Related papers: Generalized Finite Difference Method for Solving S…
We develop a hybrid spatial discretization for the wave equation in second order form, based on high-order accurate finite difference methods and discontinuous Galerkin methods. The hybridization combines computational efficiency of finite…
Space fractional convection diffusion equation describes physical phenomena where particles or energy (or other physical quantities) are transferred inside a physical system due to two processes: convection and superdiffusion. In this…
We consider a Poisson equation in $\mathbb R^d$ for the elliptic operator corresponding to an ergodic diffusion process. Optimal regularity and smoothness with respect to the parameter are obtained under mild conditions on the coefficients.…
This paper is concerned with solutions to a one dimensional linear diffusion equation and their relation to some problems in stochastic control theory. A stochastic variational formula is obtained for the logarithm of the solution to the…
In this paper we study the stability of explicit finite difference discretizations of linear advection-diffusion equations (ADE) with arbitrary order of accuracy in the context of method of lines. The analysis first focuses on the stability…
The inverse problem of backward diffusion is known to be ill-posed and highly unstable. Backward diffusion processes appear naturally in image enhancement and deblurring applications. It is therefore greatly desirable to establish a…
We propose a finite difference scheme for the numerical solution of a two-dimensional singularly perturbed convection-diffusion partial differential equation whose solution features interacting boundary and interior layers, the latter due…
We present a Bayesian non-parametric way of inferring stochastic differential equations for both regression tasks and continuous-time dynamical modelling. The work has high emphasis on the stochastic part of the differential equation, also…
A physical-mathematical approach to anomalous diffusion may be based on generalized diffusion equations (containing derivatives of fractional order in space or/and time) and related random walk models. The fundamental solution (for the…
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 paper, we first propose an unconditionally stable implicit difference scheme for solving generalized time-space fractional diffusion equations (GTSFDEs) with variable coefficients. The numerical scheme utilizes the $L1$-type formula…
We study stochastic delay differential equations (SDDE) where the coefficients depend on the moving averages of the state process. As a first contribution, we provide sufficient conditions under which a linear path functional of the…
In this paper we characterise the global stability, global boundedness and recurrence of solutions of a scalar nonlinear stochastic differential equation. The differential equation is a perturbed version of a globally stable autonomous…
The mean square displacement and instantaneous diffusion coefficient for different configurations of charged particles in stochastic motion are calculated by numerically solving the associated equations of motion. The method is suitable for…
This thesis aims at investigating the first steps toward an unconditionally stable space-time isogeometric method, based on splines of maximal regularity, for the linear acoustic wave equation. The unconditional stability of space-time…
The stochastic solution with Gaussian stationary increments is establihsed for the symmetric space-time fractional diffusion equation when $0 < \beta < \alpha \le 2$, where $0 < \beta \le 1$ and $0 < \alpha \le 2$ are the fractional…
In this note, we present a new numerical method for solving backward stochastic differential equations. Our method can be viewed as an analogue of the classical finite element method solving deterministic partial differential equations.
We study mean field stochastic differential equations with a diffusion coefficient that depends on the distribution function of the unknown process in a discontinuous manner, which is a type of distribution dependent regime switching. To…
In this paper, a class of finite difference numerical techniques is presented to solve the second-order linear inhomogeneous damped wave equation. The consistency, stability, and convergences of these numerical schemes are discussed. The…
Existence, uniqueness, and regularity of a strong solution are obtained for stochastic PDEs with a colored noise $F$ and its super-linear diffusion coefficient: $$ du=(a^{ij}u_{x^ix^j}+b^iu_{x^i}+cu)dt+\xi|u|^{1+\lambda}dF, \quad…