Related papers: DDE-SOLVER: A Maple Package For Discrete Different…
In this paper, we propose efficient quantum algorithms for solving nonlinear stochastic differential equations (SDE) via the associated Fokker-Planck equation (FPE). We discretize the FPE in space and time using two well-known numerical…
In this paper, we propose a novel numerical method for Path-Dependent Partial Differential Equations (PPDEs). These equations firstly appeared in the seminal work of Dupire [2009], where the functional It\^o calculus was developed to deal…
We introduce efficient differentially private (DP) algorithms for several linear algebraic tasks, including solving linear equalities over arbitrary fields, linear inequalities over the reals, and computing affine spans and convex hulls. As…
Numerical solutions of partial differential equations enable a broad range of scientific research. The Dedalus Project is a flexible, open-source, parallelized computational framework for solving general partial differential equations using…
In this paper, we present an algorithm which computes a fundamental matrix of formal solutions of completely integrable Pfaffian systems with normal crossings in two variables, based on (Barkatou, 1997). A first step was set in…
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…
In this article, we introduce a fast and memory efficient solver for sparse matrices arising from the finite element discretization of elliptic partial differential equations (PDEs). We use a fast direct (but approximate) multifrontal…
An update of the ODEtools Maple package, for the analytical solving of 1st and 2nd order ODEs using Lie group symmetry methods, is presented. The set of routines includes an ODE-solver and user-level commands realizing most of the relevant…
As a fundamental mathmatical tool in many engineering disciplines, coupled differential equation groups are being widely used to model complex structures containing multiple physical quantities. Engineers constantly adjust structural…
The method of separation of variables can be used to solve many separable linear partial differential equations (LPDEs). Moreover, variable separation solutions usually are some trigonometric series. In the paper, base on some ideas of this…
We present a graph-theoretical approach that can detect which equations of a delay differential-algebraic equation (DDAE) need to be differentiated or shifted to construct a solution of the DDAE. Our approach exploits the observation that…
A Maple package for computing Groebner bases of linear difference ideals is described. The underlying algorithm is based on Janet and Janet-like monomial divisions associated with finite difference operators. The package can be used, for…
Global spectral methods offer the potential to compute solutions of partial differential equations numerically to very high accuracy. In this work, we develop a novel global spectral method for linear partial differential equations on cubes…
In the context of science, the well-known adage "a picture is worth a thousand words" might well be "a model is worth a thousand datasets." In this manuscript we introduce the SciML software ecosystem as a tool for mixing the information of…
Probabilistic numerical solvers for ordinary differential equations (ODEs) treat the numerical simulation of dynamical systems as problems of Bayesian state estimation. Aside from producing posterior distributions over ODE solutions and…
To find consistent initial data points for a system of differential-algebraic equations, requires the identification of its missing constraints. An efficient class of structural methods exploiting a dependency graph for this task was…
Here we present a new approach to search for first order invariants (first integrals) of rational second order ordinary differential equations. This method is an alternative to the Darbouxian and symmetry approaches. Our procedure can…
The Feynman-Kac formulae (FKF) express local solutions of partial differential equations (PDEs) as expectations with respect to some complementary stochastic differential equation (SDE). Repeatedly sampling paths from the complementary SDE…
One way of constructing explicit expressions of solutions of integrable systems of Partial Differential Equations (PDEs) goes via the Darboux method. This requires the construction of Darboux matrices. Here we introduce a novel algorithm to…
Designing efficient and accurate numerical solvers for high-dimensional partial differential equations (PDEs) remains a challenging and important topic in computational science and engineering, mainly due to the "curse of dimensionality" in…