相关论文: Exponential integrability properties of Euler disc…
Entropy-conservative numerical flux functions can be used to construct high-order, entropy-stable discretizations of the Euler and Navier-Stokes equations. The purpose of this short communication is to present a novel family of such…
We consider time discretizations of the two-dimensional Euler equation written in vorticity form. The discretization method uses a Crouch-Grossman integrator that proceeds in two stages: first freezing the velocity vector field at the…
In this paper we develop a continuous-time sequential importance sampling (CIS) algorithm which eliminates time-discretisation errors and provides online unbiased estimation for continuous time Markov processes, in particular for…
We consider a generic and explicit tamed Euler--Maruyama scheme for multidimensional time-inhomogeneous stochastic differential equations with multiplicative Brownian noise. The diffusive coefficient is uniformly elliptic, H\"older…
In this work we develop an effective Monte Carlo method for estimating sensitivities, or gradients of expectations of sufficiently smooth functionals, of a reflected diffusion in a convex polyhedral domain with respect to its defining…
In this paper we present a novel inference methodology to perform Bayesian inference for spatiotemporal Cox processes where the intensity function depends on a multivariate Gaussian process. Dynamic Gaussian processes are introduced to…
In this work, we present a novel family of explicit relaxation Particle-in-Cell (ER-PIC) methods for the Vlasov-Poisson equation with a strong magnetic field. These schemes achieve exact energy conservation by combining a splitting…
The maximum entropy principle is a powerful tool for solving underdetermined inverse problems. This paper considers the problem of discretizing a continuous distribution, which arises in various applied fields. We obtain the approximating…
This work presents the design of nonlinear stabilization techniques for the finite element discretization of Euler equations in both steady and transient form. Implicit time integration is used in the case of the transient form. A…
We study the strong approximation of stochastic differential equations with discontinuous drift coefficients and (possibly) degenerate diffusion coefficients. To account for the discontinuity of the drift coefficient we construct an…
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 present a comprehensive long-time stability analysis of a second-order explicit exponential Runge--Kutta (ERK2) method for the Cahn--Hilliard (CH) equation. By employing Fourier spectral collocation in space and a…
We propose a change detection method for the famous Cox--Ingersoll--Ross model. This model is widely used in financial mathematics and therefore detecting a change in its parameters is of crucial importance. We develop one- and two-sided…
We propose a multi-step Richardson-Romberg extrapolation method for the computation of expectations $E f(X_{_T})$ of a diffusion $(X_t)_{t\in [0,T]}$ when the weak time discretization error induced by the Euler scheme admits an expansion at…
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…
The Euler scheme is one of the standard schemes to obtain numerical approximations of stochastic differential equations (SDEs). Its convergence properties are well-known in the case of globally Lipschitz continuous coefficients. However, in…
Typical fully conservative discretizations of the Euler compressible single or multi-component fluid equations governed by a real-fluid equation of state exhibit spurious pressure oscillations due to the nonlinearity of the thermodynamic…
The Lindblad equation is a widely used quantum master equation to model the dynamical evolution of open quantum systems whose states are described by density matrices. These solution matrices are characterized by semi-positiveness and trace…
We are interested in the strong convergence and almost sure stability of Euler-Maruyama (EM) type approximations to the solutions of stochastic differential equations (SDEs) with non-linear and non-Lipschitzian coefficients. Motivation…
Two semi-implicit Euler schemes for differential inclusions are proposed and analyzed in depth. An error analysis shows that both semi-implicit schemes inherit favorable stability properties from the differential inclusion. Their…