相关论文: Strong convergence of some drift implicit Euler sc…

We consider a class of stochastic path-dependent volatility models where the stochastic volatility, whose square follows the Cox-Ingersoll-Ross model, is multiplied by a (leverage) function of the spot price, its running maximum, and time.…

In this paper, we propose and analyze an adaptive time-stepping fully discrete scheme which possesses the optimal strong convergence order for the stochastic nonlinear Schr\"odinger equation with multiplicative noise. Based on the splitting…

Structure-preserving discretizations of the SIR model are presented by focusing on the hodograph transformation and the conditions for integrability for their discrete SIR models are given. For those integrable discrete SIR models, we…

Stiff ordinary differential equations (ODEs) are common in many science and engineering fields, but standard neural ODE approaches struggle to accurately learn these stiff systems, posing a significant barrier to widespread adoption of…

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 goal of this article is to establish a central limit theorem for the Euler-Maruyama scheme approximating multidimensional SDEs with elliptic Brownian diffusion, under very mild regularity requirements on the drift coefficients. When the…

We develop regularity theory for elliptic Kolmogorov operator with divergence-free drift in a large class (or, more generally, drift having singular divergence). A key step in our proofs is "Caccioppoli's iterations", used in addition to…

This article introduces and analyzes a new explicit, easily implementable, and full discrete accelerated exponential Euler-type approximation scheme for additive space-time white noise driven stochastic partial differential equations…

Robust and accurate fully implicit finite-volume schemes applied to Darcy-scale multiphase flow and transport in porous media are highly desirable. Recently, a smooth approximation of the saturation-dependent flux coefficients based on…

In this work we analyze the resort to high order exponential solvers for stiff ODEs in the context of cardiac electrophysiology modeling. The exponential Adams-Bashforth and the Rush-Larsen schemes will be considered up to order 4. These…

In this paper, we consider the averaging principle for a class of McKean-Vlasov stochastic differential equations with slow and fast time-scales. Under some proper assumptions on the coefficients, we first prove that the slow component…

We study strong approximation of $d$-dimensional stochastic differential equations (SDEs) with a discontinuous drift coefficient driven by a $d$-dimensional Brownian motion $W$. More precisely, we essentially assume that the drift…

In this paper, we demonstrate that the explicit ADER approach as it is used inter alia in [1] can be seen as a special interpretation of the deferred correction (DeC) method as introduced in [2]. By using this fact, we are able to embed…

A new class of explicit Milstein schemes, which approximate stochastic differential equations (SDEs) with superlinearly growing drift and diffusion coefficients, is proposed in this article. It is shown, under very mild conditions, that…

We give a new take on the error analysis of approximations of stochastic differential equations (SDEs), utilizing and developing the stochastic sewing lemma of L\^e (2020). This approach allows one to exploit regularization by noise effects…

The Semi-Implicit Root solver (SIR) is an iterative method for globally convergent solution of systems of nonlinear equations. Since publication, SIR has proven robustness for a great variety of problems. We here present MATLAB and MAPLE…

We propose a semidiscrete scheme for approximation of entropy solutions of one-dimensional scalar conservation laws with nonnegative initial data. The scheme is based on the concept of particle paths for conservation laws and can be…

We consider generalisations of the elliptic Calogero--Moser systems associated to complex crystallographic groups in accordance to [1]. In our previous work [2], we proposed these systems as candidates for Seiberg--Witten integrable systems…

We study the convergence rates of the semi-discrete (SD) method originally proposed in Halidias (2012), Semi-discrete approximations for stochastic differential equations and applications, International Journal of Computer Mathematics,…

In this paper, we investigate the convergence order in probability of a novel ergodic numerical scheme for damped stochastic nonlinear Schr\"{o}dinger equation with an additive noise. Theoretical analysis shows that our scheme is of order…