Related papers: Euler-Maruyama approximation for stochastic fracti…
We provide a priori error estimates for variational approximations of the ground state eigenvalue and eigenvector of nonlinear elliptic eigenvalue problems of the form $-{div} (A\nabla u) + Vu + f(u^2) u = \lambda u$, $\|u\|_{L^2}=1$. We…
This paper gives the exact solution in terms of the Karhunen-Lo\`{e}ve expansion to a fractional stochastic partial differential equation on the unit sphere $\mathbb{S}^{2}\subset \mathbb{R}^{3}$ with fractional Brownian motion as driving…
We study the strong approximation of stochastic differential equations with discontinuous drift coefficients and (possibly) degenerate diffusion coefficients. To account for the discontinuity of the drift coefficient we construct an…
Motivated by fractional derivative models in viscoelasticity, a class of semilinear stochastic Volterra integro-differential equations, and their deterministic counterparts, are considered. A generalized exponential Euler method, named here…
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 present a systematic method for computing explicit approximations to martingale representations for a large class of Brownian functionals. The approximations are obtained by obtained by computing a directional derivative of the weak…
In this paper we study existence, regularity, and approximation of solution to a fractional semilinear elliptic equation of order $s \in (0,1)$. We identify minimal conditions on the nonlinear term and the source which leads to existence of…
We consider the following fractional semilinear Neumann problem on a smooth bounded domain $\Omega\subset\mathbb{R}^n$, $n\geq2$, $$\begin{cases} (-\varepsilon\Delta)^{1/2}u+u=u^{p},&\hbox{in}~\Omega,\\ \partial_\nu…
In this paper, we study a time-fractional initial-boundary value problem of Kirchhoff type involving memory term for non-homogeneous materials. The energy argument is applied to derive the a priori bounds on the solution of the considered…
We obtain general weak existence and stability results for stochastic convolution equations with jumps under mild regularity assumptions, allowing for non-Lipschitz coefficients and singular kernels. Our approach relies on weak convergence…
We consider the Euler alignment system with mildly singular interaction kernels. When the local repulsion term is of the fractional type, global in time existence of smooth solutions was proved…
Our subject of study is strong approximation of stochastic differential equations (SDEs) with respect to the supremum error criterion, and we seek approximations that are strongly asymptotically optimal in specific classes of…
In this paper, we study the Euler--Maruyama scheme for a particle method to approximate the McKean--Vlasov dynamics of calibrated local-stochastic volatility (LSV) models. Given the open question of well-posedness of the original problem,…
In this paper, we obtain some new results about weakly singular integral inequalities. These inequalities are used to discuss the global existence and uniqueness results for fractional differential equations of Riemann-Liouville type. Some…
In this paper, we investigate the convergence of the tamed Euler-Maruyama (EM) scheme for a class of neutral stochastic differential delay equations. The strong convergence results of the tamed EM scheme are presented under global and local…
This paper is concerned with the nodal set of weak solutions to a broken quasilinear partial differential equation, \begin{equation*} \mbox{div} (a_+ \nabla u^+ - a_- \nabla u^-) = \mbox{div} f, \end{equation*} where $a_+$ and $a_-$ are…
We consider a system of semilinear partial differential equations (PDEs) with a nonlinearity depending on both the solution and its gradient. The Neumann boundary condition depends on the solution in a nonlinear manner. The uniform…
We consider one-step methods for integrating stochastic differential equations and prove pathwise convergence using ideas from rough path theory. In contrast to alternative theories of pathwise convergence, no knowledge is required of…
In this paper, we propose a class of explicit positivity preserving numerical methods for general stochastic differential equations which have positive solutions. Namely, all the numerical solutions are positive. Under some reasonable…
Existing fundamental theorems for mean-square convergence of numerical methods for stochastic differential equations (SDEs) require globally or one-sided Lipschitz continuous coefficients, while strong convergence results under merely local…