Related papers: A Second-Order Stochastic Leap-Frog Algorithm for …
We consider the efficient numerical approximation of acoustic wave propagation in time domain by a finite element method with mass lumping. In the presence of internal damping, the problem can be reduced to a second order formulation in…
A new algorithm for numerical integration of the rigid-body equations of motion is proposed. The algorithm uses the leapfrog scheme and the quantities involved are angular velocities and orientational variables which can be expressed in…
The estimation of the frequencies of multiple superimposed exponentials in noise is an important research problem due to its various applications from engineering to chemistry. In this paper, we propose an efficient and accurate algorithm…
We present a new simple method for rounding a semidefinite programming relaxation of a constraint satisfaction problem. We apply it to the problem of approximate angular synchronization. Specifically, we are given directed distances on a…
Under some weak conditions, the first-passage time of the Brownian motion to a continuous curved boundary is an almost surely finite stopping time. Its probability density function (pdf) is explicitly known only in few particular cases.…
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…
In this paper, we consider a stochastic model of incompressible non-Newtonian fluids of second grade on a bounded domain of $\mathbb{R}^2$ with multiplicative noise. We first show that the solutions to the stochastic equations of second…
We consider a model of non-Markovian Quantum Brownian motion that consists of an harmonic oscillator bilinearly coupled to a thermal bath, both via its position and momentum operators. We derive the master equation for such a model and we…
Sufficient and necessary conditions are presented for the order-preservation of stochastic functional differential equations on $\R^d$ with non-Lipschitzian coefficients driven by the Brownian motion and Poisson processes. The sufficiency…
In a previous paper, we studied the ergodic properties of an Euler scheme of a stochastic differential equation with a Gaussian additive noise in order to approximate the stationary regime of such equation. We now consider the case of…
We demonstrate how time-integration of stochastic differential equations (i.e. Brownian dynamics simulations) can be combined with continuum numerical bifurcation analysis techniques to analyze the dynamics of liquid crystalline polymers…
The stochastic trajectories of molecules in living cells, as well as the dynamics in many other complex systems, often exhibit memory in their path over long periods of time. In addition, these systems can show dynamic heterogeneities due…
The numerical analysis of stochastic time fractional evolution equations presents considerable challenges due to the limited regularity of the model caused by the nonlocal operator and the presence of noise. The existing time-stepping…
Two-time-scale Stochastic Approximation (SA) is an iterative algorithm with applications in reinforcement learning and optimization. Prior finite time analysis of such algorithms has focused on fixed point iterations with mappings…
In this work we detail the application of a fast convolution algorithm computing high dimensional integrals to the context of multiplicative noise stochastic processes. The algorithm provides a numerical solution to the problem of…
In this article, we consider the stochastic wave and heat equations driven by a Gaussian noise which is spatially homogeneous and behaves in time like a fractional Brownian motion with Hurst index $H>1/2$. The solutions of these equations…
The numerical evaluation of statistics plays a crucial role in statistical physics and its applied fields. It is possible to evaluate the statistics for a stochastic differential equation with Gaussian white noise via the corresponding…
We aim at studying a novel mathematical model associated to a physical phenomenon of infiltration in an homogeneous porous medium. The particularities of our system are connected to the presence of a gravitational acceleration term…
This paper is devoted to the synchronization of stochastic differential equations driven by the linear multiplicative fractional Brownian motion with Hurst parameter $H\in(\frac{1}{2},1)$. We firstly prove that the equation has a unique…
We mainly investigate the log-Harnack inequality for the reflected stochastic partial differential equation driven by multiplicative noises based on the gradient estimate of the associated Markov semigroup. To do it, the penalization method…