Related papers: Convergence rate in the splitting-up method for ro…
We develop a finite difference approximation of order $\alpha$ for the $\alpha$-fractional derivative. The weights of the approximation scheme have the same rate-matrix type properties as the popular Gr\"unwald scheme. In particular,…
Splitting schemes are a class of powerful algorithms that solve complicated monotone inclusion and convex optimization problems that are built from many simpler pieces. They give rise to algorithms in which the simple pieces of the…
We study the convergence of the Left-Right splitting method (equivalent in key respects to the Method of Multiple Ordered Interactions and Forward-Backward method) for wave scattering by rough surfaces. This is an operator series method…
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…
We study a discrete-time approximation for solutions of systems of decoupled forward-backward doubly stochastic differential equations (FBDSDEs). Assuming that the coefficients are Lipschitz-continuous, we prove the convergence of the…
We consider a system of differential equations in a fast long range dependent random environment and prove a homogenization theorem involving multiple scaling constants. The effective dynamics solves a rough differential equation, which is…
This paper provides a rigorous convergence rate and complexity analysis for a recently introduced framework, called PDE acceleration, for solving problems in the calculus of variations, and explores applications to obstacle problems. PDE…
In this paper subdivision schemes, which are used for functions approximation and curves generation, are considered. In classical case, for the functions defined on the real line, the theory of subdivision schemes is widely known due to…
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…
Averaging is an important method to extract effective macroscopic dynamics from complex systems with slow modes and fast modes. This article derives an averaged equation for a class of stochastic partial differential equations without any…
In this work, we propose some new Douglas-Rashford splitting algorithms for solving a class of generalized DC (difference of convex functions) in real Hilbert spaces. The proposed methods leverage the proximal properties of the nonsmooth…
This paper concerns the convergence of an iterative scheme for 2D stochastic primitive equations on a bounded domain. The stochastic system is split into two equations: a deterministic 2D primitive equations with random initial value and a…
We consider a time fractional differential equation of order $\alpha$, $0<\alpha<1$, $$ \frac{\partial c(x,t)}{\partial t}={}^C_0\mathcal{D}_t^{\alpha}[(Ac)(x,t)]+q(x,t) ,\quad x > 0, t > 0, \quad c(x,0)=f(x). $$ where…
In this paper, we apply rough paths techniques to provide an approximation of the solution of stochastic functional differential equations driven by fractional Brownian motion with Hurst parameter $H>1/2$. Here, the involved stochastic…
Computational methods for fractional differential equations exhibit essential instability. Even a minor modification of the coefficients or other entry data may switch good results to the divergent. The goal of this paper is to suggest the…
In this paper subdivision schemes, which are used for functions approximation and curves generation, are considered. In classical case, for the functions defined on the real line, the theory of subdivision schemes is widely known due to…
Davis-Yin splitting (DYS) has found a wide range of applications in optimization, but its linear rates of convergence have not been studied extensively. The scaled relative graph (SRG) simplifies the convergence analysis of operator…
An equation containing a fractional power of an elliptic operator of second order is studied for Dirichlet boundary conditions. Finite difference approximations in space are employed. The proposed numerical algorithm is based on solving an…
In this article, we propose a higher order approximation to Caputo fractional (C-F) derivative using graded mesh and standard central difference approximation for space derivatives, in order to obtain the approximate solution of time…
Under the key assumption of finite {\rho}-variation, {\rho}\in[1,2), of the covariance of the underlying Gaussian process, sharp a.s. convergence rates for approximations of Gaussian rough paths are established. When applied to Brownian…