相关论文: On implicit and explicit discretization schemes fo…
In this paper we consider a general class of second order stochastic partial differential equations on $\mathbb{R}^d$ driven by a Gaussian noise which is white in time and it has a homogeneous spatial covariance. Using the techniques of…
This paper is concerned with developing and analyzing two novel implicit temporal discretization methods for the stochastic semilinear wave equations with multiplicative noise. The proposed methods are natural extensions of well-known…
We propose and study a temporal, and spatio-temporal discretisation of the 2D stochastic Navier--Stokes equations in bounded domains supplemented with no-slip boundary conditions. Considering additive noise, we base its construction on the…
Partially motivated by the recent papers of Conus, Joseph and Khoshnevisan [Ann. Probab. 41 (2013) 2225-2260] and Conus et al. [Probab. Theory Related Fields 156 (2013) 483-533], this work is concerned with the precise spatial asymptotic…
This paper investigates the influences of standard numerical discretizations on hitting probabilities for linear stochastic parabolic system driven by space-time white noises. We establish lower and upper bounds for hitting probabilities of…
Numerical methods for stochastic partial differential equations typically estimate moments of the solution from sampled paths. Instead, we shall directly target the deterministic equations satisfied by the first and second moments, as well…
This paper is devoted to the study of numerical approximation schemes for a class of parabolic equations on (0, 1) perturbed by a non-linear rough signal. It is the continuation of [8, 7], where the existence and uniqueness of a solution…
A discretization scheme for variable coefficient elliptic PDEs in the plane is presented. The scheme is based on high-order Gaussian quadratures and is designed for problems with smooth solutions, such as scattering problems involving soft…
We propose an {\em implementable} numerical scheme for the discretization of linear-quadratic optimal control problems involving SDEs in higher dimensions with {\em control constraint}. For time discretization, we employ the implicit Euler…
We prove the existence and uniqueness of mild solution for the stochastic partial differential equation $$\left(\partial^\alpha - \textit{B} \right) u(t,x)= u(t,x) \cdot \dot{W}(t,x),$$ where $$\alpha \in (1/2, 1)\cup(1, 2);$$ $\textit{B}$…
We consider an implicit finite difference scheme on uniform grids in time and space for the Cauchy problem for a second order parabolic stochastic partial differential equation where the parabolicity condition is allowed to degenerate. Such…
This paper aims to investigate numerical approximation of a general second order non-autonomous semilinear parabolic stochastic partial differential equation (SPDE) driven by multiplicative noise. Numerical approximations of autonomous…
Parareal algorithms are studied for semilinear parabolic stochastic partial differential equations. These algorithms proceed as two-level integrators, with fine and coarse schemes, and have been designed to achieve a `parallel in real time'…
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,…
In this contribution, we provide convergence rates for a finite volume scheme of a stochastic non-linear parabolic equation with multiplicative Lipschitz noise and homogeneous Neumann boundary conditions. More precisely, we give an error…
Implicit schemes are popular methods for the integration of time dependent PDEs such as hyperbolic and parabolic PDEs. However the necessity to solve corresponding linear systems at each time step constitutes a complexity bottleneck in…
We consider a discretization of Caputo derivatives resulted from deconvolving a scheme for the corresponding Volterra integral. Properties of this discretization, including signs of the coefficients, comparison principles, and stability of…
We explore how the analysis of the Carleman linearization can be extended to dynamical systems on infinite-dimensional Hilbert spaces with quadratic nonlinearities. We demonstrate the well-posedness and convergence of the truncated Carleman…
We approximate the solution $u$ of the Cauchy problem $$ \frac{\partial}{\partial t} u(t,x)=Lu(t,x)+f(t,x), \quad (t,x)\in(0,T]\times\bR^d, $$ $$ u(0,x)=u_0(x),\quad x\in\bR^d $$ by splitting the equation into the system $$…
In this paper, we propose and analyze an explicit time-stepping scheme for a spatial discretization of stochastic Cahn--Hilliard equation with additive noise. The fully discrete approximation combines a spectral Galerkin method in space…