相关论文: Quantization-based approximation of reflected BSDE…

In this paper we present two numerical schemes of approximating solutions of backward doubly stochastic differential equations (BDSDEs for short). We give a method to discretize a BDSDE. And we also give the proof of the convergence of…

This paper studies a system of multi-dimensional reflected backward stochastic differential equations with oblique reflections (RBSDEs for short) in infinite horizon associated to switching problems. The existence and uniqueness of the…

We study reflected solutions of one-dimensional backward doubly stochastic differential equations (BDSDEs in short). The "reflected" keeps the solution above a given stochastic process. We get the uniqueness and existence by penalization.…

In this article we study the existence and the uniqueness of a solution for reflected backward stochastic differential equations in the case when the generator is logarithmic growth in the $z$-variable $(|z|\sqrt{|\ln(|z|)|})$, the terminal…

We introduce a new $hp$-adaptive strategy for self-adjoint elliptic boundary value problems that does not rely on using classical a posteriori error estimators. Instead, our approach is based on a generally applicable prediction strategy…

We introduce a novel spatial discretization technique for the reliable and efficient simulation of magnetization dynamics governed by the Landau-Lifshitz (LL) equation. The overall discretization error is systematically decomposed into…

In this paper we the formulation of inverse problems as constrained minimization problems and their iterative solution by gradient or Newton type. We carry out a convergence analysis in the sense of regularization methods and discuss…

We deduce conditional $L_p$-estimates for the variation of a solution of a BSDE. Both quadratic and sub-quadratic types of BSDEs are considered, and using the theory of weighted bounded mean oscillation we deduce new tail estimates for the…

This paper introduces a discretization-accurate stopping criterion of symmetric iterative methods for solving systems of algebraic equations resulting from the finite element approximation. The stopping criterion consists of the evaluations…

In this paper, we deal with Reflected Backward Stochastic Differential Equations for which the constraint is not on the paths of the solution but on its law as introduced by Briand, Elie and Hu in [3]. We extend the recent work [2] of…

Partial differential equation (PDE) models with multiple temporal/spatial scales are prevalent in several disciplines such as physics, engineering, and many others. These models are of great practical importance but notoriously difficult to…

This work is concerned with the development of a space-time adaptive numerical method, based on a rigorous a posteriori error bound, for a semilinear convection-diffusion problem which may exhibit blow-up in finite time. More specifically,…

We propose a new numerical method for one dimensional stochastic differential equations (SDEs). The main idea of this method is based on a representation of a weak solution of a SDE with a time changed Brownian motion, dated back to Doeblin…

An implicit Euler finite-volume scheme for general cross-diffusion systems with volume-filling constraints is proposed and analyzed. The diffusion matrix may be nonsymmetric and not positive semidefinite, but the diffusion system is assumed…

Bayesian solution of an inverse problem for indirect measurement $M = AU + {\mathcal{E}}$ is considered, where $U$ is a function on a domain of $R^d$. Here $A$ is a smoothing linear operator and $ {\mathcal{E}}$ is Gaussian white noise. The…

We consider parameter estimation of ordinary differential equation (ODE) models from noisy observations. For this problem, one conventional approach is to fit numerical solutions (e.g., Euler, Runge--Kutta) of ODEs to data. However, such a…

The Allen-Cahn equation (ACE) inherently possesses two crucial properties: the maximum principle and the energy dissipation law. Preserving these two properties at the discrete level is also necessary in the numerical methods for the ACE.…

Since it is difficult to implement implicit schemes on the infinite-dimensional space, we aim to develop the explicit numerical method for approximating super-linear stochastic functional differential equations (SFDEs). Precisely, borrowing…

We consider the discretization in time of a system of parabolic stochastic partial differential equations with slow and fast components; the fast equation is driven by an additive space-time white noise. The numerical method is inspired by…

We investigate the reconstruction of asymptotically anti-de Sitter (AdS) bulk geometries from boundary entanglement entropy data for ball-shaped entangling regions. By deriving an explicit inversion formula, we relate variations in…