相关论文: High-order stochastic integration schemes for the …

In this paper, we present splitting methods that are based on iterative schemes and applied to plasma simulations. The motivation arose of solving the Coulomb collisions, which are modeled by nonlinear stochastic differential equations. We…

We present stochastic variants of the exponential time differencing schemes for stiff stochastic differential equations. We derive three explicit schemes that offer better stability compared to Euler-Maruyama and Milstein's method, and…

We propose a methodology to infer collision operators from phase space data of plasma dynamics. Our approach combines a differentiable kinetic simulator, whose core component in this work is a differentiable Fokker-Planck solver, with a…

We consider a generic and explicit tamed Euler--Maruyama scheme for multidimensional time-inhomogeneous stochastic differential equations with multiplicative Brownian noise. The diffusive coefficient is uniformly elliptic, H\"older…

In this paper, we consider the composition of two independent processes : one process corresponds to position and the other one to time. Such processes will be called iterated processes. We first propose an algorithm based on the Euler…

We consider in this work the convergence of a split-step Euler type scheme (SSM) for the numerical simulation of interacting particle Stochastic Differential Equation (SDE) systems and McKean-Vlasov Stochastic Differential Equations…

In this paper numerical methods for solving stochastic differential equations with Markovian switching (SDEwMSs) are developed by pathwise approximation. The proposed family of strong predictor-corrector Euler-Maruyama methods is designed…

The accurate prediction of occurrence and strength of kinetic instabilities in plasmas remains a significant challenge in nuclear fusion research. To accurately capture the plasmas dynamics one is required to solve the Vlasov equation for…

The backward Euler-Maruyama (BEM) method is employed to approximate the invariant measure of stochastic differential equations, where both the drift and the diffusion coefficient are allowed to grow super-linearly. The existence and…

In many recent applications when new materials and technologies are developed it is important to describe and simulate new nonlinear and nonlocal diffusion transport processes. A general class of such models deals with nonlocal fractional…

In this paper, we consider the task of efficiently computing the numerical solution of evolutionary complex Ginzburg--Landau equations on Cartesian product domains with homogeneous Dirichlet/Neumann or periodic boundary conditions. To this…

We introduce a predictor-corrector discretisation scheme for the numerical integration of a class of stochastic differential equations and prove that it converges with weak order 1.0. The key feature of the new scheme is that it builds up…

This paper is concerned with the numerical approximation of stochastic ordinary differential equations, which satisfy a global monotonicity condition. This condition includes several equations with super-linearly growing drift and diffusion…

We address the problem of simulation and parameter inference for chemical reaction networks described by the chemical Langevin equation, a stochastic differential equation (SDE) representation of the dynamics of the chemical species. This…

This work proposes novel techniques for the efficient numerical simulation of parameterized, unsteady partial differential equations. Projection-based reduced order models (ROMs) such as the reduced basis method employ a (Petrov-)Galerkin…

We investigate numerically a quasi-static elasticity system of Kachanov-type. To do so we propose an Euler time discretization combined with a suitable finite elements scheme (FEM) to handle the discretization is space. We use ODE-type…

Numerical schemes used for the integration of complex flow simulations should provide accurate solutions for the long time integrations these flows require. To this end, the performance of various high-order accurate numerical schemes is…

The nonlinear gyrokinetic equations describe plasma turbulence in laboratory and astrophysical plasmas. To solve these equations, massively parallel codes have been developed and run on present-day supercomputers. This paper describes…

Motivated by truncated EM method introduced by Mao (2015), a new explicit numerical method named modified truncated Euler-Maruyama method is developed in this paper. Strong convergence rates of the given numerical scheme to the exact…

Relativistic runaway electrons are a major concern in tokamaks. The European framework for Integrated Modelling (EU-IM), facilitates the integration of different plasma simulation tools by providing a standard data structure for…