Related papers: Positivity-preserving methods for population model…
In this paper we are interested in the numerical solution of stochastic differential equations with non negative solutions. Our goal is to construct explicit numerical schemes that preserve positivity, even for super linear stochastic…
In this paper we generalize an explicit numerical scheme for the CIR process that we have proposed before. The advantage of the new proposed scheme is that preserves positivity and is well posed for a (little bit) broader set of parameters…
We consider the numerical solution of large-scale symmetric differential matrix Riccati equations. Under certain hypotheses on the data, reduced order methods have recently arisen as a promising class of solution strategies, by forming…
In earlier work [H. Liu and Z. Wang, J. Comput. Phys., 328(2017)], an arbitrary high-order conservative and energy-dissipative direct discontinuous Galerkin (DDG) scheme was developed. Although this scheme enforced solution positivity using…
In recent years, kinetic equations have been used to model many social phenomena. A key feature of these models is that transition rate kernels involve Dirac delta functions, which capture sudden, discontinuous state changes. Here, we study…
We develop continuous-stage Runge-Kutta methods based on weighted orthogonal polynomials in this paper. There are two main highlighted merits for developing such methods: Firstly, we do not need to study the tedious solution of…
A second order accurate numerical scheme is proposed and implemented for the Landau-Lifshitz-Gilbert equation, which models magnetization dynamics in ferromagnetic materials, with large damping parameters. The main advantages of this method…
A time discretization method is called strongly stable, if the norm of its numerical solution is nonincreasing. It is known that, even for linear semi-negative problems, many explicit Runge--Kutta (RK) methods fail to preserve this…
Our aim in this note is to extend the semi discrete technique by combine it with the split step method. We apply our new method to the Ait-Sahalia model and propose an explicit and positivity preserving numerical scheme.
The conditions for a Runge--Kutta method to be of order $p$ with $p\ge 5$ for a scalar non-autonomous problem are a proper subset of the order conditions for a vector problem. Nevertheless, Runge--Kutta methods that were derived…
Many practical optimization problems involve uncertain parameters that are strictly positive. However, the most common uncertainty sets used in robust optimization are the box and the ellipsoidal sets, which may include non-positive values…
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…
Modified Patankar-Runge-Kutta (MPRK) methods preserve the positivity as well as conservativity of a production-destruction system (PDS) of ordinary differential equations for all time step sizes. As a result, higher order MPRK schemes do…
An explicit numerical strategy that practically preserves invariants is derived for conservative systems by combining an explicit high-order Runge-Kutta (RK) scheme with a simple modification of the standard projection approach, which is…
Splitting methods for the numerical integration of differential equations of order greater than two involve necessarily negative coefficients. This order barrier can be overcome by considering complex coefficients with positive real part.…
Linear Recurrence Sequences (LRS) are a fundamental mathematical primitive for a plethora of applications such as the verification of probabilistic systems, model checking, computational biology, and economics. Positivity (are all terms of…
Perturbed Runge--Kutta methods (also referred to as downwind Runge--Kutta methods) can guarantee monotonicity preservation under larger step sizes relative to their traditional Runge--Kutta counterparts. In this paper we study, the question…
A new format for commutator-free Lie group methods is proposed based on explicit classical Runge-Kutta schemes. In this format exponentials are reused at every stage and the storage is required only for two quantities: the right hand side…
Production-destruction systems (PDS) of ordinary differential equations (ODEs) are used to describe physical and biological reactions in nature. The considered quantities are subject to natural laws. Therefore, they preserve positivity and…
We develop a set of numerical schemes for the Poisson--Nernst--Planck equations. We prove that our schemes are mass conservative, uniquely solvable and keep positivity unconditionally. Furthermore, the first-order scheme is proven to be…