Related papers: Unconditionally positivity-preserving explicit Eul…
We propose a new fully-discretized finite difference scheme for a quantum diffusion equation, in both one and two dimensions. This is the first fully-discretized scheme with proven positivity-preserving and energy stable properties using…
We study parameter estimation for univariate stochastic differential equations with locally Lipschitz drift and H\"older continuous multiplicative diffusion, a class commonly arising in several applications. Existing inference methods…
The ability of $\theta$-Milstein methods with $\theta\ge 1$ to capture the non-negativity and the mean-reversion property of the exact solution of the CIR model is shown. In addition, the order of convergence and the preservation of the…
We obtain exact asymptotic results for the disorder averaged persistence of a Brownian particle moving in a biased Sinai landscape. We employ a new method that maps the problem of computing the persistence to the problem of finding the…
In this work, we prove the convergence of residual distribution schemes to dissipative weak solutions of the Euler equations. We need to guarantee that the residual distribution schemes are fulfilling the underlying structure preserving…
We study the Euler scheme for a stochastic differential equation driven by a Levy process Y. More precisely, we look at the asymptotic behavior of the normalized error process u_n(X^n-X), where X is the true solution and X^n is its Euler…
In this article, we consider numerical schemes for polynomial diffusions on the unit ball, which are solutions of stochastic differential equations with a diffusion coefficient of the form $\sqrt{1-|x|^{2}}$. We introduce a semi-implicit…
We propose an entropy stable and positivity preserving discontinuous Galerkin (DG) scheme for the Euler equations with gravity, which is also well-balanced for hydrostatic equilibrium states. To achieve these properties, we utilize the…
Euler-Maruyama method is studied to approximate stochastic differential equations driven by the symmetric $\alpha$-stable additive noise with the $\beta$ H\"older continuous drift coefficient. When $\alpha \in (1,2)$ and $\beta \in…
We provide explicit examples which show that mean convexity (i.e. positivity of the mean curvature) and positivity of the scalar curvature are non-preserved curvature conditions for hypersurfaces of the Euclidean space evolving under either…
A new type of systematic approach to study the incompressible Euler equations numerically via the vanishing viscosity limit is proposed in this work. We show the new strategy is unconditionally stable that the $L^2$-energy dissipates and…
Probabilistic integration of a continuous dynamical system is a way of systematically introducing model error, at scales no larger than errors introduced by standard numerical discretisation, in order to enable thorough exploration of…
This work is concerned with fractional stochastic differential equations with different scales. We establish the existence and uniqueness of solutions for Caputo fractional stochastic differential systems under the non-Lipschitz condition.…
We consider a generic and explicit tamed Euler--Maruyama scheme for multidimensional time-inhomogeneous stochastic differential equations with multiplicative Brownian noise. The diffusive coefficient is uniformly elliptic, H\"older…
We present a well-balanced finite volume solver for the compressible Euler equations with gravity where the approximate Riemann solver is derived using a relaxation approach. Besides the well-balanced property, the scheme is robust with…
We present an all speed scheme for the Euler-Korteweg model. We study a semi-implicit time-discretisation which treats the terms, which are stiff for low Mach numbers, implicitly and thereby avoids a dependence of the timestep restriction…
This work is devoted to the study of a fully discrete scheme for a repulsive chemotaxis with quadratic production model. By following the ideas presented in [Guilen-Gonzalez et al], we introduce an auxiliary variable (the gradient of the…
In this paper we are interested in the numerical solution of stochastic differential equations with non negative solutions. Our goal is to construct explicit numerical schemes that preserve positivity, even for super linear stochastic…
The relation between the trace and R-current anomalies in 4D supersymmetric theories implies that the U(1)$_R$F$^2$, U(1)$_R$ and U(1)$^3_R$ anomalies which matched in studies of N=1 Seiberg duality satisfy positivity constraints. These…
We consider the Euler scheme for stochastic differential equations with jumps, whose intensity might be infinite and the jump structure may depend on the position. This general type of SDE is explicitly given for Feller processes and a…