Related papers: Theoretical analysis of a finite-volume scheme for…
In this paper, we deal with numerical approximations for solving the Black-Scholes Partial Differential Equation (PDE). This PDE is well known to be degenerated. The space discretization is performed using the classical finite volume method…
We discretize the stochastic Allen-Cahn equation with additive noise by means of a spectral Galerkin method in space and a tamed version of the exponential Euler method in time. The resulting error bounds are analyzed for the…
The stochastic Allen-Cahn equation with multiplicative noise involves the nonlinear drift operator ${\mathscr A}(x) = \Delta x - \bigl(\vert x\vert^2 -1\bigr)x$. We use the fact that ${\mathscr A}(x) = -{\mathcal J}^{\prime}(x)$ satisfies a…
In this paper, we propose and analyze an explicit time-stepping scheme for a spatial discretization of stochastic Cahn--Hilliard equation with additive noise. The fully discrete approximation combines a spectral Galerkin method in space…
In this contribution, we provide convergence rates for a finite volume scheme of the stochastic heat equation with multiplicative Lipschitz noise and homogeneous Neumann boundary conditions (SHE). More precisely, we give an error estimate…
In this paper we construct space-time full discretizations of stochastic Allen-Cahn equations driven by space-time white noise on 2D torus. The approximations are implemented by tamed exponential Euler discretization in time and spectral…
As a first step towards the numerical analysis of the stochastic primitive equations of the atmosphere and oceans, we study their time discretization by an implicit Euler scheme. From deterministic viewpoint the 3D Primitive Equations are…
In this paper, a semi-discrete spatial finite volume (FV) method is proposed and analyzed for approximating solutions of anomalous subdiffusion equations involving a temporal fractional derivative of order $\alpha \in (0,1)$ in a…
We investigate the numerical approximation of the stochastic Allen--Cahn equation with multiplicative noise on a periodic domain. The considered scheme uses a recently proposed augmented variant of scalar auxiliary variable method for the…
This paper studies finite element approximations of the stochastic Allen-Cahn equation with gradient-type multiplicative noises that are white in time and correlated in space. The sharp interface limit as the parameter $\epsilon \rightarrow…
We construct Two-Point Flux Approximation (TPFA) finite volume schemes to solve the quadratic optimal transport problem in its dynamic form, namely the problem originally introduced by Benamou and Brenier. We show numerically that these…
We propose a finite volume scheme for a class of nonlinear parabolic equations endowed with non-homogeneous Dirichlet boundary conditions and which admit relative en-tropy functionals. For this kind of models including porous media…
This paper is concerned with fully discrete mixed finite element approximations of the time-dependent stochastic Stokes equations with multiplicative noise. A prototypical method, which comprises of the Euler-Maruyama scheme for time…
The primary emphasis of this work is the development of a finite element based space-time discretization for solving the stochastic Lagrangian averaged Navier-Stokes (LANS-$\alpha$) equations of incompressible fluid turbulence with…
In this paper we propose an explicit fully discrete scheme to numerically solve the stochastic Allen-Cahn equation. The spatial discretization is done by a spectral Galerkin method, followed by the temporal discretization by a tamed…
We study an Allen-Cahn equation perturbed by a multiplicative stochastic noise which is white in time and correlated in space. Formally this equation approximates a stochastically forced mean curvature flow. We derive uniform energy bounds…
This work is devoted to convergence analysis of an exponential integrator scheme for semi-discretization in time of nonlinear stochastic wave equation. A unified framework is first set forth, which covers important cases of additive and…
We present well-balanced finite volume schemes designed to approximate the Euler equations with gravitation. They are based on a novel local steady state reconstruction. The schemes preserve a discrete equivalent of steady adiabatic flow,…
We aim at the development and analysis of the numerical schemes for approximately solving the backward diffusion-wave problem, which involves a fractional derivative in time with order $\alpha\in(1,2)$. From terminal observations at two…
In this paper, we analyze a semi-discrete finite volume scheme for the three-dimensional barotropic compressible Euler equations driven by a multiplicative Brownian noise. We derive necessary a priori estimates for numerical approximations,…