相关论文: Unconditionally positivity-preserving explicit Eul…

We propose and analyse a new Milstein type scheme for simulating stochastic differential equations (SDEs) with highly nonlinear coefficients. Our work is motivated by the need to justify multi-level Monte Carlo simulations for…

In this paper we want to exploit further the semi-discrete method appeared in Halidias and Stamatiou (2015). We are interested in the numerical solution of mean reverting CEV processes that appear in financial mathematics models and are…

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…

In this paper, we are concerned with convergence rate of Euler-Maruyama scheme for stochastic differential equations with rough coefficients. The key contributions lie in (i), by means of regularity of non-degenerate Kolmogrov equation, we…

An Euler-type framework with equidistant step sizes is proposed for a class of time-changed stochastic differential equations.We establish the strong convergence rate of the standard Euler--Maruyama method under the global Lipschitz…

An asymptotic preserving and energy stable scheme for the barotropic Euler system under the low Mach number scaling is designed and analysed. A velocity shift proportional to the pressure gradient is introduced in the convective fluxes,…

Motivated by weak convergence results in the paper of Takahashi and Yoshida (2005), we show strong convergence for an accelerated Euler-Maruyama scheme applied to perturbed stochastic differential equations. The Milstein scheme with the…

The goal of this article is to establish a central limit theorem for the Euler-Maruyama scheme approximating multidimensional SDEs with elliptic Brownian diffusion, under very mild regularity requirements on the drift coefficients. When the…

This paper presents a class of novel high-order accurate discontinuous Galerkin (DG) schemes for the compressible Euler equations under gravitational fields. A notable feature of these schemes is that they are well-balanced for a general…

Numerical schemes for the solution of the Euler equations have recently been developed, which involve the discretisation of the internal energy equation, with corrective terms to ensure the correct capture of shocks, and, more generally,…

We consider the explicit numerical approximations of stochastic differential equations (SDEs) driven by Brownian process and Poisson jump. It is well known that under non-global Lipschitz condition, Euler Explicit method fails to converge…

Many stochastic differential equations that occur in financial modelling do not satisfy the standard assumptions made in convergence proofs of numerical schemes that are given in textbooks, i.e., their coefficients and the corresponding…

In this paper we analyse the Euler implicit scheme for the volume preserving mean curvature flow. We prove the exponential convergence of the scheme to a finite union of disjoint balls with equal volume for any bounded initial set with…

This paper is concerned with the numerical approximation of the isothermal Euler equations for charged particles subject to the Lorentz force. When the magnetic field is large, the so-called drift-fluid approximation is obtained. In this…

In this paper, a positivity-preserving fifth-order finite volume compact-WENO scheme is proposed for solving compressible Euler equations. As we know conservative compact finite volume schemes have high resolution properties while WENO…

We describe an Euler scheme to approximate solutions of L\'evy driven Stochastic Differential Equations (SDE) where the grid points are random and given by the arrival times of a Poisson process. This result extends a previous work of the…

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…

The well-known stochastic SIS model characterized by highly nonlinear in epidemiology has a unique positive solution taking values in a bounded domain with a series of dynamical behaviors. However, the approximation methods to maintain the…

We study the stability properties of explicit marching schemes for second-kind Volterra integral equations that arise when solving boundary value problems for the heat equation by means of potential theory. It is well known that explicit…

We introduce a new Monte Carlo model based on a semi-empirical sputter yield parameter in ion-solid energetic collisions. This model circumvents the complexity of the existing statistical, classical and continuum models, most of which are…