相关论文: Homogenization principle and numerical analysis fo…

Most existing literature focuses on pointwise convergence (i.e., convergence at a fixed time point) of numerical solutions for Stochastic functional differential equations (SFDEs). In contrast, this paper investigates the strong segment…

We prove a general criterion providing sufficient conditions under which a time-discretiziation of a given Stochastic Differential Equation (SDE) is a uniform in time approximation of the SDE. The criterion is also, to a certain extent,…

We propose and study a class of numerical schemes to approximate time fractional differential equations. The methods are based on the approximation of the Caputo fractional derivative by continuous piecewise polynomials, which is strongly…

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…

In this article, we consider numerical schemes for polynomial diffusions on the unit ball, which are solutions of stochastic differential equations with a diffusion coefficient of the form $\sqrt{1-|x|^{2}}$. We introduce a semi-implicit…

In this paper, we investigate the convergence rate of the averaging principle for stochastic differential equations (SDEs) with $\beta$-H\"older drift driven by $\alpha$-stable processes. More specifically, we first derive the Schauder…

For numerical approximations to stochastic differential equations using the Euler-Maruyama scheme, we propose incorporating approximate random variables computed using low precisions, such as single and half precision. We propose and…

This paper investigates a non-autonomous slow-fast system, which is generalized by stochastic differential equations (SDEs) with locally Lipschitz coefficients, subjected to standard Brownian motion (Bm) and fractional Brownian motion (fBm)…

In this work, an inverse problem in the fractional diffusion equation with random source is considered. The measurements used are the statistical moments of the realizations of single point data $u(x_0,t,\omega).$ We build the…

A variational coarse-graining framework for heterogeneous media is developed that allows for a seamless transition from the traditional static scenario to a arbitrary loading conditions, including inertia effects and body forces. The…

We study the asymptotic behavior of stochastic hyperbolic parabolic equations with slow and fast time scales. Both the strong and weak convergence in the averaging principe are established, which can be viewed as a functional law of large…

We consider Cauchy problem for a divergence form second order parabolic operator with rapidly oscillating coefficients that are periodic in spatial variables and random stationary ergodic in time. As was proved in [24] and [12] in this case…

We prove convergence of a single time-scale stochastic subgradient method with subgradient averaging for constrained problems with a nonsmooth and nonconvex objective function having the property of generalized differentiability. As a tool…

Employing a phase space which includes the (Riemann-Liouville) fractional derivative of curves evolving on real space, we develop a restricted variational principle for Lagrangian systems yielding the so-called restricted fractional…

We propose an abstract framework for the homogenization of random functionals which may contain non-convex terms, based on a two-scale $\Gamma$-convergence approach and a definition of Young measures on micropatterns which encodes the…

We consider a class of $d$-dimensional stochastic differential equations that model a non-colliding random particle system. We provide a sufficient condition, which does not depend on the dimension $d$, for the existence of negative moments…

We consider a one-dimensional stochastic differential equation driven by a Wiener process, where the diffusion coefficient depends on an ergodic fast process. The averaging principle is satisfied: it is well-known that the slow component…

We study two new classes of inverse problems for a time-switched system in which a fractional wave equation (with Caputo derivative of order $\alpha \in (1,2)$) governs the dynamics on the interval $[0,a)$, and a fractional diffusion…

In this paper, we first investigate the global existence of a solution for the stochastic fractional nonlinear Schr\"odinger equation with radially symmetric initial data in a suitable energy space $H^{\alpha}$. We then show that the…

We consider a class of stochastic path-dependent volatility models where the stochastic volatility, whose square follows the Cox-Ingersoll-Ross model, is multiplied by a (leverage) function of the spot price, its running maximum, and time.…