相关论文: Euler scheme for approximation of solution of nonl…

An existence and uniqueness theorem for a class of stochastic delay differential equations is presented, and the convergence of Euler approximations for these equations is proved under general conditions. Moreover, the rate of almost sure…

A family of explicit modified Euler methods (MEMs) is constructed for long-time approximations of super-linear SODEs driven by multiplicative noise. The proposed schemes can preserve the same Lyapunov structure as the continuous problems.…

We consider a general linear parabolic problem with extended time boundary conditions (including initial value problems and periodic ones), and approximate it by the implicit Euler scheme in time and the Gradient Discretisation method in…

We study the $L^1$-approximation of the log-Heston SDE at equidistant time points by Euler-type methods. We establish the convergence order $ 1/2-\epsilon$ for $\epsilon >0$ arbitrarily small, if the Feller index $\nu$ of the underlying CIR…

This paper is concerned with the adaptive numerical treatment of stochastic partial differential equations. Our method of choice is Rothe's method. We use the implicit Euler scheme for the time discretization. Consequently, in each step, an…

The present work introduces and investigates an explicit time discretization scheme, called the projected Euler method,to numerically approximate random periodic solutions of semi-linear SDEs under non-globally Lipschitz conditions. The…

In traditional work on numerical schemes for solving stochastic differential equations (SDEs), it is usually assumed that the coefficients are globally Lipschitz. This assumption has been used to establish a powerful analysis of the…

Under a local one-sided Lipschitz condition, Krylov [KR] proved the existence and uniqueness of the strong solutions for stochastic differential equations by using the Euler-Maruyama approximation, where he showed that the sequence of…

We investigate existence, uniqueness and approximation of solutions to stochastic delay differential equations (SDDEs) under Carath\'eodory-type drift coefficients. Moreover, we also assume that both drift $f=f(t,x,z)$ and diffusion…

We present a method for approximating solutions of Stochastic Differential Equations (SDEs) with arbitrary rates. This approximation is derived for bounded and measurable test functions. Specifically, we demonstrate that, leveraging the…

We propose a new scheme for the long time approximation of a diffusion when the drift vector field is not globally Lipschitz. Under this assumption, regular explicit Euler scheme --with constant or decreasing step-- may explode and implicit…

The main goal of this paper is to analyze a family of "simplest possible" initial data for which, as shown by numerical simulations, the incompressible Euler equations have multiple solutions. We take here a first step toward a rigorous…

We give an upper bound for the difference of two solutions of Euler schemes approximating the Cauchy problem \[\begin{cases} \dot{u}(t) + Au(t) \ni f(t) \quad (t \in [0, T]), \\ u(0) = u^0, \end{cases}\] where $A \subseteq X \times X$ is a…

We consider the problem of numerically approximating the solutions to a partial differential equation (PDE) when there is insufficient information to determine a unique solution. Our main example is the Poisson boundary value problem, when…

This paper focuses on explicit approximations for nonlinear stochastic delay differential equations (SDDEs). Under the weakly local Lipschitz and some suitable conditions, a generic truncated Euler-Maruyama (TEM) scheme for SDDEs is…

We consider the problem of the approximation of the solution of a one-dimensional SDE with non-globally Lipschitz drift and diffusion coefficients behaving as $x^\alpha$, with $\alpha>1$. We propose an (semi-explicit) exponential-Euler…

We obtain an error estimate between viscosity solutions and \delta-viscosity solutions of nonhomogeneous fully nonlinear uniformly elliptic equations. The main assumption, besides uniform ellipticity, is that the nonlinearity is…

The nonlinear Schr\"{o}dinger (NLS) equation can be derived as a formal approximation equation describing the envelopes of slowly modulated spatially and temporarily oscillating wave packet-like solutions to the ion Euler-Poisson equation.…

We approximate the regular solutions of the incompressible Euler equation by the solution of ODEs on finite-dimensional spaces. Our approach combines Arnold's interpretation of the solution of Euler's equation for incompressible and…

In this paper, we study the qualitative behaviour of approximation schemes for Backward Stochastic Differential Equations (BSDEs) by introducing a new notion of numerical stability. For the Euler scheme, we provide sufficient conditions in…