Related papers: Euler Estimates of Rough Differential Equations
In this work, we consider the numerical solution of an initial boundary value problem for the distributed order time fractional diffusion equation. The model arises in the mathematical modeling of ultra-slow diffusion processes observed in…
Optimization problems with $L^1$-control cost functional subject to an elliptic partial differential equation (PDE) are considered. However, different from the finite dimensional $l^1$-regularization optimization, the resulting discretized…
Since the breakthrough in rough paths theory for stochastic ordinary differential equations (SDEs), there has been a strong interest in investigating the rough differential equation (RDE) approach and its numerous applications. Rough path…
This paper investigates a numerical probabilistic method for the solution of some semilinear stochastic partial differential equations (SPDEs in short). The numerical scheme is based on discrete time approximation for solutions of systems…
We provide a new computationally-efficient class of estimators for risk minimization. We show that these estimators are robust for general statistical models: in the classical Huber epsilon-contamination model and in heavy-tailed settings.…
For a stochastic differential equation driven by a fractional Brownian motion with Hurst parameter $H> \frac12$ it is known that the classical Euler scheme has the rate of convergence $2H-1$. In this paper we introduce a new numerical…
In this paper we obtain the expectation and variance of the number of Euler tours of a random Eulerian directed graph with fixed out-degree sequence. We use this to obtain the asymptotic distribution of the number of Euler tours of a random…
We extend to Lipschitz continuous functionals either of the true paths or of the Euler scheme with decreasing step of a wide class of Brownian ergodic diffusions, the Central Limit Theorems formally established for their marginal empirical…
The paper proposes a second-order accurate direct Eulerian generalized Riemann problem (GRP) scheme for the spherically symmetric general relativistic hydrodynamical (RHD) equations and a second-order accurate discretization for the…
A simple-to-implement weak-sense numerical method to approximate reflected stochastic differential equations (RSDEs) is proposed and analysed. It is proved that the method has the first order of weak convergence. Together with the Monte…
In this paper, we revisit the backward Euler method for numerical approximations of random periodic solutions of semilinear SDEs with additive noise. Improved $L^{p}$-estimates of the random periodic solutions of the considered SDEs are…
Assuming that a reflected Ornstein-Uhlenbeck state process is observed at discrete time instants, we propose generalized moment estimators to estimate all drift and diffusion parameters via the celebrated ergodic theorem. With the sampling…
In this paper, we develop an ensemble-based time-stepping algorithm to efficiently find numerical solutions to a group of linear, second-order parabolic partial differential equations (PDEs). Particularly, the PDE models in the group could…
The use of limiting methods for high-order numerical approximations of hyperbolic conservation laws generally requires defining an admissible region/bounds for the solution. In this work, we present a novel approach for computing solution…
This paper considers the strong error analysis of the Euler and fast Euler methods for nonlinear overdamped generalized Langevin equations driven by the fractional noise. The main difficulty lies in handling the interaction between the…
Given a stochastic differential equation (SDE) in $\mathbb{R}^n$ whose solution is constrained to lie in some manifold $M \subset \mathbb{R}^n$, we propose a class of numerical schemes for the SDE whose iterates remain close to $M$ to high…
ODE solvers with randomly sampled timestep sizes appear in the context of chaotic dynamical systems, differential equations with low regularity, and, implicitly, in stochastic optimisation. In this work, we propose and study the stochastic…
We analyse errors of randomized explicit and implicit Euler schemes for approximate solving of ordinary differential equations (ODEs). We consider classes of ODEs for which the right-hand side functions satisfy Lipschitz condition globally…
We show that the probability of the exceptional set decays exponentially for a broad class of randomized algorithms approximating solutions of ODEs, admitting a certain error decomposition. This class includes randomized explicit and…
This paper is concerned with long-time strong approximations of SDEs with non-globally Lipschitz coefficients.Under certain non-globally Lipschitz conditions, a long-time version of fundamental strong convergence theorem is established for…