Related papers: stochastic Leray-{\alpha} model of Euler equations
We consider the Euler-Maruyama approximation for multi-dimensional stochastic differential equations with irregular coefficients. We provide the rate of strong convergence where the possibly discontinuous drift coefficient satisfies a…
This article analyzes an explicit temporal splitting numerical scheme for the stochastic Allen-Cahn equation driven by additive noise, in a bounded spatial domain with smooth boundary in dimension $d\le 3$. The splitting strategy is…
We combine the unbiased estimators in Rhee and Glynn (Operations Research: 63(5), 1026-1043, 2015) and the Heston model with stochastic interest rates. Specifically, we first develop a semi-exact log-Euler scheme for the Heston model with…
We find analytical solution of pair of stochastic equations with arbitrary forces and multiplicative L\'evy noises in a steady-state nonequilibrium case. This solution shows that L\'evy flights suppress always a quasi-periodical motion…
We develop a non-anticipating calculus of variations for functionals on a space of laws of continuous semi-martingales, which extends the classical one. We extend Hamilton's least action principle and Noether's theorem to this generalized…
The explicit Euler scheme and similar explicit approximation schemes (such as the Milstein scheme) are known to diverge strongly and numerically weakly in the case of one-dimensional stochastic ordinary differential equations with…
We consider spatially extended conductance based neuronal models with noise described by a stochastic reaction diffusion equation with additive noise coupled to a control variable with multiplicative noise but no diffusion. We only assume a…
We study stochastic model reduction for evolution equations in infinite dimensional Hilbert spaces, and show the convergence to the reduced equations via abstract results of Wong-Zakai type for stochastic equations driven by a scaled…
We consider the stochastic Allen-Cahn equation perturbed by smooth additive Gaussian noise in a spatial domain with smooth boundary in dimension $d\le 3$, and study the semidiscretization in time of the equation by an implicit Euler method.…
One of the most remarkable features of known nonstationary solutions to the incompressible Euler equations is the phenomenon known as the Taylor hypothesis, which predicts that coarse scale averages of the velocity carry the fine scale…
We prove the well-posedness of solutions to McKean-Vlasov stochastic differential equations driven by L\'evy noise under mild assumptions where, in particular, the L\'evy measure is not required to be finite. The drift, diffusion and jump…
This article proposes and analyzes explicit and easily implementable temporal numerical approximation schemes for additive noise-driven stochastic partial differential equations (SPDEs) with polynomial nonlinearities such as, e.g.,…
We study the large deviations principle for locally periodic stochastic differential equations with small noise and fast oscillating coefficients. There are three possible regimes depending on how fast the intensity of the noise goes to…
We consider so-called Leray regularization of the convective contributions. This gives rise to a subgrid parameterization which involves both explicit filtering and (approximate) inversion. The Leray model also arises from the…
Both the porous medium equation and the system of isentropic Euler equations can be considered as steepest descents on suitable manifolds of probability measures in the framework of optimal transport theory. By discretizing these…
We introduce a family of stochastic models motivated by the study of nonequilibrium steady states of fluid equations. These models decompose the deterministic dynamics of interest into fundamental building blocks, i.e., minimal vector…
A novel semi-Lagrangian method is introduced to solve numerically the Euler equation for ideal incompressible flow in arbitrary space dimension. It exploits the time-analyticity of fluid particle trajectories and requires, in principle,…
There exists a diversity of weak Local Linearization (LL) schemes for the integration of stochastic differential equations with additive noise, which differ with respect to the algorithm that is employed in the numerical implementation of…
We consider the (barotropic) Euler system describing the motion of a compressible inviscid fluid driven by a stochastic forcing. Adapting the method of convex integration we show that the initial value problem is ill-posed in the class of…
We consider a nonlinear filtering problem of multiscale non-Gaussian signal processes and observation processes with jumps. Firstly, we prove that the dimension for the signal system can be reduced by a homogenized approach. Secondly,…