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Given a domain above a Lipschitz graph, we establish solvability results for strongly elliptic second-order systems in divergence-form, allowed to have lower-order (drift) terms, with $L^p$-boundary data for $p$ near $2$ (more precisely, in…
We present a method for constructing numerical schemes with up to 3rd strong convergence order for solution of a class of stochastic differential equations, including equations of the Langevin type. The construction proceeds in two stages.…
In this paper we propose a new kind of high order numerical scheme for backward stochastic differential equations(BSDEs). Unlike the traditional $\theta$-scheme, we reduce truncation errors by taking $\theta$ carefully for every subinterval…
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…
This paper proposes a new class of mass or energy conservative numerical schemes for the generalized Benjamin-Ono (BO) equation on the whole real line with arbitrarily high-order accuracy in time. The spatial discretization is achieved by…
The approximation of invariant measures for nonlinear ergodic stochastic differential equations (SDEs) is a central problem in scientific computing, with important applications in stochastic sampling, physics, and ecology. We first propose…
In this work, we will show strong convergence of the Multilevel Monte-Carlo (MLMC) algorithm with split-step backward Euler (SSBE) and backward (drift-implicit) Euler (BE) schemes for nonlinear jump-diffusion stochastic differential…
We develop a new continuous-time stochastic gradient descent method for optimizing over the stationary distribution of stochastic differential equation (SDE) models. The algorithm continuously updates the SDE model's parameters using an…
Recent advances in quantitative unique continuation properties for solutions to uniformly elliptic, divergence form equations (with Lipschitz coefficients) has led to a good understanding of the vanishing order and size of singular and zero…
For stochastic differential equations (SDEs) with a superlinearly growing and globally one-sided Lipschitz continuous drift coefficient, the classical explicit Euler scheme fails to converge strongly to the exact solution. Recently, an…
We study a system of several one-dimensional scalar conservation laws coupled through boundary feedback conditions that combine physical boundary constraints with static feedback control laws. Our first contribution establishes the…
It has recently been shown that complete Bernstein functions of the Laplace operator map the Dirichlet boundary condition of a related elliptic PDE to the Neumann boundary condition. The importance of this mapping consists in being able to…
We construct new higher-order implicit-explicit (IMEX) schemes using the generalized scalar auxiliary variable (GSAV) approach for the Landau-Lifshitz equation. These schemes are linear, length preserving and only require solving one…
In this paper, we study a class of one-dimensional stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H>\ff 1 2$. The drift term of the equation is locally Lipschitz and unbounded in the…
In this paper, we study the convergence analysis for a robust stochastic structure-preserving Lagrangian numerical scheme in computing effective diffusivity of time-dependent chaotic flows, which are modeled by stochastic differential…
In this paper we present splitting methods which are based on iterative schemes and applied to stochastic nonlinear Schroedinger equation. We will design stochastic integrators which almost conserve the symplectic structure. The idea is…
This article deals with the numerical approximation of effective coefficients in stochastic homogenization of discrete linear elliptic equations. The originality of this work is the use of a well-known abstract spectral representation…
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 parabolic Bellman equations with Lipschitz coefficients. Error bounds of order $h^{1/2}$ for certain types of finite-difference schemes are obtained.
In these lectures we review two procedures for constructing finite difference numerical schemes that preserve symmetries of differential equations. The first approach is based on Lie's infinitesimal symmetry generators, while the second…