Related papers: Positivity-preserving schemes for some nonlinear s…
This article is devoted to the existence and uniqueness of pathwise solutions to stochastic evolution equations, driven by a H\"older continuous function with H\"older exponent in $(1/2,1)$, and with nontrivial multiplicative noise. As a…
By using the Malliavin calculus and finite jump approximations, the Driver-type integration by parts formula is established for the semigroup associated to stochastic (partial) differential equations with noises containing a subordinate…
This paper investigates an inverse potential problem for the stochastic heat equation driven by space-time Gaussian noise, which is spatially colored and temporally white. The objective is to determine the covariance operator of the random…
The rate of strong convergence is investigated for an approximation scheme for a class of stochastic differential equations driven by a time-changed Brownian motion, where the random time changes $(E_t)_{t\ge 0}$ considered include the…
This paper focuses on controllability results of stochastic delay partial functional integro-differential equations perturbed by fractional Brownian motion. Sufficient conditions are established using the theory of resolvent operators…
We present the stochastic Schroedinger equation for the dynamics of a quantum particle coupled to a high temperature environment and apply it the dynamics of a driven, damped, nonlinear quantum oscillator. Apart from an initial slip on the…
We are interested in a class of numerical schemes for the optimization of nonlinear hyperbolic partial differential equations. We present continuous and discretized relaxation schemes for scalar, one-- conservation laws. We present…
In this paper, we develop a framework to construct energy-preserving methods for multi-components Hamiltonian systems, combining the exponential integrator and the partitioned averaged vector field method. This leads to numerical schemes…
As is well known, energy is generally deemed as one of the most important physical invariants in many conservative problems and hence it is of remarkable interest to consider numerical methods which are able to preserve it. In this paper,…
We study a stochastic version of the one-dimensional discrete nonlinear Schr{\"o}dinger equation (DNSE), which is derived from first principles, and thus possesses all the properties required by statistical mechanics, such as detailed…
This paper establishes a discretization scheme for a large class of stochastic differential equations driven by a time-changed Brownian motion with drift, where the time change is given by a general inverse subordinator. The scheme involves…
The efficient simulation of models defined in terms of stochastic differential equations (SDEs) depends critically on an efficient integration scheme. In this article, we investigate under which conditions the integration schemes for…
We investigate numerical approximations for the stochastic Burgers equation driven by an additive cylindrical fractional Brownian motion with Hurst parameter $H \in (\frac{1}{2}, 1)$. To discretize the continuous problem in space, a…
This paper extends deterministic notions of Strong Stability Preservation (SSP) to the stochastic setting, enabling nonlinearly stable numerical solutions to stochastic differential equations (SDEs) and stochastic partial differential…
This paper is concerned with the backward stochastic differential equations whose generator is a weighted fractional Brownian field: $Y_t=\xi+\int_t^T Y_s W (ds,B_s) -\int_t^T Z_sdB_s$, $0\le t\le T$, where $W$ is a $(d+1)$-parameter…
Inspired by applications, we consider reaction-diffusion equations on $\mathbb{R}$ that are stochastically forced by a small multiplicative noise term that is white in time, coloured in space and invariant under translations. We show how…
The classical Feynman-Kac formula states the connection between linear parabolic partial differential equations (PDEs), like the heat equation, and expectation of stochastic processes driven by Brownian motion. It gives then a method for…
We study the properties of a stochastic heat equation with a generalized mixed fractional Brownian noise. We obtain the covariance structure, stationarity and obtain bounds for the asymptotic behaviour of the solution. We suggest estimators…
We analyze the qualitative properties and the order of convergence of a splitting scheme for a class of nonlinear stochastic Schr\"odinger equations driven by additive It\^o noise. The class of nonlinearities of interest includes nonlocal…
In this work we introduce a phase-space description based on the positive P representation for bosonic fields interacting with a system of quantum emitters. The formalism is applicable to collective light-matter interactions and open…