相关论文: The Euler-Maruyama approximation for the absorptio…
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…
We build and study a recursive algorithm based on the occupation measure of an Euler scheme with decreasing step for the numerical approximation of the quasistationary distribution (QSD) of an elliptic diffusion in a bounded domain. We…
Diffusion models are a remarkably effective way of learning and sampling from a distribution $p(x)$. In posterior sampling, one is also given a measurement model $p(y \mid x)$ and a measurement $y$, and would like to sample from $p(x \mid…
We prove sharp estimates for the decay in time of solutions to a rather general class of non-local in time subdiffusion equations on a bounded domain subject to a homogeneous Dirichlet boundary condition. Important special cases are the…
We address an original approach for the convergence analysis of a finite-volume scheme for the approximation of a stochastic diffusion-convection equation with multiplicative noise in a bounded domain of $\mathbb{R}^d$ (with $d=2$ or $3$)…
There are several inequivalent proposals in the literature for how to compute the probability distribution of the time that a detector registers for the arrival of a quantum particle. For two of these proposals, based on absorbing boundary…
As a first step towards the numerical analysis of the stochastic primitive equations of the atmosphere and oceans, we study their time discretization by an implicit Euler scheme. From deterministic viewpoint the 3D Primitive Equations are…
We propose a formulation of an absorbing boundary for a quantum particle. The formulation is based on a Feynman-type integral over trajectories that are confined to the non-absorbing region. Trajectories that reach the absorbing wall are…
Sub-diffusion equations are used in a large range of applications including fluids, plasma physics and biology. Their mathematical analysis is advanced even if a much larger literature addresses super-diffusions. The goal of this paper is…
Starting from a continuous time random walk (CTRW) model of particles that may evanesce as they walk, our goal is to arrive at macroscopic integro-differential equations for the probability density for a particle to be found at point r at…
In this paper we analyze a method for approximating the first-passage time density and the corresponding distribution function for a CIR process. This approximation is obtained by truncating a series expansion involving the generalized…
This paper focuses on the numerical approximation of random lattice reversible Selkov systems. It establishes the existence of numerical invariant measures for random models with nonlinear noise, using the backward Euler-Maruyama (BEM)…
For stochastic differential equations (SDEs) with Markovian switching, whose drift and diffusion coefficients are allowed to contain superlinear terms, the backward Euler-Maruyama (BEM) method is proposed to approximate the invariant…
In this work a Feynman-Kac path integral method based on Levy measure has been proposed for solving the Cauchy problems associated with the space-time fractional Schroedinger equations arising in interacting systems in fractional quantum…
In this paper, we consider a class of stochastic differential equations driven by symmetric non-degenerate $\alpha$-stable processes (including cylindrical ones) with $\alpha \in (1,2)$. We first establish a quantitative estimate for the…
In this paper, we study the numerical approximation of a system of partial dif-ferential equations describing the corrosion of an iron based alloy in a nuclear waste repository. In particular, we are interested in the convergence of a…
Simulating from a gamma distribution with small shape parameter is a challenging problem. Towards an efficient method, we obtain a limiting distribution for a suitably normalized gamma distribution when the shape parameter tends to zero.…
We are interested in the kernel of one-dimensional diffusion equations with continuous coefficients as evaluated by means of explicit discretization schemes of uniform step $h>0$ in the limit as $h\to0$. We consider both semidiscrete…
In this paper, we analyse a proximal method based on the idea of forward-backward splitting for sampling from distributions with densities that are not necessarily smooth. In particular, we study the non-asymptotic properties of the…
This paper is concerned with high moment and pathwise error estimates for both velocity and pressure approximations of the Euler-Maruyama scheme for time discretization and its two fully discrete mixed finite element discretizations. The…