相关论文: A modified EM method and its fast implementation f…

We propose a stochastic multiscale finite element method (StoMsFEM) to solve random elliptic partial differential equations with a high stochastic dimension. The key idea is to simultaneously upscale the stochastic solutions in the physical…

This paper proposes an adaptive timestep construction for an Euler-Maruyama approximation of SDEs with a drift which is not globally Lipschitz. It is proved that if the timestep is bounded appropriately, then over a finite time interval the…

The spherical isothermal Lane-Emden equation is a second order non-linear differential equation that model many configurations in astrophysics. In the present paper and based on the fractal index technique and the series expansion, the…

The current Bayesian FFT algorithm relies on direct differentiation to obtain the posterior covariance matrix (PCM), which is time-consuming, memory-intensive, and hard to code, especially for the multi-setup operational modal analysis…

This paper introduces a Gegenbauer-based fractional approximation (GBFA) method for high-precision approximation of the left Riemann-Liouville fractional integral (RLFI). By using precomputable fractional-order shifted Gegenbauer…

The convergence of the first order Euler scheme and an approximative variant thereof, along with convergence rates, are established for rough differential equations driven by c\`adl\`ag paths satisfying a suitable criterion, namely the…

Numerical homogenization for mechanical multiscale modeling by means of the finite element method (FEM) is an elegant way of obtaining structure-property relations, if the behavior of the constituents of the lower scale is well understood.…

Diffusive representations of fractional differential and integral operators can provide a convenient means to construct efficient numerical algorithms for their approximate evaluation. In the current literature, many different variants of…

We present a novel probabilistic finite element method (FEM) for the solution and uncertainty quantification of elliptic partial differential equations based on random meshes, which we call random mesh FEM (RM-FEM). Our methodology allows…

In this paper, we establish the propagation of chaos and Euler-Maruyama method of DDSDE driven by multiplicative fractional Brownian motion with Hurst parameter $H\in (\frac{\sqrt{5}-1}{2},1)$. We have not only obtained an upper bound for…

The Stochastic Approximation EM (SAEM) algorithm, a variant stochastic approximation of EM, is a versatile tool for inference in incomplete data models. In this paper, we review the fundamental EM algorithm and then focus especially on the…

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,…

This paper is devoted to the numerical analysis of a fully discrete finite element approximation for the stochastic Benjamin-Bona-Mahony equation driven by multiplicative noise. We first establish the existence and uniqueness of solutions…

This work investigates a fully discrete mixed finite element method for the stochastic Boussinesq system driven by multiplicative noise. The spatial discretization is performed using a standard mixed finite element method, while the…

We derive a Fast Multipole Method (FMM) where a low-rank approximation of the kernel is obtained using the Empirical Interpolation Method (EIM). Contrary to classical interpolation-based FMM, where the interpolation points and basis are…

In this paper, we introduce a delayed Mittag-Leffler type function. With the help of the delayed Mittag-Leffler type functions, we give an explicit formula of solutions to linear nonhomogeneous fractional time-delay Langevin equations…

In this paper, we consider the adaptive Eulerian--Lagrangian method (ELM) for linear convection-diffusion problems. Unlike the classical a posteriori error estimations, we estimate the temporal error along the characteristics and derive a…

We present a simulation capability for micro-scale light-emitting diodes (uLEDs) that achieves comparable accuracy to CPU-based finite-difference time-domain simulation but is more than 10^7 times faster. Our approach is based on the…

We study parameter estimation for univariate stochastic differential equations with locally Lipschitz drift and H\"older continuous multiplicative diffusion, a class commonly arising in several applications. Existing inference methods…

This paper is concerned with strong convergence of the truncated Euler-Maruyama scheme for neutral stochastic differential delay equations driven by Brownian motion and pure jumps respectively. Under local Lipschitz condition, convergence…