Related papers: On the Weak Error for Local Stochastic Volatility …
This paper is the second in a series of works on weak convergence of one-step schemes for solving stochastic differential equations (SDEs) with one-sided Lipschitz conditions. It is known that the super-linear coefficients may lead to a…
This note shows how to considerably strengthen the usual mode of convergence of an $n$-particle system to its McKean-Vlasov limit, often known as propagation of chaos, when the volatility coefficient is nondegenerate and involves no…
The work concerns deviation estimates for multivalued McKean-Vlasov stochastic differential equations. First of all, we prove the large deviation principle for them by the weak convergence approach. Then the central limit theorem for them…
The McLachlan "minimum-distance" principle for optimizing approximate solutions of the time-dependent Schrodinger equation is revisited, with a focus on the local-in-time error accompanying the variational solutions. Simple, exact…
We study a system of reflected Brownian motions on the positive half-line in which each particle has a drift toward the origin determined by the local times at the origin of all the particles. If this local time drift is too strong, such…
We prove optimal convergence results of a stochastic particle method for computing the classical solution of a multivariate McKean-Vlasov equation, when the measure variable is in the drift, following the classical approach of [BT97,…
This paper addresses the variational multiscale stabilization of standard finite element methods for linear partial differential equations that exhibit multiscale features. The stabilization is of Petrov-Galerkin type with a standard finite…
This paper studies the numerical simulation of the solution to the McKean-Vlasov equation with common noise. We begin by discretizing the solution in time using the Euler scheme, followed by spatial discretization through the particle…
Obtaining reliable numerical simulations of turbulent fluids is a challenging problem in computational fluid mechanics. The Large Eddy Simulations (LES) models are efficient tools to approximate turbulent fluids and an important step in the…
The goal of this paper is to approximate several kinds of {\it Mckean-Vlasov SDEs} with {\it irregular coefficients} via weakly interacting particle systems. More precisely, propagation of chaos and convergence rate of Euler-Maruyama scheme…
We develop a variational multiscale proper orthogonal decomposition reduced-order model for turbulent incompressible Navier-Stokes equations. The error analysis of the full discretization of the model is presented. All error contributions…
The rotating shallow water model is a simplification of oceanic and atmospheric general circulation models that are used in many applications such as surge prediction, tsunami tracking and ocean modelling. In this paper we introduce a class…
In this paper, we introduce a new algorithm for rare event estimation based on adaptive importance sampling. We consider a smoothed version of the optimal importance sampling density, which is approximated by an ensemble of interacting…
Finite-precision floating point arithmetic unavoidably introduces rounding errors which are traditionally bounded using a worst-case analysis. However, worst-case analysis might be overly conservative because worst-case errors can be…
Non-locality is being intensively studied in various PDE-contexts and in variational problems. The numerical approximation also looks challenging, as well as the application of these models to Continuum Mechanics and Image Analysis, among…
We study the time-dependent Navier-Stokes equations in the context of stochastic finite element discretizations. Specifically, we assume that the viscosity is a random field given in the form of a generalized polynomial chaos expansion, and…
There are numerous contexts where one wishes to describe the state of a randomly evolving system. Effective solutions combine models that quantify the underlying uncertainty with available observational data to form relatively optimal…
We study functional stochastic differential equations with a locally unbounded, functional drift focusing on well-posedness, stability and the strong Feller property. Following the non-functional case, we only consider integrability…
In financial mathematics, it is a typical approach to approximate financial markets operating in discrete time by continuous-time models such as the Black Scholes model. Fitting this model gives rise to difficulties due to the discrete…
We consider the (barotropic) Euler system describing the motion of a compressible inviscid fluid driven by a stochastic forcing. Adapting the method of convex integration we show that the initial value problem is ill-posed in the class of…