相关论文: Favard separation method for almost periodic stoch…
A new method that enables easy and convenient discretization of partial differential equations with derivatives of arbitrary real order (so-called fractional derivatives) and delays is presented and illustrated on numerical solution of…
Stochastic-periodic homogenization is studied for the Maxwell equations with nonlinear and periodic electric conductivity. It is shown by the stochastic-two-scale convergence method that the sequence of solutions of a class of highly…
We consider a method for the approximation of iterated stochastic integrals of arbitrary multiplicity $k$ $(k\in \mathbb{N})$ with respect to the infinite-dimensional $Q$-Wiener process using the mean-square approximation method of iterated…
We present a systematic method to derive an ordinary differential equation for any Feynman integral, where the differentiation is with respect to an external variable. The resulting differential equation is of Fuchsian type. The method can…
We present a method that allows to distinguish between nearly periodic and strictly periodic time series. To this purpose, we employ a conservative criterion for periodicity, namely that the time series can be interpolated by a periodic…
We report a new analytical method for exact solution of homogeneous linear ordinary differential equations with arbitrary order and variable coefficients. The method is based on the definition of jump transfer matrices and their extension…
We study asymptotic error distributions associated with standard approximation scheme for one-dimensional stochastic differential equations driven by fractional Brownian motions. This problem was studied by, for instance, Gradinaru-Nourdin…
In this article, a nonlinear fractional Cable equation is solved by a two-grid algorithm combined with finite element (FE) method. A temporal second-order fully discrete two-grid FE scheme, in which the spatial direction is approximated by…
In this work, an efficient approximation scheme has been proposed for getting accurate approximate solution of nonlinear partial differential equations with constant or variable coefficients satisfying initial conditions in a series of…
We present a Bayesian non-parametric way of inferring stochastic differential equations for both regression tasks and continuous-time dynamical modelling. The work has high emphasis on the stochastic part of the differential equation, also…
In this note, two numerical methods of solving fractional differential equations (FDEs) are briefly described, namely predictor-corrector approach of Adams-Bashforth-Moulton type and multi-step generalized differential transform method…
We propose certain approach of solving two-dimensional non-stationary and stationary advection-diffusion-reaction boundary value problems through their reduction to the set of corresponding one-dimensional problems. This method leverages…
This paper presents a novel approach to numerically solve stochastic differential games for nonlinear systems. The proposed approach relies on the nonlinear Feynman-Kac theorem that establishes a connection between parabolic deterministic…
The selective frequency damping (SFD) method is an alternative to classical Newton's method to obtain unstable steady-state solutions of dynamical systems. However this method has two main limitations: it does not converge for arbitrary…
In this paper, we derive a parabolic partial differential equation for the expected exit time of non-autonomous time-periodic non-degenerate stochastic differential equations. This establishes a Feynman-Kac duality between expected exit…
An adaptive finite difference scheme for variable-order fractional-time subdiffusion equations in the Caputo form is studied. The fractional time derivative is discretized by the L1 procedure but using nonhomogeneous timesteps. The size of…
This paper provides a probabilistic approach to solve linear equations involving Caputo and Riemann-Liouville type derivatives. Using the probabilistic interpretation of these operators as the generators of interrupted Feller processes, we…
This paper establishes an existence theory for distributed periodic solutions to Newton's equation with stochastic time-periodic forcing, where the friction matrix is the Hessian of a twice continuously differentiable friction function.…
We present a new numerical tool to solve partial differential equations involving Caputo derivatives of fractional variable order. Three Caputo-type fractional operators are considered, and for each one of them an approximation formula is…
Increasingly larger data sets of processes in space and time ask for statistical models and methods that can cope with such data. We show that the solution of a stochastic advection-diffusion partial differential equation provides a…