相关论文: Strong convergence of a positive preserving drift-…
The ability of $\theta$-Milstein methods with $\theta\ge 1$ to capture the non-negativity and the mean-reversion property of the exact solution of the CIR model is shown. In addition, the order of convergence and the preservation of the…
In this paper we continue the work on implicit-explicit (IMEX) time discretizations for the incompressible Oseen equations that we started in \cite{BGG23} (E. Burman, D. Garg, J. Guzm\`an, {\emph{Implicit-explicit time discretization for…
In this paper, we consider scalar stochastic differential equations (SDEs) with a superlinearly growing and piecewise continuous drift coefficient. Existence and uniqueness of strong solutions of such SDEs are obtained. Furthermore, the…
We investigate the long-time asymptotic behavior of various entropy measures associated with the Cox-Ingersoll-Ross (CIR) and squared Bessel processes. As the one-dimensional distributions of both processes follow noncentral chi-squared…
We propose Coadjoint Orbit FLIP (CO-FLIP), a high order accurate, structure preserving fluid simulation method in the hybrid Eulerian-Lagrangian framework. We start with a Hamiltonian formulation of the incompressible Euler Equations, and…
A fast convergence in a fixed-time of solutions of nonlinear dynamical systems, for which special requirements are satisfied on the derivative of a quadratic function calculated along the solutions of the system, is proposed. The conditions…
The stochastic logistic model with regime switching is an important model in the ecosystem. While analytic solution to this model is positive, current numerical methods are unable to preserve such boundaries in the approximation. So,…
Implicit schemes have been extensively used in building physics to compute the solution of moisture diffusion problems in porous materials for improving stability conditions. Nevertheless, these schemes require important sub-iterations when…
The indirect approach to continuous-time system identification consists in estimating continuous-time models by first determining an appropriate discrete-time model. For a zero-order hold sampling mechanism, this approach usually leads to a…
Using the technique of moving domains, and classical direct stochastic calculus, we construct the Cox-Ingersoll-Ross process, as well as its square root, with additional skew reflection on a deterministic time dependent curve.
We consider a non-linear extension of Biot's model for poromechanics, wherein both the fluid flow and mechanical deformation are allowed to be non-linear. We perform an implicit discretization in time (backward Euler) and propose two…
In this paper, a centred universal high-order finite volume method for solving hyperbolic balance laws is presented. The scheme belongs to the family of ADER methods where the Generalized Riemann Problems (GRP) is a building block. The…
This paper is concerned with strong convergence of a tamed $\theta$-Euler-Maruyama scheme for neutral stochastic differential delay equations with superlinearly growing coefficients. We not only prove the strong convergence of implicit…
While the asymptotic stability of positive linear systems in the presence of bounded time delays has been thoroughly investigated, the theory for nonlinear positive systems is considerably less well-developed. This paper presents a set of…
We derive an implicit-explicit (IMEX), realizability-preserving first-order scheme for moment models with Lipschitz-continuous source terms. In contrast to fully-explicit schemes the time step does not depend on the physical parameters,…
We propose and analyze a variation of the Euler scheme for state constrained ordinary differential inclusions under weak assumptions on the right-hand side and the state constraints. Convergence results are given for the space-continuous…
Strong convergence results on tamed Euler schemes, which approximate stochastic differential equations with superlinearly growing drift coefficients that are locally one-sided Lipschitz continuous, are presented in this article. The…
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 consider a one-dimensional Cox-Ingersoll-Ross (CIR) process whose drift coefficient depends on unknown parameters. Considering the process discretely observed at high frequency, we prove the local asymptotic normality…
Semi-implicit spectral deferred correction (SDC) methods provide a systematic approach to construct time integration methods of arbitrarily high order for nonlinear evolution equations including conservation laws. They converge towards $A$-…