Related papers: A fully adaptive explicit stabilized integrator fo…
In this paper, we extend the Paired-Explicit Runge-Kutta schemes by Vermeire et. al. to fourth-order of consistency. Based on the order conditions for partitioned Runge-Kutta methods we motivate a specific form of the Butcher arrays which…
In this work, we construct and derive a new class of exponentially fitted two-derivative diagonally implicit Runge--Kutta (EFTDDIRK) methods for the numerical solution of differential equations with oscillatory solutions. First, a general…
We consider the solution of large stiff systems of ordinary differential equations with explicit exponential Runge--Kutta integrators. These problems arise from semi-discretized semi-linear parabolic partial differential equations on…
In this paper, a new family of implicit compact finite difference schemes for computation of unsteady convection-diffusion equation with variable convection coefficient is proposed. The schemes are fourth order accurate in space and second…
The problem of solving stochastic differential-algebraic equations (SDAEs) of index one with a scalar driving Brownian motion is considered. Recently, the authors proposed a class of stiffly accurate stochastic Runge-Kutta (SRK) methods…
Using a matrix product method the steady-state of a family of disordered reaction-diffusion systems consisting of different species of interacting classical particles moving on a lattice with periodic boundary conditions is studied. A new…
We consider high order, implicit Runge-Kutta schemes to solve time-dependent stiff PDEs on dynamically adapted grids generated by multiresolution analysis for unsteady problems disclosing localized fronts. The multiresolution finite volume…
We develop a novel cut discontinuous Galerkin (CutDG) method for stationary advection-reaction problems on surfaces embedded in $\mathbb{R}^d$. The CutDG method is based on embedding the surface into a full-dimensional background mesh and…
For the approximation of solutions for It\^o and Stratonovich stochastic differential equations (SDEs)a new class of efficient stochastic Runge-Kutta (SRK) methods is developed. As the main novelty only two stages are necessary for the…
Treating diffusion and advection/reaction separately is an effective strategy for solving semilinear advection-diffusion-reaction equations. However, such an approach is prone to suffer from order reduction, especially in the presence of…
In this paper, we propose a class of high-order and energy-stable implicit-explicit relaxation Runge-Kutta (IMEX RRK) schemes for solving the phase-field gradient flow models. By incorporating the scalar auxiliary variable (SAV) method, the…
The goal of this paper is to develop 2nd order Implicit-Explicit Runge-Kutta (IMEX-RK) finite volume (FV) schemes for solving 1d parabolic PDEs for option pricing, with possible nonlinearities in the source and advection terms. The spatial…
In this technical note a general procedure is described to construct internally consistent splitting methods for the numerical solution of differential equations, starting from matching pairs of explicit and diagonally implicit Runge-Kutta…
A practical and new Runge--Kutta numerical scheme for stochastic differential equations is explored. Numerical examples demonstrate the strong convergence of the method. The first order strong convergence is then proved using Ito integrals…
Explicit stabilized integrators are an efficient alternative to implicit or semi-implicit methods to avoid the severe timestep restriction faced by standard explicit integrators applied to stiff diffusion problems. In this paper, we provide…
We prove that Runge-Kutta (RK) methods for numerical integration of arbitrarily large systems of Ordinary Differential Equations are linearly stable. Standard stability arguments -- based on spectral analysis, resolvent condition or strong…
A recently developed Eulerian finite element method is applied to solve advection-diffusion equations posed on hypersurfaces. When transport processes on a surface dominate over diffusion, finite element methods tend to be unstable unless…
Three algebraically stabilized finite element schemes for discretizing convection-diffusion-reaction equations are studied on adaptively refined grids. These schemes are the algebraic flux correction (AFC) scheme with Kuzmin limiter, the…
We consider the construction of semi-implicit linear multistep methods which can be applied to time dependent PDEs where the separation of scales in additive form, typically used in implicit-explicit (IMEX) methods, is not possible. As…
We propose and analyze a second-order, dimension-split exponential time differencing Runge--Kutta scheme (ETD2RK-DS) for multidimensional reaction--diffusion equations in two and three spatial dimensions. Under mild assumptions on the…