Related papers: Long-time behavior of exact and numerical solution…
In this paper numerical methods for solving stochastic differential equations with Markovian switching (SDEwMSs) are developed by pathwise approximation. The proposed family of strong predictor-corrector Euler-Maruyama methods is designed…
The stochastic heat equation on the sphere driven by additive isotropic Wiener noise is approximated by a spectral method in space and forward and backward Euler-Maruyama schemes in time. The spectral approximation is based on a truncation…
The stochastic heat equation on the sphere driven by additive L\'evy random field is approximated by a spectral method in space and forward and backward Euler-Maruyama schemes in time, in analogy to the Wiener case. New regularity results…
Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler-Maruyama approximation method…
This paper investigates longtime behaviors of the $\theta$-Euler-Maruyama method for the stochastic functional differential equation with superlinearly growing coefficients. We focus on the longtime convergence analysis in mean-square sense…
We study the error between the exact solution and its Euler-Maruyama approximation in temporal-spatial H\"older-norms for L\'evy-driven stochastic differential equations.
We discuss the time evolution of the wave function which is solution of a stochastic Schroedinger equation describing the dynamics of a free quantum particle subject to spontaneous localizations in space. We prove global existence and…
In this paper, we study the long-time stability behavior of a class of linear stochastic evolution equations in a Hilbert space with multiplicative noise. Explicit sufficient conditions for $p$-th moment and almost sure exponential…
Exponential integrability properties of numerical approximations are a key tool for establishing positive rates of strong and numerically weak convergence for a large class of nonlinear stochastic differential equations. It turns out that…
Solving the time-dependent Schr\"odinger equation (TDSE) is pivotal for modeling non-adiabatic electron dynamics, a key process in ultrafast spectroscopy and laser-matter interactions. However, exact solutions to the TDSE remain…
In this paper, we consider stochastic differential equations whose drift coefficient is superlinearly growing and piece-wise continuous, and whose diffusion coefficient is superlinearly growing and locally H\"older continuous. We first…
The stochastic Euler scheme is known to converge to the exact solution of a stochastic differential equation with globally Lipschitz continuous drift and diffusion coefficient. Recent results extend this convergence to coefficients which…
Our subject of study is strong approximation of stochastic differential equations (SDEs) with respect to the supremum error criterion, and we seek approximations that are strongly asymptotically optimal in specific classes of…
Stochastic differential equations (SDEs) on Riemannian manifolds have numerous applications in system identification and control. However, geometry-preserving numerical methods for simulating Riemannian SDEs remain relatively…
We prove that one cannot construct, for arbitrary initial data, global-in-time physical classical solutions to Euler's equations of continuum rigid body mechanics when the constituent rigid bodies are not perfect spheres. By 'physical'…
The present paper is devoted to the numerical approximation of an abstract stochastic nonlinear evolution equation in a separable Hilbert space {$\mathrm{H}$}. Examples of equations which fall into our framework include the GOY and Sabra…
The exponential stability of numerical methods to stochastic differential equations (SDEs) has been widely studied. In contrast, there are relatively few works on polynomial stability of numerical methods. In this letter, we address the…
A fast and stable method is formulated to compute the time evolution of a wavefunction by numerically solving the time-dependent Schr{\"o}dinger equation. This method is a real space/real time evolution method implemented by several…
We study a compound Poisson (random time-change) approximation for stochastic differential equations (SDEs) and stochastic Volterra equations whose coefficients may be merely measurable in time and may even exhibit integrable singularities.…
We investigate the strong approximation of stochastic differential equations whose drift is square-integrable in time and Dini continuous in space, while the diffusion coefficient is non-constant and uniformly elliptic. Using a refined…