Related papers: Implicit and implicit--explicit high-order BDF met…
We construct efficient implicit-explicit BDF$k$ scalar auxiliary variable (SAV) schemes for general dissipative systems. We show that these schemes are unconditionally stable, and lead to a uniform bound of the numerical solution in the…
We are interested in high-order linear multistep schemes for time discretization of adjoint equations arising within optimal control problems. First we consider optimal control problems for ordinary differential equations and show loss of…
This work constructs the first-ever sixth-order exponential Runge--Kutta (ExpRK) methods for the time integration of stiff parabolic PDEs. First, we leverage the exponential B-series theory to restate the stiff order conditions for ExpRK…
We propose a new deep learning algorithm for solving high-dimensional parabolic integro-differential equations (PIDEs) and forward-backward stochastic differential equations with jumps (FBSDEJs). This novel algorithm can be viewed as an…
Robust and accurate fully implicit finite-volume schemes applied to Darcy-scale multiphase flow and transport in porous media are highly desirable. Recently, a smooth approximation of the saturation-dependent flux coefficients based on…
This paper introduces a novel second-order splitting scheme for charged-particle dynamics in strong magnetic fields characterized by the maximal ordering. The proposed scheme is explicit and symmetric, which respectively ensure the…
We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility models. The scheme is fourth-order accurate in space and second-order accurate in time. Under some restrictions, theoretical results…
The isentropic compressible Cahn-Hilliard-Navier-Stokes equations is a system of fourth-order partial differential equations that model the evolution of some binary fluids under convection. The purpose of this paper is the design of…
This paper is dedicated to the construction of high-order (in both space and time) finite-difference schemes for both forward and backward PDEs and PIDEs, such that option prices obtained by solving both the forward and backward equations…
This paper is concerned about the implicit-explicit (IMEX) methods for a class of dissipative wave systems with time-varying velocity feedbacks and nonlinear potential energies, equipped with different boundary conditions. Firstly, we…
An algorithm for a family of self-starting high-order implicit time integration schemes with controllable numerical dissipation is proposed for both linear and nonlinear transient problems. This work builds on the previous works of the…
A single-step high-order implicit time integration scheme for the solution of transient and wave propagation problems is presented. It is constructed from the Pad\'e expansions of the matrix exponential solution of a system of first-order…
Finding the optimal hyperparameters of a model can be cast as a bilevel optimization problem, typically solved using zero-order techniques. In this work we study first-order methods when the inner optimization problem is convex but…
Two semi-implicit Euler schemes for differential inclusions are proposed and analyzed in depth. An error analysis shows that both semi-implicit schemes inherit favorable stability properties from the differential inclusion. Their…
In this paper, we first present an explicit expression for the inverse\emph{} of a type of matrices. As special applications, the inverse of some matrices arising from implicit time integration techniques, such as the well-known implicit…
The coupled nonlinear space fractional Ginzburg-Landau (CNLSFGL) equations with the fractional Laplacian have been widely used to model the dynamical processes in a fractal media with fractional dispersion. Due to the existence of…
We study the Back and Forth Error Compensation and Correction (BFECC) method for linear hyperbolic PDE systems. The BFECC method has been applied to schemes for advection equations to improve their stability and order of accuracy. Similar…
Motivated by the idea of imposing paralleling computing on solving stochastic differential equations (SDEs), we introduce a new Domain Decomposition Scheme to solve forward-backward stochastic differential equations (FBSDEs) parallely. We…
Efficient high order numerical methods for evolving the solution of an ordinary differential equation are widely used. The popular Runge--Kutta methods, linear multi-step methods, and more broadly general linear methods, all have a global…
We study in this paper the accuracy and stability of partially and fully implicit schemes for phase field modeling. Through theoretical and numerical analysis of Allen-Cahn and Cahn-Hillard models, we investigate the potential problems of…