相关论文: A Discrete It\^o Calculus Approach to He's Framewo…

One-dimensional discrete-time quantum walks show a rich spectrum of topological phases that have so far been exclusively analysed in momentum space. In this work we introduce an alternative approach to topology which is based on the…

We propose a multi-index algorithm for the Monte Carlo (MC) discretization of a linear, elliptic PDE with affine-parametric input. We prove an error vs. work analysis which allows a multi-level finite-element approximation in the physical…

These notes are devoted to fluctuations of one-dimensional random walks. We discuss various approaches to first-passage times and to the corresponding conditional distributions. After discussion of some classical methods, such as reflection…

This paper applies the gradient discretisation method (GDM) for fourth order elliptic variational inequalities. The GDM provides a new formulation of error estimates and a complete convergence analysis of several numerical methods. We show…

Constructing a discrete model like a cellular automaton is a powerful method for understanding various dynamical systems. However, the relationship between the discrete model and its continuous analogue is, in general, nontrivial. As a…

In this paper we focus our attention on a particle that follows a unidirectional quantum walk, an alternative version of the nowadays widespread discrete-time quantum walk on a line. Here the walker at each time step can either remain in…

We construct a higher-order adaptive method for strong approximations of exit times of It\^o stochastic differential equations (SDE). The method employs a strong It\^o--Taylor scheme for simulating SDE paths, and adaptively decreases the…

In this paper the multi-dimensional random walk models governed by distributed fractional order differential equations and multi-term fractional order differential equations are constructed. The scaling limits of these random walks to a…

Recently, the construction of finite difference schemes from lattice Boltzmann schemes has been rigorously analyzed [Bellotti et al. (2022), Numer. Math. 152, pp. 1-40]. It is thus known that any lattice Boltzmann scheme can be expressed in…

There is a deformation of the ordinary differential calculus which leads from the continuum to a lattice (and induces a corresponding deformation of physical theories). We recall some of its features and relate it to a general framework of…

We study a financial market where the risky asset is modelled by a geometric It\^o-L\'{e}vy process, with a singular drift term. This can for example model a situation where the asset price is partially controlled by a company which…

A novel efficient and high accuracy numerical method for the time-fractional differential equations (TFDEs) is proposed in this work. We show the equivalence between TFDEs and the integer-order extended parametric differential equations…

We develop a discrete analogue of Hamilton-Jacobi theory in the framework of discrete Hamiltonian mechanics. The resulting discrete Hamilton-Jacobi equation is discrete only in time. We describe a discrete analogue of Jacobi's solution and…

We characterise the convergence of a certain class of discrete time Markov processes toward locally Feller processes in terms of convergence of associated operators. The theory of locally Feller processes is applied to L\'evy-type processes…

We present a construction of the basic operators of stochastic analysis (gradient and divergence) for a class of discrete-time normal martingales called obtuse random walks. The approach is based on the chaos representation property and…

The aim of this paper is to investigate discrete approximations of the exponential functional $\int_0^{\infty} \exp(B(t) - \nu t) \di t$ of Brownian motion (which plays an important role in Asian options of financial mathematics) by the…

The continuous limit of one dimensional discrete-time quantum walks with time- and space-dependent coefficients is investigated. A given quantum walk does not generally admit a continuous limit but some families (1-jets) of quantum walks…

We propose an accurate data-driven numerical scheme to solve Stochastic Differential Equations (SDEs), by taking large time steps. The SDE discretization is built up by means of a polynomial chaos expansion method, on the basis of…

A general approach to obtain reduced models for a wide class of discrete-time quantum systems is proposed. The obtained models not only reproduce exactly the output of a given quantum model, but are also guaranteed to satisfy physical…

In this paper, time-independent Hamiltonian systems are investigated via a Lie-group/algebra formalism. The (unknown) solution linked with the Hamiltonian is considered to be a Lie-group transformation of the initial data, where the group…