相关论文: Stopped diffusion processes: boundary corrections …

We obtain non asymptotic bounds for the Monte Carlo algorithm associated to the Euler discretization of some diffusion processes. The key tool is the Gaussian concentration satisfied by the density of the discretization scheme. This…

We consider the task of generating discrete-time realisations of a nonlinear multivariate diffusion process satisfying an It\^o stochastic differential equation conditional on an observation taken at a fixed future time-point. Such…

In this paper, we consider steady Euler flows in two-dimensional bounded annuli, as well as in exterior circular domains, in punctured disks and in the punctured plane. We always assume rigid wall boundary conditions. We prove that, if the…

We study the exit-time from a domain of a self-interacting diffusion, where the Brownian motion is replaced by $\sigma B_t$ for a constant $\sigma$. The first part of this work consists in showing that the rate of convergence (of the…

The 2D Euler equations are a simple but rich set of non-linear PDEs that describe the evolution of an ideal inviscid fluid, for which one dimension is negligible. Solving numerically these equations can be extremely demanding. Several…

In this work, we present numerical analysis for a distributed optimal control problem, with box constraint on the control, governed by a subdiffusion equation which involves a fractional derivative of order $\alpha\in(0,1)$ in time. The…

For a stochastic differential equation(SDE) driven by a fractional Brownian motion(fBm) with Hurst parameter $H>\frac{1}{2}$, it is known that the existing (naive) Euler scheme has the rate of convergence $n^{1-2H}$. Since the limit…

Turbulent mixing and entrainment at the boundary of a cloud is studied by means of direct numerical simulations that couple the Eulerian description of the turbulent velocity and water vapor fields with a Lagrangian ensemble of cloud water…

We consider the long-time behavior of a diffusion process on $\mathbb{R}^d$ advected by a stationary random vector field which is assumed to be divergence-free, dihedrally symmetric in law and have a log-correlated potential. A special case…

Denoising Diffusion Probabilistic Models (DDPMs) have achieved impressive performance on various generation tasks. By modeling the reverse process of gradually diffusing the data distribution into a Gaussian distribution, generating a…

An implicit Euler finite-volume scheme for a spinorial matrix drift-diffusion model for semiconductors is analyzed. The model consists of strongly coupled parabolic equations for the electron density matrix or, alternatively, of weakly…

The present study deals with the numerical as well as asymptotic analysis of the electrohydrodynamic interaction between two deformable droplets in a confined shear flow. Considering both the phases as leaky dielectric, we have performed…

In this work, we focus on the behavior of a single passive Brownian particle in a suspension of passive particles with short-range repulsive interactions and a larger self-diffusion coefficient. While the forces affecting the…

We consider in this work the convergence of a split-step Euler type scheme (SSM) for the numerical simulation of interacting particle Stochastic Differential Equation (SDE) systems and McKean-Vlasov Stochastic Differential Equations…

We investigate the diffusive motion of an overdamped classical particle in a 1D random potential using the mean first-passage time formalism and demonstrate the efficiency of this method in the investigation of the large-time dynamics of…

We perform numerical studies of a thermally driven, overdamped particle in a random quenched force field, known as the Sinai model. We compare the unbounded motion on an infinite 1-dimensional domain to the motion in bounded domains with…

We address here the discretization of the momentum convection operator for fluid flow simulations on 2D triangular and quadrangular meshes and 3D polyhedral meshes containing hexahedra, tetrahedra, prisms and pyramids. The finite volume…

We consider linear iterative schemes for the time-discrete equations stemming from a class of nonlinear, doubly-degenerate parabolic equations. More precisely, the diffusion is nonlinear and may vanish or become multivalued for certain…

Let $X=(X_t)_{t\ge0}$ be a transient diffusion process in $(0,\infty)$ with the diffusion coefficient $\sigma>0$ and the scale function $L$ such that $X_t\rightarrow\infty$ as $t\rightarrow \infty$, let $I_t$ denote its running minimum for…

This work is devoted to examining qualitative properties of dynamic systems, in particular, limit cycles of stochastic differential equations with both rapid switching and small diffusion. The systems are featured by multi-scale…