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The construction of stochastic solutions for nonlinear partial differential equations is a powerful method to obtain new exact results and to develop efficient numerical algorithms, in particular when domain decomposition techniques are…
Exponential stability of modified truncated Euler-Maruyama method for stochastic differential equations are investigated in this paper. Sufficient conditions for the $p$-th moment and almost sure exponential stability of the given numerical…
In this paper, we study the asymptotic behavior of solutions to a scalar fractional delay differential equations around the equilibrium points. More precise, we provide conditions on the coefficients under which a linear fractional delay…
An implicit Euler--Maruyama method with non-uniform step-size applied to a class of stochastic partial differential equations is studied. A spectral method is used for the spatial discretization and the truncation of the Wiener process. A…
In this paper exponential stability of nonlinear fractional order stochastic system with Poisson jumps is studied in finite dimensional space. Existence and uniqueness of solution, stability and exponential stability results are established…
The mean square displacement and instantaneous diffusion coefficient for different configurations of charged particles in stochastic motion are calculated by numerically solving the associated equations of motion. The method is suitable for…
The discrete self-trapping equation (DST) represents an useful model for several properties of one-dimensional nonlinear molecular crystals. The modulational instability of DST equation is discussed from a statistical point of view,…
Quasi-static strain-controlled measurements of stress vs strain curves in macroscopic amorphous solids result in a nonlinear looking curve that ends up either in mechanical collapse or in a steady-state with fluctuations around a mean…
A backward stable numerical calculation of a function with condition number $\kappa$ will have a relative accuracy of $\kappa\epsilon_{\text{machine}}$. Standard formulations and software implementations of finite-strain elastic materials…
It is shown that step moving to meet solution flow can be unstable against lateral perturbations. The instability of long-wavelength perturbations occurs at values of the solution flow intensity less than some critical value depending on…
In mean-field theory, i.e. infinite-range interactions, the transition between metastable and unstable states of a thermodynamic system is sharp. The metastable and the unstable states are separated by a spinodal curve. For systems with…
This paper addresses the question of whether it can be beneficial for an optimization algorithm to follow directions of negative curvature. Although prior work has established convergence results for algorithms that integrate both descent…
Motivated by networked systems, stochastic control, optimization, and a wide variety of applications, this work is devoted to systems of switching jump diffusions. Treating such nonlinear systems, we focus on stability issues. First…
The convergence of stochastic interacting particle systems in the mean-field limit to solutions of conservative stochastic partial differential equations is established, with optimal rate of convergence. As a second main result, a…
Stochastic Gradient Descent (SGD) based methods have been widely used for training large-scale machine learning models that also generalize well in practice. Several explanations have been offered for this generalization performance, a…
Averaging is an important method to extract effective macroscopic dynamics from complex systems with slow modes and fast modes. This article derives an averaged equation for a class of stochastic partial differential equations without any…
We consider a distributionally robust formulation of stochastic optimization problems arising in statistical learning, where robustness is with respect to uncertainty in the underlying data distribution. Our formulation builds on…
In this paper, we investigate stochastic heat equation with sublinear diffusion coefficients. By assuming certain concavity of the diffusion coefficient, we establish non-trivial moment upper bounds and almost sure spatial asymptotic…
This paper studies the regularity properties of the density of the exit measure for super-Brownian motion with (1+\beta)-stable branching mechanism. It establishes the continuity of the density in dimension d=2 and the unboundedness of the…
A new, improved split-step backward Euler (SSBE) method is introduced and analyzed for stochastic differential delay equations(SDDEs) with generic variable delay. The method is proved to be convergent in mean-square sense under conditions…