Related papers: Analytic stochastic treatment of a nonlinear quant…
The existence and uniqueness of the stationary distribution of the numerical solution generated by the stochastic theta method is studied. When the parameter theta takes different values, the requirements on the drift and diffusion…
A numerical method for approximating weak solutions of an aggregation equation with degenerate diffusion is introduced. The numerical method consists of a stabilized finite element method together with a mass lumping technique and an extra…
We consider a non-linear, one-dimensional wave equation system with finite-dimensional stochastic driving terms and with weak dissipation. A stationary process that solves the system is used to model steady-state non-equilibrium heat flow…
We propose certain approach of solving two-dimensional non-stationary and stationary advection-diffusion-reaction boundary value problems through their reduction to the set of corresponding one-dimensional problems. This method leverages…
We study the Cauchy problem for Schr\"odinger type stochastic partial differential equations with uniformly bounded coefficients on a curved space. We give conditions on the coefficients, on the drift and diffusion terms, on the Cauchy…
We propose an efficient numerical strategy for simulating fluid flow through porous media with highly oscillatory characteristics. Specifically, we consider non-linear diffusion models. This scheme is based on the classical homogenization…
We consider the problem of approximation of the solution of the backward stochastic differential equation in the Markovian case. We suppose that the trend coefficient of the diffusion process depends on some unknown parameter and the…
We consider a generic and explicit tamed Euler--Maruyama scheme for multidimensional time-inhomogeneous stochastic differential equations with multiplicative Brownian noise. The diffusive coefficient is uniformly elliptic, H\"older…
We give a probabilistic numerical method for solving a partial differential equation with fractional diffusion and nonlinear drift. The probabilistic interpretation of this equation uses a system of particles driven by L\'evy alpha-stable…
This paper aims at developing a systematic study for the weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with very irregular drift and constant diffusion coefficients. We apply our method to…
We consider a nonlinear convex stochastic homogenization problem, in a stationary setting. In practice, the deterministic homogenized energy density can only be approximated by a random apparent energy density, obtained by solving the…
Recently, analytical solutions of a nonlinear Fokker-Planck equation describing anomalous diffusion with an external linear force were found using a non extensive thermostatistical Ansatz. We have extended these solutions to the case when…
In this paper Gaussian models of retarded and accelerated anomalous diffusion are considered. Stochastic differential equations of fractional order driven by single or multiple fractional Gaussian noise terms are introduced to describe…
This paper introduces a statistical treatment of inverse problems constrained by models with stochastic terms. The solution of the forward problem is given by a distribution represented numerically by an ensemble of simulations. The goal is…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
The standard wave function approach for the treatment of neutrino oscillations fails in situations where quantum ensembles at a finite temperature with or without an interacting background plasma are encountered. As a first step to treat…
Modern single-particle-tracking techniques produce extensive time-series of diffusive motion in a wide variety of systems, from single-molecule motion in living-cells to movement ecology. The quest is to decipher the physical mechanisms…
The stochastic motion in a nonhomogeneous medium with traps is studied and diffusion properties of that system are discussed. The particle is subjected to a stochastic stimulation obeying a general L\'evy stable statistics and experiences…
We propose a novel numerical approach for nonlocal diffusion equations [8] with integrable kernels, based on the relationship between the backward Kolmogorov equation and backward stochastic differential equations (BSDEs) driven by L\`{e}vy…
A multiscale analysis of 1D stochastic bistable reaction-diffusion equations with additive noise is carried out w.r.t. travelling waves within the variational approach to stochastic partial differential equations. It is shown with explicit…