相关论文: Stochastic Lie group integrators
Stochastic symmetries and related invariance properties of finite dimensional SDEs driven by general c\`adl\`ag semimartingales taking values in Lie groups are defined and investigated. In order to enlarge the class of possible symmetries…
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…
In this paper, the original discrete unified gas kinetic scheme (DUGKS) is extended to arbitrary Lagrangian-Eulerian (ALE) framework for simulating the low-speed continuum and rarefied flows with moving boundaries. For ALE method, the mesh…
Higher order schemes for stochastic partial differential equations that do not possess commutative noise require the simulation of iterated stochastic integrals. In this work, we propose a derivative-free Milstein type scheme to approximate…
We seek exact solutions to the Einstein field equations which arise when two spacetime geometries are conformally related. Whilst this is a simple method to generate new solutions to the field equations, very few such examples have been…
Descriptions of complex physical or biological systems often include stochastic contributions, and these are commonly simulated using Wiener processes. In many cases however, non-Gaussian fluctuations may originate from non-Wiener processes…
We propose an unbiased Monte-Carlo estimator for $\mathbb{E}[g(X_{t_1}, \cdots, X_{t_n})]$, where $X$ is a diffusion process defined by a multi-dimensional stochastic differential equation (SDE). The main idea is to start instead from a…
A Lie-Hamilton system is a nonautonomous system of first-order ordinary differential equations describing the integral curves of a $t$-dependent vector field taking values in a finite-dimensional Lie algebra, a Vessiot-Guldberg Lie algebra,…
The Fokker-Planck equations (FPEs) for stochastic systems driven by additive symmetric $\alpha$-stable noises may not adequately describe the time evolution for the probability densities of solution paths in some practical applications,…
In this work, weakly corrected explicit, semi-implicit and implicit Milstein approximations are presented for the solution of nonlinear stochastic differential equations. The solution trajectories provided by the Milstein schemes are…
The notion of periodic two-scale convergence and the method of periodic unfolding are prominent and useful tools in multiscale modeling and analysis of PDEs with rapidly oscillating periodic coefficients. In this paper we are interested in…
We show how Langevin diffusions can be interpreted in the context of stochastic Hamiltonian systems with structure-preserving noise and dissipation on reductive Lie groups. Reductive Lie groups provide the setting in which the Lie group…
We carry out the group classification of the class of two-dimensional shallow water equations with variable bottom topography using an optimized version of the method of furcate splitting. The equivalence group of this class is found by the…
A deterministic-stochastic coupling scheme is developed for simulating rarefied gas flows, where the key process is the alternative solving of the macroscopic synthetic equations [Su et al., J. Comput. Phys., 407 (2020) 109245] and the…
In biochemical systems some of the chemical species are present with only small numbers of molecules. In this situation discrete and stochastic simulation approaches are more relevant than continuous and deterministic ones. The fundamental…
Differential equations arising in fluid mechanics are usually derived from the intrinsic properties of mechanical systems, in the form of conservation laws, and bear symmetries, which are not generally preserved by a finite difference…
Stochastic optimization methods have been hugely successful in making large-scale optimization problems feasible when computing the full gradient is computationally prohibitive. Using the theory of modified equations for numerical…
Discrete unified gas-kinetic scheme (DUGKS) is a multi-scale numerical method for flows from continuum limit to free molecular limit, and is especially suitable for the simulation of multi-scale flows, benefiting from its multi-scale…
The expansion of a stochastic Liouville equation for the coupled evolution of a quantum system and an Ornstein-Uhlenbeck process into a hierarchy of coupled differential equations is a useful technique that simplifies the simulation of…
We discuss the Poisson structures on Lie groups and propose an explicit construction of the integrable models on their appropriate Poisson submanifolds. The integrals of motion for the SL(N)-series are computed in cluster variables via the…