相关论文: A stochastic invariantization method for It\^o sto…
We consider strong convergence of the finite differences approximation in space for stochastic reaction diffusion equations with multiplicative noise under a one-sided Lipschitz condition only. We derive convergence with an implicit rate…
In this note, we present a new numerical method for solving backward stochastic differential equations. Our method can be viewed as an analogue of the classical finite element method solving deterministic partial differential equations.
The Landau--Lifshitz--Baryakhtar (LLBar) equation perturbed by both additive and multiplicative noises is a system of fourth order stochastic PDEs which models the evolution of magnetic spin fields in ferromagnetic materials at elevated…
We explore Ito stochastic differential equations where the drift term possibly depends on the infinite past. Assuming the existence of a Lyapunov function, we prove the existence of a stationary solution assuming only minimal continuity of…
In this note we provide conditions for local invariance of finite dimensional submanifolds for solutions to stochastic partial differential equations (SPDEs) in the framework of the variational approach. For this purpose, we provide a…
Covariance of the resulting probabilities requires the "anti-Ito" sense. The corresponding Fokker-Planck equation is simplified and preserves important features of the case with a constant diffusion. Multiplicative noise can always be…
Basing on our results [1] on a representation of solutions to the Cauchy problem for multidimensional non-viscous Burgers equation obtained by a method of stochastic perturbation of the associated Langevin system, we deduce an explicit…
We study the treatment of the constraints in stochastic quantization method. We improve the treatment of the stochastic consistency condition proposed by Namiki et al. by suitably taking account of the Ito calculus. Then we obtain an…
The It\^o formula, also known as the change-of-variables formula, is a cornerstone of It\^o stochastic calculus. Over time, this formula has been extended to apply to random processes for which classical calculus is insufficient. Since…
In this paper, we propose and implement a structure-preserving stochastic particle method for the Landau equation. The method is based on a particle system for the Landau equation, where pairwise grazing collisions are modeled as diffusion…
A numerical approach for the approximation of inertial manifolds of stochastic evolutionary equations with multiplicative noise is presented and illustrated. After splitting the stochastic evolutionary equations into a backward and a…
We consider the Cauchy problem for a linear stochastic partial differential equation. By extending the parametrix method for PDEs whose coefficients are only measurable with respect to the time variable, we prove existence, regularity in…
In this paper, we present a finite difference heterogeneous multiscale method for the Landau-Lifshitz equation with a highly oscillatory diffusion coefficient. The approach combines a higher order discretization and artificial damping in…
We obtain global and local theorems on the existence of invariant manifolds for perturbations of non autonomous linear differential equations assuming a very general form of dichotomic behavior for the linear equation. Besides some new…
We show that the standard Lanczos algorithm can be efficiently implemented statistically and self consistently improved, using the stochastic reconfigurat ion method, which has been recently introduced to stabilize the Monte Carlo sign…
We study the mechanism of stochastic resonance in a two dimensional Landau Ginzburg equation perturbed by a white noise. We shortly review how to renormalize the equation in order to avoid ultraviolet divergences. Next we show that the…
We use a modification of the parameterization method to study invariant manifolds for difference equations. We establish existence, regularity, smooth dependence on parameters and study several singular limits, even if the difference…
This paper deals with the existence and limiting behavior of invariant measures of the stochastic Landau-Lifshitz-Bloch equation driven by linear multiplicative noise and additive noise defined in the entire space $\mathbb{R}^d$ for…
The definition and manipulation of Langevin equations with multiplicative white noise require special care (one has to specify the time discretisation and a stochastic chain rule has to be used to perform changes of variables). While…
This paper investigates the two-dimensional stochastic steady-state Navier-Stokes(NS) equations with additive random noise. We introduce an innovative splitting method that decomposes the stochastic NS equations into a deterministic NS…