Related papers: A positivity preserving numerical scheme for the a…
Numerous error estimates have been carried out on various numerical schemes for subdiffusion equations. Unfortunately most error bounds suffer from a factor $1/(1-\alpha)$ or $\Gamma(1-\alpha)$, which blows up as the fractional order…
We propose a novel non-compact, positivity-preserving scheme for linear non-divergence form parabolic equations. Based on the Feynman-Kac formula, the solution is expressed as a conditional expectation of an associated diffusion process.…
In this paper, we present a kinetic model with flexible velocities that satisfy positivity preservation conditions for the Euler equations. Our 1D kinetic model consists of two velocities and employs both the asymmetrical and symmetrical…
This work focuses on stability analysis of numerical solutions to jump diffusions and jump diffusions with Markovian switching. Due to the use of Poisson processes, using asymptotic expansions as in the usual approach of treating diffusion…
The semi-implicit schemes for the nonlinear predator-prey reaction-diffusion model with the space-time fractional derivatives are discussed, where the space fractional derivative is discretized by the fractional centered difference and WSGD…
Difference schemes for the time-fractional diffusion equation with variable coefficients and nonlocal boundary conditions containing real parameters $\alpha$ and $\beta$ are considered. By the method of energy inequalities, for the solution…
We develop a positivity-preserving finite difference WENO scheme for the Ten-Moment equations with body forces acting as a source in the momentum and energy equations. A positive forward Euler scheme under a CFL condition is first…
In this paper, we present an efficient numerical method to address a thermodynamically consistent gas flow model in porous media involving compressible gas and deformable rock. The accurate modeling of gas flow in porous media often poses…
We have developed a new, very efficient numerical scheme to solve the CR diffusion convection equation that can be applied to the study of the nonlinear time evolution of CR modified shocks for arbitrary spatial diffusion properties. The…
Construction of splitting-step methods and properties of related non-negativity and boundary preserving numerical algorithms for solving stochastic differential equations (SDEs) of Ito-type are discussed. We present convergence proofs for a…
An important component of a number of computational modeling algorithms is an interpolation method that preserves the positivity of the function being interpolated. This report describes the numerical testing of a new positivity-preserving…
In this paper, we propose and analyze semi-implicit numerical schemes for the stochastic wave equation (SWE) with general nonlinearity and multiplicative noise. These numerical schemes, called stochastic scalar auxiliary variable (SAV)…
We elaborate a scheme of trapping-expulsion management (TEM), in the form of the quadratic potential periodically switching between confinement and expulsion, as a means of stabilization of two-dimensional dynamical states against the…
In this paper, we propose a nonlinear positivity-preserving finite volume element(FVE) scheme for anisotropic diffusion problems on quadrilateral meshes. Based on an overlapping dual partition, the one-sided flux is approximated by the…
Affine jump-diffusions constitute a large class of continuous-time stochastic models that are particularly popular in finance and economics due to their analytical tractability. Methods for parameter estimation for such processes require…
We present a positive and asymptotic preserving numerical scheme for solving linear kinetic, transport equations that relax to a diffusive equation in the limit of infinite scattering. The proposed scheme is developed using a standard…
This paper develops a European option pricing formula for fractional market models. Although there exist option pricing results for a fractional Black-Scholes model, they are established without accounting for stochastic volatility. In this…
We develop an asymptotic-preserving scheme to solve evolution problems containing stiff transport terms. This scheme is based to a micro-macro decomposition of the unknown, coupled with a stabilization procedure. The numerical method is…
In this paper we design high-order positivity-preserving approximation schemes for an integro-differential model describing photochemical reactions. Specifically, we introduce and analyze three classes of dynamically consistent methods,…
This paper proposes an adaptive time-stepping mothods for stochastic diffusion systems whose drift and diffusion coefficients are locally Lipschitz continuous and may exhibit polynomial growth. By controlling the growth of both the drift…