coefficients. We establish the homogenized equation using a multicontinuum approach and employ…
Quantitative long-time entropic convergence and short-time regularization are established for an idealized Hamiltonian Monte Carlo chain which alternatively follows an Hamiltonian dynamics for a fixed time and then partially or totally…
This paper presents a time discretization of the robust exact filtering differentiator, a sliding mode differentiator coupled to filter, which provides a suitable approximation to the derivatives of some noisy signals. This proposal takes…
We investigate the numerical approximation of the stochastic Allen--Cahn equation with multiplicative noise on a periodic domain. The considered scheme uses a recently proposed augmented variant of scalar auxiliary variable method for the…
Recently, a new family of integrators (Hamiltonian Boundary ValueMethods) has been introduced, which is able to precisely conserve the energy function of polynomial Hamiltonian systems and to provide a practical conservation of the energy…
This paper is devoted to the construction of exponential integrators of first and second order for the time discretization of constrained parabolic systems. For this extend, we combine well-known exponential integrators for unconstrained…
This paper is part of a program to combine a staggered time and staggered spatial discretization of continuum mechanics problems so that any property of the continuum that is proved using vector calculus can be proven in an analogous way…
A recent paper of Melbourne & Stuart, A note on diffusion limits of chaotic skew product flows, Nonlinearity 24 (2011) 1361-1367, gives a rigorous proof of convergence of a fast-slow deterministic system to a stochastic differential…
In this paper, we introduce and analyze a class of numerical schemes that demonstrate remarkable superiority in terms of efficiency, the preservation of positivity, energy stability, and high-order precision to solve the time-dependent…
A non-${\cal{PT}}$-symmetric Hamiltonian system of a Duffing oscillator coupled to an anti-damped oscillator with a variable angular frequency is shown to admit periodic solutions. The result implies that ${\cal{PT}}$-symmetry of a…
We reconsider the variational integration of optimal control problems for mechanical systems based on a direct discretization of the Lagrange-d'Alembert principle. This approach yields discrete dynamical constraints which by construction…
We study numerically classical 1-dimensional Hamiltonian lattices involving inter-particle long range interactions that decay with distance like 1/r^alpha, for alpha>=0. We demonstrate that although such systems are generally characterized…
In this paper, we investigate the convergence order in probability of a novel ergodic numerical scheme for damped stochastic nonlinear Schr\"{o}dinger equation with an additive noise. Theoretical analysis shows that our scheme is of order…
In this paper, we present an energy-preserving exponentially integrable numerical method for stochastic wave equation with cubic nonlinearity and additive noise. We first apply the spectral Galerkin method to discretizing the original…
The most widely used approach for simulating the dynamics of time-dependent Hamiltonians via quantum computation depends on the quantum-classical hybrid variational quantum time evolution algorithm, in which ordinary differential equations…
This paper focuses on the numerical approximation of the linearized shallow water equations using hybridizable discontinuous Galerkin (HDG) methods, leveraging the Hamiltonian structure of the evolution system. First, we propose an…
We show how the integrators used for the molecular dynamics step of the Hybrid Monte Carlo algorithm can be further improved. These integrators not only approximately conserve some Hamiltonian $H$ but conserve exactly a nearby shadow…