相关论文: Semi-implicit Euler--Maruyama scheme for polynomia…

Stochastic differential equations with noisy memory are often impossible to solve analytically. Therefore, we derive a numerical Euler-Maruyama scheme for such equations and prove that the mean-square error of this scheme is of order…

We give a probabilistic numerical method for solving a partial differential equation with fractional diffusion and nonlinear drift. The probabilistic interpretation of this equation uses a system of particles driven by L\'evy alpha-stable…

In this paper, we study the polynomial stability of analytical solution and convergence of the semi-implicit Euler method for non-linear stochastic pantograph differential equations. Firstly, the sufficient conditions for solutions to grow…

This manuscript is dedicated to the numerical approximation of super-linear slow-fast stochastic differential equations (SFSDEs). Borrowing the heterogeneous multiscale idea, we propose an explicit multiscale Euler-Maruyama scheme suitable…

This paper investigates quenching solutions of an one-dimensional, two-sided Riemann-Liouville fractional order convection-diffusion problem. Fractional order spatial derivatives are discretized using weighted averaging approximations in…

This paper investigates a numerical probabilistic method for the solution of some semilinear stochastic partial differential equations (SPDEs in short). The numerical scheme is based on discrete time approximation for solutions of systems…

This paper is concerned with the numerical approximation of stochastic mechanical systems with nonlinear holonomic constraints. Such systems are described by second order stochastic differential-algebraic equations involving an implicitly…

In this paper we investigate a sub-diffusion equation for simulating the anomalous diffusion phenomenon in real physical environment. Based on an equivalent transformation of the original sub-diffusion equation followed by the use of a…

In this paper, we derive error estimates of the backward Euler-Maruyama method applied to multi-valued stochastic differential equations. An important example of such an equation is a stochastic gradient flow whose associated potential is…

We provide a numerical algorithm for the model characterizing anomalous diffusion in expanding media, which is derived in [F. Le Vot, E. Abad, and S. B. Yuste, Phys. Rev. E {\bf96} (2017) 032117]. The Sobolev regularity for the equation is…

In this paper, we develop an efficient numerical solver for unsteady diffusion-type partial differential equations with random coefficients. A major computational challenge in such problems lies in repeatedly handling large-scale linear…

In this paper, we extend the logarithmic Euler-Maruyama scheme for stochastic delay differential equation in one dimension to the part where we propose a scheme for a system of stochastic delay differential equations. We then show that the…

Most existing literature focuses on pointwise convergence (i.e., convergence at a fixed time point) of numerical solutions for Stochastic functional differential equations (SFDEs). In contrast, this paper investigates the strong segment…

We consider the approximation of stochastic differential equations (SDEs) with non-Lipschitz drift or diffusion coefficients. We present a modified explicit Euler-Maruyama discretisation scheme that allows us to prove strong convergence,…

In this paper, we provide the strong rate of convergence for the Euler--Maruyama scheme for multi-dimensional stochastic differential equations with uniformly locally (unbounded) H\"older continuous drift and multiplicative noise. Our…

A finite difference numerical method is investigated for fractional order diffusion problems in one space dimension. For this, a mathematical model is developed to incorporate homogeneous Dirichlet and Neumann type boundary conditions. The…

Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler-Maruyama approximation method…

In this paper, we study the convergence of the Euler-Maruyama numerical solutions for pantograph stochastic functional differential equations which was proposed in [11]. We also show that the numerical solutions have the properties of…

We are interested in the Euler-Maruyama discretization of a stochastic differential equation in dimension $d$ with constant diffusion coefficient and bounded measurable drift coefficient. In the scheme, a randomization of the time variable…

We consider one-step methods for integrating stochastic differential equations and prove pathwise convergence using ideas from rough path theory. In contrast to alternative theories of pathwise convergence, no knowledge is required of…