Related papers: A novel second order scheme with one step for forw…
A convergence theorem for the continuous weak approximation of the solution of stochastic differential equations by general one step methods is proved, which is an extension of a theorem due to Milstein. As an application, uniform second…
In this work, we concern with the high order numerical methods for coupled forward-backward stochastic differential equations (FBSDEs). Based on the FBSDEs theory, we derive two reference ordinary differential equations (ODEs) from the…
We consider a finite element method with symmetric stabilisation for the discretisation of the transient convection--diffusion equation. For the time-discretisation we consider either the second order backwards differentiation formula or…
The numerical integration of stiff equations is a challenging problem that needs to be approached by specialized numerical methods. Exponential integrators form a popular class of such methods since they are provably robust to stiffness and…
We introduce a novel numerical approach for a class of stochastic dynamic programs which arise as discretizations of backward stochastic differential equations or semi-linear partial differential equations. Solving such dynamic programs…
In this paper, we propose an efficient method for solving multi-dimensional Riesz space fractional diffusion equations with variable coefficients. The Crank-Nicolson (CN) method is used for temporal discretization, while the fourth-order…
In this paper, we propose a mass- and modified energy-conservative relaxation Crank-Nicolson finite element method for the Schr\"{o}dinger-Poisson equation. Utilizing only a single auxiliary variable, we simultaneously reformulate the…
An explicit first-order drift-randomized Milstein scheme for a regime switching stochastic differential equation is proposed and its bi-stability and rate of strong convergence are investigated for a non-differentiable drift coefficient.…
In this work, fourth-order compact block-centered finite difference (CBCFD) schemes combined with the Crank-Nicolson discretization are constructed and analyzed for solving parabolic integro-differential type non-Fickian flows in…
The aim of this paper is to establish the existence and uniqueness of the solution to a system of nonlinear fully coupled forward-backward doubly stochastic differential equations with Poisson jumps. Our system is Markovian in the sense…
We propose a parallel algorithm for the numerical solution of a class of second order semi-linear equations coming from stochastic optimal control problems, by means of a dynamic domain decomposition technique. The new method is an…
We use backward error analysis for differential equations to obtain modified or distorted equations describing the behaviour of the Newmark scheme applied to the transient structural dynamics equation. Based on the newly derived distorted…
In this paper, we propose and analyze a fully discrete finite element projection method for the magnetohydrodynamic (MHD) equations. A modified Crank--Nicolson method and the Galerkin finite element method are used to discretize the model…
In this paper, we propose third-order semi-discretized schemes in space based on the tempered weighted and shifted Gr\"unwald difference (tempered-WSGD) operators for the tempered fractional diffusion equation. We also show stability and…
In this paper, we propose and analyze first-order time-stepping pressure-correction projection scheme for the Navier-Stokes-Planck-Nernst-Poisson equations. By introducing a governing equation for the auxiliary variable through the ionic…
We are concerned with the numerical resolution of backward stochastic differential equations. We propose a new numerical scheme based on iterative regressions on function bases, which coefficients are evaluated using Monte Carlo…
We consider split-step Milstein methods for the solution of stiff stochastic differential equations with an emphasis on systems driven by multi-channel noise. We show their strong order of convergence and investigate mean-square stability…
In this article we study the numerical approximation of incompressible miscible displacement problems with a linearised Crank-Nicolson time discretisation, combined with a mixed finite element and discontinuous Galerkin method. At the heart…
We propose and analyze a second-order Strang splitting method for a class of stiff matrix differential equations with Sylvester-type structure. The method splits the dynamics into a stiff linear part, treated exactly via matrix…
In this paper, we propose a second-order dynamical system with a smoothing effect for solving paramonotone variational inequalities. Under standard assumptions, we prove that the trajectories of this dynamical system converges to a solution…