相关论文: Efficient strong integrators for linear stochastic…

A higher-order numerical method is presented for scalar valued, coupled forward-backward stochastic differential equations. Unlike most classical references, the forward component is not only discretized by an Euler-Maruyama approximation…

In this paper, we study the problem of computing the effective diffusivity for particles moving in chaotic flows. Instead of solving a convection-diffusion type cell problem in the Eulerian formulation (arising from homogenization theory…

The strong numerical approximation of semilinear stochastic partial differential equations (SPDEs) driven by infinite dimensional Wiener processes is investigated. There are a number of results in the literature that show that Euler-type…

This paper focuses on the construction and analysis of explicit numerical methods of high dimensional stochastic nonlinear Schrodinger equations (SNLSEs). We first prove that the classical explicit numerical methods are unstable and suffer…

The need to calibrate increasingly complex statistical models requires a persistent effort for further advances on available, computationally intensive Monte Carlo methods. We study here an advanced version of familiar Markov Chain Monte…

The article is devoted to the systematic derivation of new representations of the Hu-Meyer formulas. The formula expressing a multiple Wiener stochastic integral through the sum of multiple Stratonovich stochastic integrals and the formula…

We develop a new approach for solving stochastic quantum master equations with mixed initial states. First, we obtain that the solution of the jump-diffusion stochastic master equation is represented by a mixture of pure states satisfying a…

We discuss two methods of an exact stochastic representation of the non-Markovian quantum dynamics of open systems. The first method employs a pair of stochastic product vectors in the total system's state space, while the second method…

This paper presents a new strategy to deal with the excessive diffusion that standard finite volume methods for compressible Euler equations display in the limit of low Mach number. The strategy can be understood as using centered…

For linear and fully non-linear diffusion equations of Bellman-Isaacs type, we introduce a class of approximation schemes based on differencing and interpolation. As opposed to classical numerical methods, these schemes work for general…

We introduce a class of adaptive timestepping strategies for stochastic differential equations with non-Lipschitz drift coefficients. These strategies work by controlling potential unbounded growth in solutions of a numerical scheme due to…

In this paper we consider the nonparametric functional estimation of the drift of Gaussian processes using Paley-Wiener and Karhunen-Lo\`eve expansions. We construct efficient estimators for the drift of such processes, and prove their…

The simulation of systems that act on multiple time scales is challenging. A stable integration of the fast dynamics requires a highly accurate approximation whereas for the simulation of the slow part, a coarser approximation is accurate…

The developments over the last five decades concerning numerical discretisations of the incompressible Navier--Stokes equations have lead to reliable tools for their approximation: those include stable methods to properly address the…

This article considers stochastic algorithms for efficiently solving a class of large scale non-linear least squares (NLS) problems which frequently arise in applications. We propose eight variants of a practical randomized algorithm where…

We consider a stochastic Camassa-Holm equation driven by a one-dimensional Wiener process with a first order differential operator as diffusion coefficient. We prove the existence and uniqueness of local strong solutions of this equation.…

This paper deals with the numerical integration of Hamiltonian systems in which a stiff anharmonic potential causes highly oscillatory solution behavior with solution-dependent frequencies. The impulse method, which uses micro- and…

The aim of this note is to propose a novel numerical scheme for drift-less one dimensional stochastic differential equations of It\^o's type driven by standard Brownian motion. Our approximation method is equivalent to the well known…

We consider a class of stochastic optimal control problems for discrete-time stochastic linear systems which seek for control policies that will steer the probability distribution of the terminal state of the system close to a desired…

This work aims to control the dynamics of certain non-Newtonian fluids in a bounded domain of $\mathbb{R}^d$, $d=2,3$ perturbed by a multiplicative Wiener noise, the control acts as a predictable distributed random force, and the goal is to…