Related papers: Euler Estimates of Rough Differential Equations
In this article we show a robustness theorem for controlled stochastic differential equations driven by approximations of Brownian motion. Often, Brownian motion is used as an idealized model of a diffusion where approximations such as…
This paper focuses on the strong convergence rate of both Runge--Kutta methods and simplified step-$N$ Euler schemes for stochastic differential equations driven by multi-dimensional fractional Brownian motions with $H\in(\frac12,1)$. Based…
In this paper, we establish uniform a priori estimates for positive solutions to the (higher) critical order superlinear Lane-Emden system in bounded domains with Navier boundary conditions in arbitrary dimensions $n\geq3$. First, we prove…
We present an extension to high-order of a first-order Lagrange-projection like method for the approximation of the Euler equations introduced in Coquel {\it et al.} (Math. Comput., 79 (2010), pp.~1493--1533). The method is based on a…
In this paper, a backward Euler method combined with finite element discretization in spatial direction is discussed for the equations of motion arising in the $2D$ Oldroyd model of viscoelastic fluids of order one with the forcing term…
As a general rule, differential equations driven by a multi-dimensional irregular path $\Gamma$ are solved by constructing a rough path over $\Gamma$. The domain of definition ? and also estimates ? of the solutions depend on upper bounds…
The paper proposes a second-order accurate direct Eulerian generalized Riemann problem (GRP) scheme for the radiation hydrodynamical equations (RHE) in the zero diffusion limit. The difficulty comes from no explicit expression of the flux…
In this paper we will discuss some new developments in the design of numerical methods for optimal control problems of Lagrangian systems on Lie groups. We will construct these geometric integrators using discrete variational calculus on…
A summary of recent contributions in the field of rough partial differential equations is given. For that purpose we rely on the formalism of ``unbounded rough driver''. We present applications to concrete models including…
We discrete the ergodic semilinear stochastic partial differential equations in space dimension $d \leq 3$ with additive noise, spatially by a spectral Galerkin method and temporally by an exponential Euler scheme. It is shown that both the…
We study a class of linear first and second order partial differential equations driven by weak geometric $p$-rough paths, and prove the existence of a unique solution for these equations. This solution depends continuously on the driving…
An implicit Euler--Maruyama method with non-uniform step-size applied to a class of stochastic partial differential equations is studied. A spectral method is used for the spatial discretization and the truncation of the Wiener process. A…
This work presents the design of nonlinear stabilization techniques for the finite element discretization of Euler equations in both steady and transient form. Implicit time integration is used in the case of the transient form. A…
We analyze the behavior of the Euler method for delay differential equations under nonstandard assumptions on the right-hand-side function f, when evaluations of f are corrupted by informational noise. We provide theoretical upper bounds on…
We address the weak numerical solution of stochastic differential equations driven by independent Brownian motions (SDEs for short). This paper develops a new methodology to design adaptive strategies for determining automatically the…
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…
We propose a modification of the standard linear implicit Euler integrator for the weak approximation of parabolic semilinear stochastic PDEs driven by additive space-time white noise. The new method can easily be combined with a finite…
A class of linear parabolic equations is considered. We derive a framework for the a posteriori error analysis of time discretisations by Richardson extrapolation of arbitrary order combined with finite element discretisations in space. We…
We propose an adaptive optimization algorithm for solving unconstrained scaled gradient flow problems that achieves fast convergence by controlling the optimization trajectory shape and the discretization step sizes. Under a broad class of…
Here we present well-posedness results for first order stochastic differential inclusions, more precisely for sweeping process with a stochastic perturbation. These results are provided in combining both deterministic sweeping process…