相关论文: Strong convergence of a positive preserving drift-…

We develop a general framework for numerically solving differential equations while preserving invariants. As in standard projection methods, we project an arbitrary base integrator onto an invariant-preserving manifold, however, our method…

Iterative Fast Fourier Transform methods are useful for calculating the fields in composite materials and their macroscopic response. By iterating back and forth until convergence, the differential constraints are satisfied in Fourier…

The present paper investigates Cox-Ingersoll-Ross (CIR) processes of dimension less than 1, with a focus on obtaining an equation of a new type including local times for the square root of the CIR process. We utilize the fact that…

Recently, Giles et al. [14] proved that the efficiency of the Multilevel Monte Carlo (MLMC) method for evaluating Down-and-Out barrier options for a diffusion process $(X_t)_{t\in[0,T]}$ with globally Lipschitz coefficients, can be improved…

We are interested in the time discretization of stochastic differential equations with additive d-dimensional Brownian noise and L q -- L $\rho$ drift coefficient when the condition d $\rho$ + 2 q < 1, under which Krylov and R{\"o}ckner…

This paper presents stability and accuracy analysis of a high-order explicit time stepping scheme introduced by \cite[Section 2.2]{Buvoli2019}, which exhibits superior stability compared to classical Adams-Bashforth. A conjecture that is…

This paper introduces a continuous-time constrained nonlinear control scheme which implements a model predictive control strategy as a continuous-time dynamic system. The approach is based on the idea that the solution of the optimal…

This paper is concerned with traveling waves to an diffusive SIR model with delay placed in the diffusion terms as well as nonlinear incidence rate with delay. Using a cross iteration scheme and partial monotone conditions it will be shown…

We consider a stochastic differential equation of the form $dr_t = (a - b r_t) dt + \sigma\sqrt{r_t}dW_t$, where $a$, $b$ and $\sigma$ are positive constants. The solution corresponds to the Cox-Ingersoll-Ross process. We study the…

We study the Euler scheme for a stochastic differential equation driven by a Levy process Y. More precisely, we look at the asymptotic behavior of the normalized error process u_n(X^n-X), where X is the true solution and X^n is its Euler…

The Heston stochastic-local volatility model, consisting of a asset price process and a Cox--Ingersoll--Ross-type variance process, offers a wide range of applications in the financial industry. The pursuit for efficient model evaluation…

The implicit compact finite-difference scheme was developed for evolutionary partial differential parabolic and Schr\"odinger-type equations and systems with a weak nonlinearity. To make a temporal step of the compact implicit scheme we…

This paper considers a two-step fourth-order modified explicit Euler/Crank-Nicolson numerical method for solving the time-variable fractional mobile-immobile advection-dispersion model subjects to suitable initial and boundary conditions.…

In this paper, we consider a stochastic model based on the Cox- Ingersoll- Ross model (CIR). The stochastic model is parameterized analytically by applying It\^o's calculus and the trend functions of the proposed process is calculated. The…

We discuss a path toward the generalisation of the nested soft-collinear subtraction scheme to arbitrary $2\rightarrow n$ processes. The scheme is designed to provide an efficient and process-independent procedure to extract and regulate…

In this paper, we extend the implicit-explicit (IMEX) methods of Peer type recently developed in [Lang, Hundsdorfer, J. Comp. Phys., 337:203--215, 2017] to a broader class of two-step methods that allow the construction of super-convergent…

This paper is concerned with the convergence rate of policy iteration for (deterministic) optimal control problems in continuous time. To overcome the problem of ill-posedness due to lack of regularity, we consider a semi-discrete scheme by…

This paper is concerned with the theory, construction and application of implicit Peer two-step methods that are super-convergent for variable stepsizes, i.e., preserve their classical order achieved for uniform stepsizes when applied to…

Explicit stabilized methods are an efficient alternative to implicit schemes for the time integration of stiff systems of differential equations in large dimension. In this paper, we derive explicit stabilized integrators of orders one and…

The entropy conservative/stable algorithm of Friedrich~\etal (2018) for hyperbolic conservation laws on nonconforming p-refined/coarsened Cartesian grids, is extended to curvilinear grids for the compressible Euler equations. The primary…