Related papers: Strong order 1 adaptive approximation of jump-diff…
In this paper we consider the numerical solutions for a class of jump diffusions with Markovian switching. After briefly reviewing necessary notions, a new jump-adapted efficient algorithm based on the Euler scheme is constructed for…
We present an error analysis of weak convergence of one-step numerical schemes for stochastic differential equations (SDEs) with super-linearly growing coefficients. Following Milstein's weak error analysis on the one-step approximation of…
We present an error analysis of weak convergence of one-step numerical schemes for stochastic differential equations (SDEs) with super-linearly growing coefficients. Following Milstein's weak error analysis on the one-step approximation of…
In this paper, we study higher-order-accurate-in-time minimizing movements schemes for Wasserstein gradient flows. We introduce a novel accelerated second-order scheme, leveraging the differential structure of the Wasserstein space in both…
This article studies an infinite dimensional analog of Milstein's scheme for finite dimensional stochastic ordinary differential equations (SODEs). The Milstein scheme is known to be impressively efficient for SODEs which fulfill a certain…
We study the numerical approximation of SDEs with singular drifts (including distributions) driven by a fractional Brownian motion. Under the Catellier-Gubinelli condition that imposes the regularity of the drift to be strictly greater than…
The understanding of adaptive algorithms for SDEs is an open area where many issues related to both convergence and stability (long time behaviour) of algorithms are unresolved. This paper considers a very simple adaptive algorithm, based…
We establish a general theory of optimal strong error estimation for numerical approximations of a second-order parabolic stochastic partial differential equation with monotone drift driven by a multiplicative infinite-dimensional Wiener…
This paper extends the high-order entropy stable (ES) adaptive moving mesh finite difference schemes developed in [14] to the two- and three-dimensional (multi-component) compressible Euler equations with the stiffened equation of state.…
We study SDE $$ d X_t = b(X_t) \, dt + A(X_{t-}) \, d Z_t, \quad X_{0} = x \in \mathbb{R}^d, \quad t \geq 0 $$ where $Z=(Z^1, \dots, Z^d)^T$, with $Z^i, i=1,\dots, d$ being independent one-dimensional symmetric jump L\'evy processes, not…
We study the convergence of a generic tamed Euler-Maruyama (EM) scheme for the kinetic type stochastic differential equations (SDEs) (also known as second order SDEs) with singular coefficients in both weak and strong probabilistic senses.…
We consider the solution of second order elliptic PDEs in $\R^d$ with inhomogeneous Dirichlet data by means of an $h$-adaptive FEM with fixed polynomial order $p\in\N$. As model example serves the Poisson equation with mixed…
We are interested in the discretization of stable driven SDEs with additive noise for $\alpha$ $\in$ (1, 2) and Lq -- Lp drift under the Serrin type condition $\alpha$/q + d/p < $\alpha$ -- 1. We show weak existence and uniqueness as well…
We consider the Euler-Maruyama approximation for multi-dimensional stochastic differential equations with irregular coefficients. We provide the rate of strong convergence where the possibly discontinuous drift coefficient satisfies a…
This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxiliary diffusion 'factor' process. The…
In this paper we prove strong well-posedness for a system of stochastic differential equations driven by a degenerate diffusion satisfying a weak-type H\"ormander condition, assuming H\"older regularity assumptions on the drift coefficient.…
Recently a useful finite-difference scheme was proposed in [Phys. Rev. E 98, 033302 (2018)] to solve Fokker-Planck equations with drift-admitting jumps. However, while the scheme is fifth order for the case with smooth drifts, it is only…
In this work, we derive particle schemes, based on micro-macro decomposition, for linear kinetic equations in the diffusion limit. Due to the particle approximation of the micro part, a splitting between the transport and the collision part…
In this paper we introduce a transformation technique, which can on the one hand be used to prove existence and uniqueness for a class of SDEs with discontinuous drift coefficient. One the other hand we present a numerical method based on…
It is well known that the Euler-Maruyama discretisation of an autonomous SDE using a uniform timestep $h$ has a strong convergence error which is $O(h^{1/2})$ when the drift and diffusion are both globally Lipschitz. This note proves that…