Related papers: Diffusion approximation for fully coupled stochast…
This paper proposes a numerical upscaling procedure for elliptic boundary value problems with diffusion tensors that vary randomly on small scales. The resulting effective deterministic model is given through a quasilocal discrete integral…
We consider the mass heterogeneity in a gas of polydisperse hard particles as a key to optimizing a dynamical property: the kinetic relaxation rate. Using the framework of the Boltzmann equation, we study the long time approach of a…
In this paper, we propose and analyze a new stochastic homogenization method for diffusion equations with random and fast oscillatory coefficients. In the proposed method, the homogenized solutions are sought through a two-stage procedure.…
Stochastic point processes relevant to the theory of long-range aperiodic order are considered that display diffraction spectra of mixed type, with special emphasis on explicitly computable cases together with a unified approach of…
It is known that when the diffuse interface thickness $\epsilon$ vanishes, the sharp interface limit of the stochastic reaction-diffusion equation is formally a stochastic geometric flow. To capture and simulate such geometric flow, it is…
We develop a numerical strategy to solve multi-dimensional Poisson equations on dynamically adapted grids for evolutionary problems disclosing propagating fronts. The method is an extension of the multiresolution finite volume scheme used…
We describe an exact and highly efficient numerical algorithm for solving a special but important class of convection-diffusion equations. These equations occur in many problems in physics, chemistry, or biology, and they are usually hard…
We study a second-order parabolic equation with divergence form elliptic operator, having piecewise constant diffusion coefficients with two points of discontinuity. Such partial differential equations appear in the modelization of…
Consider stochastic functional differential equations, whose coefficients depend on past histories. The solution determines a non-Markov process. In the present paper, we shall obtain the existence of smooth densities for joint…
The maximum likelihood approach is adapted to the problem of estimation of drift and diffusion functions of stochastic processes from measured time series. We reconcile a previously devised iterative procedure [Kleinhans et al., Physics…
We consider the long time behavior of Wong-Zakai approximations of stochastic differential equations. These piecewise smooth diffusion approximations are of great importance in many areas, such as those with ordinary differential equations…
We show that for the mean zero simple exclusion process in $\mathbb {Z}^d$ and for the asymmetric simple exclusion process in $\mathbb{Z}^d$ for $d\geq3$, the self-diffusion coefficient of a tagged particle is stable when approximated by…
Subsurface flows are commonly modeled by advection-diffusion equations. Insufficient measurements or uncertain material procurement may be accounted for by random coefficients. To represent, for example, transitions in heterogeneous media,…
Diffusion approximation provides weak approximation for stochastic gradient descent algorithms in a finite time horizon. In this paper, we introduce new tools motivated by the backward error analysis of numerical stochastic differential…
This paper aims at developing a systematic study for the weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with very irregular drift and constant diffusion coefficients. We apply our method to…
We introduce and study a notion of Asymptotic Preserving schemes, related to convergence in distribution, for a class of slow-fast Stochastic Differential Equations. In some examples, crude schemes fail to capture the correct limiting…
The purpose of this work is the study of solution techniques for problems involving fractional powers of symmetric coercive elliptic operators in a bounded domain with Dirichlet boundary conditions. These operators can be realized as the…
We study a general class of singular degenerate parabolic stochastic partial differential equations (SPDEs) which include, in particular, the stochastic porous medium equations and the stochastic fast diffusion equation. We propose a fully…
For an ergodic Brownian diffusion with invariant measure $\nu$, we consider a sequence of empirical distributions ($\nu$n) n$\ge$1 associated with an approximation scheme with decreasing time step ($\gamma$n) n$\ge$1 along an adapted…
In this article, we consider diffusion approximations for a general class of stochastic recursions. Such recursions arise as models for population growth, genetics, financial securities, multiplicative time series, numerical schemes and…