Related papers: Higher order numerical schemes for SPDEs with addi…
In this article, we consider the stochastic wave and heat equations on $\mathbb{R}$ with non-vanishing initial conditions, driven by a Gaussian noise which is white in time and behaves in space like a fractional Brownian motion of index…
In this paper, we first establish well-posedness of McKean-Vlasov stochastic differential equations (McKean-Vlasov SDEs) with common noise, possibly with coefficients having super-linear growth in the state variable. Second, we present…
First-order energy dissipative schemes in time are available in literature for the Poisson-Nernst-Planck (PNP) equations, but second-order ones are still in lack. This work proposes novel second-order discretization in time and finite…
For the approximation of solutions for stochastic partial differential equations, numerical methods that obtain a high order of convergence and at the same time involve reasonable computational cost are of particular interest. We therefore…
We propose an {\em implementable} numerical scheme for the discretization of linear-quadratic optimal control problems involving SDEs in higher dimensions with {\em control constraint}. For time discretization, we employ the implicit Euler…
We consider the long-time behavior of an explicit tamed exponential Euler scheme applied to a class of parabolic semilinear stochastic partial differential equations driven by additive noise, under a one-sided Lipschitz continuity…
In this paper, we consider numerical homogenization of acoustic wave equations with heterogeneous coefficients, namely, when the bulk modulus and the density of the medium are only bounded. We show that under a Cordes type condition the…
Curvilinear, multiblock summation-by-parts finite difference operators with the simultaneous approximation term method provide a stable and accurate framework for solving the wave equation in second order form. That said, the standard…
It is well known that the Euler method for a random ordinary differential equation $\mathrm{d}X_t/\mathrm{d}t = f(t, X_t, Y_t)$ driven by a stochastic process $\{Y_t\}_t$ with $\theta$-H\"older sample paths is estimated to be of strong…
In this article, we continue the investigations initiated by the first author in Balan (2015) related to the study of stochastic partial differential equations (SPDEs) with L\'evy colored noise on $\mathbb{R}_{+} \times \mathbb{R}^d$. This…
We calculate the stochastic upper bounds for the Lorenz equations using an extension of the background method. In analogy with Rayleigh-B\'enard convection the upper bounds are for heat transport versus Rayleigh number. As might be…
We derive sharp strong convergence rates for the Euler-Maruyama scheme approximating multidimensional SDEs with multiplicative noise without imposing any regularity condition on the drift coefficient. In case the noise is additive, we show…
We study a stochastic boundary value problem on $(0,1)^d$ of elliptic type in dimension $d\ge 4$, driven by a coloured noise. An approximation scheme based on a suitable discretization of the Laplacian on a lattice of $(0,1)^d$ is…
The Euler scheme is one of the standard schemes to obtain numerical approximations of stochastic differential equations (SDEs). Its convergence properties are well-known in the case of globally Lipschitz continuous coefficients. However, in…
In this paper we propose a new numerical method for solving stochastic differential equations (SDEs). As an application of this method we propose an explicit numerical scheme for a super linear SDE for which the usual Euler scheme diverges.
The diffuse-domain, or smoothed boundary, method is an attractive approach for solving partial differential equations in complex geometries because of its simplicity and flexibility. In this method the complex geometry is embedded into a…
In this paper, we develop a new method to obtain the accessibility of stochastic partial differential equations driven by additive pure jump noise. An important novelty of this paper is to allow the driving noises to be degenerate. As an…
We consider a class of general SDEs with a jump integral term driven by a time-inhomogeneous Poisson random measure. We propose a two-parameters Euler-type scheme for this SDE class and prove an optimal rate for the strong convergence with…
In this paper, we address the question of the discretization of Stochastic Partial Differential Equations (SPDE's) for excitable media. Working with SPDE's driven by colored noise, we consider a numerical scheme based on finite differences…
We introduce a class of symplectic resonance based schemes for Schr\"odinger's equation in dimension one, building on the work in [1] wherein resonance based numerical schemes were developed in the context of dispersive PDE driven by time…