Related papers: Refactorization of a variable step, unconditionall…
Inclusion of a term $-\gamma\nabla\nabla\cdot u$, forcing $\nabla\cdot u$ to be pointwise small, is an effective tool for improving mass conservation in discretizations of incompressible flows. However, the added grad-div term couples all…
Efficient and unconditionally stable high order time marching schemes are very important but not easy to construct for nonlinear phase dynamics. In this paper, we propose and analysis an efficient stabilized linear Crank-Nicolson scheme for…
This paper proposes an adaptive timestep construction for an Euler-Maruyama approximation of SDEs with a drift which is not globally Lipschitz. It is proved that if the timestep is bounded appropriately, then over a finite time interval the…
Formulated is a new systematic method for obtaining higher order corrections in numerical simulation of stochastic differential equations (SDEs), i.e., Langevin equations. Random walk step algorithms within a given order of finite $\Delta…
Fully-discrete approximations of the Allen-Cahn equation are considered. In particular, we consider schemes of arbitrary order based on a discontinuous Galerkin (in time) approach combined with standard conforming finite elements (in…
In this paper we continue our work on adaptive timestep control for weakly non- stationary problems. The core of the method is a space-time splitting of adjoint error representations for target functionals due to S\"uli and Hartmann. The…
Quantization techniques have been applied in many challenging finance applications, including pricing claims with path dependence and early exercise features, stochastic optimal control, filtering problems and efficient calibration of large…
Implicit schemes have been extensively used in building physics to compute the solution of moisture diffusion problems in porous materials for improving stability conditions. Nevertheless, these schemes require important sub-iterations when…
A wide range of implicit time integration methods, including multi-step, implicit Runge-Kutta, and Galerkin finite-time element schemes, is evaluated in the context of chaotic dynamical systems. The schemes are applied to solve the Lorenz…
Probabilistic solvers provide a flexible and efficient framework for simulation, uncertainty quantification, and inference in dynamical systems. However, like standard solvers, they suffer performance penalties for certain stiff systems,…
Several finite element methods for simulating incompressible flows rely on the streamline upwind Petrov-Galerkin stabilization (SUPG) term, which is weighted by tau_SUPG. The conventional formulation of tau_SUPG includes a constant that…
The aim of this paper is to investigate the response of this system/scheme in terms of stability in presence of explicitly treated residual terms, as it inevitably occurs in the reality of NWP. This sudy is restricted to the impact of…
Stabilized methods (also called Chebyshev methods) are explicit methods with extended stability domains along the negative real axis. These methods are intended for large mildly stiff problems, originating mainly from parabolic PDEs. In…
Non-linear dynamical systems represent a compact, flexible, and robust tool for reactive motion generation. The effectiveness of dynamical systems relies on their ability to accurately represent stable motions. Several approaches have been…
The purpose of this paper is to propose a time-step-robust cell-to-cell integration of particle trajectories in 3-D unstructured meshes in particle/mesh Lagrangian stochastic methods. The main idea is to dynamically update the mean fields…
Stiff systems of ordinary differential equations (ODEs) arise in a wide range of scientific and engineering disciplines and are traditionally solved using implicit integration methods due to their stability and efficiency. However, these…
Volatilities, in high-dimensional panels of economic time series with a dynamic factor structure on the levels or returns, typically also admit a dynamic factor decomposition. We consider a two-stage dynamic factor model method recovering…
We review some recent developments in numerical algorithms to solve the time-dependent Maxwell equations for systems with spatially varying permittivity and permeability. We show that the Suzuki product-formula approach can be used to…
In this paper, we consider the two-sample location shift model, a classic semiparametric model introduced by Stein (1956). This model is known for its adaptive nature, enabling nonparametric estimation with full parametric efficiency.…
This paper focuses on the question of how unconditional stability can be achieved via multistep ImEx schemes, in practice problems where both the implicit and explicit terms are allowed to be stiff. For a class of new ImEx multistep schemes…