相关论文: Convergence of tamed Euler schemes for a class of …

As a well-known fact, the classical Euler scheme works merely for SDEs with coefficients of linear growth. In this paper, we study a general framework of modified Euler schemes, which is applicable to SDEs with super-linear drifts and…

We discrete the ergodic semilinear stochastic partial differential equations in space dimension $d \leq 3$ with additive noise, spatially by a spectral Galerkin method and temporally by an exponential Euler scheme. It is shown that both the…

In this paper we introduce a randomized version of the backward Euler method, that is applicable to stiff ordinary differential equations and nonlinear evolution equations with time-irregular coefficients. In the finite-dimensional case, we…

We address a class of schemes for the Euler equations with the following features: the space discretization is staggered, possible upwinding is performed with respect to the material velocity only and the internal energy balance is solved,…

We consider semilinear evolution equations for which the linear part is normal and generates a strongly continuous semigroup and the nonlinear part is sufficiently smooth on a scale of Hilbert spaces. We approximate their semiflow by an…

In this article we show that for SDEs with a drift coefficient that is non-locally integrable, one may define a tamed Euler scheme that converges in $L^p$ at rate $1/2$ to the true solution. The taming is required in this case since one…

The strong convergence of Euler approximations of stochastic delay differential equations is proved under general conditions. The assumptions on drift and diffusion coefficients have been relaxed to include polynomial growth and only…

We present strongly convergent explicit and semi-implicit adaptive numerical schemes for systems of stiff stochastic differential equations (SDEs) where both the drift and diffusion are non-globally Lipschitz continuous. This stiffness may…

Optimal Dirichlet boundary control for a fractional/normal evolution with a final observation is considered. The unique existence of the solution and the first-order optimality condition of the optimal control problem are derived. The…

A new class of explicit Euler 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 these…

As the main contribution, this document provides a consistent discretization of a class of fixed-time stable systems, namely predefined-time stable systems. In the unperturbed case, the proposed approach allows obtaining not only a…

This paper is concerned with the numerical approximation of stochastic mechanical systems with nonlinear holonomic constraints. Such systems are described by second order stochastic differential-algebraic equations involving an implicitly…

We investigate the geometric structure of adjoint systems associated with evolutionary partial differential equations at the fully continuous, semi-discrete, and fully discrete levels and the relations between these levels. We show that the…

We propose and analyse numerical schemes for a system of quasilinear, degenerate evolution equations modelling biofilm growth as well as other processes such as flow through porous media and the spreading of wildfires. The first equation in…

We consider the long-time behavior of an explicit tamed exponential Euler scheme applied to a class of parabolic semilinear stochastic partial differential equations driven by additive noise, under a one-sided Lipschitz continuity…

We consider the problem of the discrete-time approximation of the solution of a one-dimensional SDE with piecewise locally Lipschitz drift and continuous diffusion coefficients with polynomial growth. In this paper, we study the strong…

We study the convergence of a generic tamed Euler-Maruyama (EM) scheme for the kinetic type stochastic differential equations (SDEs) (also known as second order SDEs) with singular coefficients in both weak and strong probabilistic senses.…

We extend the taming techniques for explicit Euler approximations of stochastic differential equations (SDEs) driven by L\'evy noise with super-linearly growing drift coefficients. Strong convergence results are presented for the case of…

This work focuses on the numerical approximations of neutral stochastic delay differential equations with their drift and diffusion coefficients growing super-linearly with respect to both delay variables and state variables. Under…

In this paper, we investigate the convergence of the tamed Euler-Maruyama (EM) scheme for a class of neutral stochastic differential delay equations. The strong convergence results of the tamed EM scheme are presented under global and local…