Related papers: A positivity preserving numerical scheme for the a…
In this work we present the convergence of a positivity preserving semi-discrete finite volume scheme for a coupled system of two non-local partial differential equations with cross-diffusion. The key to proving the convergence result is to…
The class of $\alpha$-stable distributions is widely used in various applications, especially for modelling heavy-tailed data. Although the $\alpha$-stable distributions have been used in practice for many years, new methods for…
We are interested in developing a numerical method for capturing stationary sheaths, that a plasma forms in contact with a metallic wall. This work is based on a bi-species (ion/electron) Vlasov-Amp{\`e}re model proposed in [3]. The main…
We develop efficient binary (i.e., 1-bit) and multi-bit coding schemes for estimating the scale parameter of $\alpha$-stable distributions. The work is motivated by the recent work on one scan 1-bit compressed sensing (sparse signal…
In this note we investigate the consistency under inversion of jump diffusion processes in the Foreign Exchange (FX) market. In other terms, if the EUR/USD FX rate follows a given type of dynamics, under which conditions will USD/EUR follow…
We consider numerical methods for the Poisson-Nernst-Planck-Cahn-Hilliard (PNPCH) equations with steric interactions. We propose a novel energy stable numerical scheme that respects mass conservation and positivity at the discrete level.…
This paper focuses on the numerical stability of stochastic McKean-Vlasov equations (SMVEs) via the stochastic particle method. Firstly, the long-time propagation of chaos in the mean-square sense is obtained, and the almost sure…
The Convected Scheme (CS) is a `forward-trajectory' semi-Lagrangian method for solution of transport equations, which has been most often applied to the kinetic description of plasmas and rarefied neutral gases. In its simplest form, the CS…
Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than a decade. One of the most well-known and widely studied problems is that of estimation of the quadratic…
We study structural equation modeling (SEM) for diffusion processes with jumps. Based on high-frequency data, we consider the parameter estimation and the goodness-of-fit test in the SEM. Using a threshold method, we propose the…
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 transport and continuum equations exhibit a number of conservation laws. For example, scalar multiplication is conserved by the transport equation, while positivity of probabilities is conserved by the continuum equation. Certain…
In this paper we consider the numerical solutions for a class of jump diffusions with Markovian switching. After briefly reviewing necessary notions, a new jump-adapted efficient algorithm based on the Euler scheme is constructed for…
Motivated by certain problems of statistical physics we consider a stationary stochastic process in which deterministic evolution is interrupted at random times by upward jumps of a fixed size. If the evolution consists of linear decay, the…
This paper aims to investigate the diffusion behavior of particles moving in stochastic flows under a structure-preserving scheme. We compute the effective diffusivity for normal diffusive random flows and establish the power law between…
Jump diffusion processes are widely used to model asset prices over time, mainly for their ability to capture complex discontinuous behavior, but inference on the model parameters remains a challenge. Here our goal is posterior inference on…
We propose an efficient, accurate and reliable simulation scheme for the stochastic-alpha-beta-rho (SABR) model. The two challenges of the SABR simulation lie in sampling (i) integrated variance conditional on terminal volatility and (ii)…
We present a detailed convergence analysis for an operator splitting scheme proposed in [C. Liu et al.,J. Comput. Phys., 436, 110253, 2021] for a reaction-diffusion system with detailed balance. The numerical scheme has been constructed…
In this work, we derive particle schemes, based on micro-macro decomposition, for linear kinetic equations in the diffusion limit. Due to the particle approximation of the micro part, a splitting between the transport and the collision part…
We consider parametric estimation of the continuous part of a class of ergodic diffusions with jumps based on high-frequency samples. Various papers previously proposed threshold based methods, which enable us to distinguish whether…