Related papers: A General Implicit Splitting for Stabilizing Numer…
The article is devoted to the construction of explicit one-step numerical methods with the strong orders of convergence 2.0, 2,5, and 3.0 for Ito stochastic differential equations with multidimensional non-commutative noise. We consider the…
In this paper, the periodic initial-value problem for the fractional nonlinear Schr\"odinger (fNLS) equation is discretized in space by a Fourier spectral Galerkin method and in time by diagonally implicit, high-order Runge-Kutta schemes,…
The article is devoted to construction of effective procedures of the mean-square approximation for iterated Stratonovich stochastic integrals of multiplicities 1 to 5. We apply the method of generalized multiple Fourier series for…
In this work, we introduce a Monte Carlo method for the dynamic hedging of general European-type contingent claims in a multidimensional Brownian arbitrage-free market. Based on bounded variation martingale approximations for…
We revisit the problem of sampling from a target distribution that has a smooth strongly log-concave density everywhere in $\mathbb R^p$. In this context, if no additional density information is available, the randomized midpoint…
Sampling from various kinds of distributions is an issue of paramount importance in statistics since it is often the key ingredient for constructing estimators, test procedures or confidence intervals. In many situations, the exact sampling…
In this paper we consider splitting methods for the time integration of parabolic and certain classes of hyperbolic partial differential equations, where one partial flow can not be computed exactly. Instead, we use a numerical…
Implicit Runge--Kutta (IRK) methods are highly effective for solving stiff ordinary differential equations (ODEs) but can be computationally expensive for large-scale problems due to the need of solving coupled algebraic equations at each…
We consider a fully discrete loosely coupled scheme for incompressible fluid-structure interaction based on the time semi-discrete splitting method introduced in {\emph{[Burman, Durst \& Guzm\'an, arXiv:1911.06760]}}. The splittling method…
In this paper we continue the work on implicit-explicit (IMEX) time discretizations for the incompressible Oseen equations that we started in \cite{BGG23} (E. Burman, D. Garg, J. Guzm\`an, {\emph{Implicit-explicit time discretization for…
A technique for reducing the number of integrals in a Monte Carlo calculation is introduced. For integrations relying on classical or mean-field trajectories with local weighting functions, it is possible to integrate analytically at least…
Towards a solution to the sign problem in the simulations of systems having indefinite or complex-valued measures, we propose a new approach which yields statistical errors smaller than the crude Monte Carlo using absolute values of the…
In this paper, we deal with the convergence of an iterative scheme for the 2-D stochastic Navier-Stokes Equations on the torus suggested by the Lie-Trotter product formulas for stochastic differential equations of parabolic type. The…
Uncertainties have become a major concern in integrated circuit design. In order to avoid the huge number of repeated simulations in conventional Monte Carlo flows, this paper presents an intrusive spectral simulator for statistical circuit…
Stochastic Galerkin methods offer unexplored potential for the numerical simulation of parabolic problems with random variables, in particular if they are combined with variational discretizations of the space and time variables. Due to the…
In this note we propose and analyze novel implicit-explicit methods based on second order strong stability preserving multistep time discretizations. Several schemes are developed, and a linear stability analysis is performed to study their…
Motivated by the work of T.E. Govindan in [5,8,9], this paper is concerned with a more general semilinear stochastic evolution equation. The difference between the equations considered in this paper and the previous one is that it makes…
We consider Hamiltonian PDEs that can be split into a linear unbounded operator and a regular non linear part. We consider abstract splitting methods associated with this decomposition where no discretization in space is made. We prove a…
In this paper, based on the two-step discretization scheme proposed by Dahlquist, Liniger and Nevanlinna (DLN), we develop a semi-implicit Galerkin finite element method for solving the coupled generalized Ginzburg-Landau equations. By…
We present second-order optimally stable Implicit-Explicit (IMEX) Runge-Kutta (RK) schemes with application to a modified set of shallow water equations that can be used to model the dynamics of lava flows. The schemes are optimally stable…