Related papers: Approximation of Stieltjes ordinary differential e…
Higher order schemes for stochastic partial differential equations that do not possess commutative noise require the simulation of iterated stochastic integrals. In this work, we propose a derivative-free Milstein type scheme to approximate…
We consider the random continued fraction S(t) := 1/(s_1 + t/(s_2 + t/(s_3 + >...))) where the s_n are independent random variables with the same gamma distribution. For every realisation of the sequence, S(t) defines a Stieltjes function.…
We present a simple but efficient method of calculating Stieltjes constants at a very high level of precision, up to about 80000 significant digits. This method is based on the hypergeometric-like expansion for the Riemann zeta function…
Since it is difficult to implement implicit schemes on the infinite-dimensional space, we aim to develop the explicit numerical method for approximating super-linear stochastic functional differential equations (SFDEs). Precisely, borrowing…
A method for numerical approximation of a new class of fractional parabolic stochastic evolution equations is introduced and analysed. This class of equations has recently been proposed as a space-time extension of the SPDE-method in…
Understanding sustainability through modeling involves one of the complex and interdisciplinary activities where mathematics plays a key role. We provide arguments favoring the need for developing global models for measuring the status of…
Symmetry preserving difference schemes approximating second and third order ordinary differential equations are presented. They have the same three or four-dimensional symmetry groups as the original differential equations. The new…
In this note, we present a new numerical method for solving backward stochastic differential equations. Our method can be viewed as an analogue of the classical finite element method solving deterministic partial differential equations.
There has recently been considerable interest in using a nonstandard piecewise approximation to formulate fractional order differential equations as difference equations that describe the same dynamical behaviour and are more amenable to a…
Ordinary differential equations are arguably the most popular and useful mathematical tool for describing physical and biological processes in the real world. Often, these physical and biological processes are observed with errors, in which…
Solutions to the stochastic wave equation on the unit sphere are approximated by spectral methods. Strong, weak, and almost sure convergence rates for the proposed numerical schemes are provided and shown to depend only on the smoothness of…
The Stieltjes classes play a significant role in the moment problem since they permit to expose an infinite family of probability distributions all having equal moments of all orders. Given a moment-indeterminate distribution, it may not be…
We consider the numerical approximation of a system of partial differential equations involving a nonlinear Schr\"odinger equation coupled with a hyperbolic conservation law. This system arises in models for the interaction of short and…
This paper focuses on explicit approximations for nonlinear stochastic delay differential equations (SDDEs). Under the weakly local Lipschitz and some suitable conditions, a generic truncated Euler-Maruyama (TEM) scheme for SDDEs is…
This paper investigates a numerical probabilistic method for the solution of some semilinear stochastic partial differential equations (SPDEs in short). The numerical scheme is based on discrete time approximation for solutions of systems…
In this article we propose a new, explicit and easily implementable numerical method for approximating a class of semilinear stochastic evolution equations with non-globally Lipschitz continuous nonlinearities. We establish strong…
The paper deals with the numerical solution of the nonlinear Ito stochastic differential equations (SDEs) appearing in the unravelling of quantum master equations. We first develop an exponential scheme of weak order 1 for general globally…
This paper focuses on the construction and analysis of explicit numerical methods of high dimensional stochastic nonlinear Schrodinger equations (SNLSEs). We first prove that the classical explicit numerical methods are unstable and suffer…
This overview is devoted to splitting methods, a class of numerical integrators intended for differential equations that can be subdivided into different problems easier to solve than the original system. Closely connected with this class…
We give a new estimate on Stieltjes integrals of H\"older continuous functions and use it to prove an existence-uniqueness theorem for solutions of ordinary differential equations with H\"older continuous forcing. We construct stochastic…