A deterministic discretisation-step upper bound for state estimation via Clark transformations.
A finite difference approach for the initial-boundary value problem of the fractional Klein-Kramers equation in phase space
Considering the features of the fractional Klein-Kramers equation (FKKE) in phase space, only the unilateral boundary condition in position direction is needed, which is different from the bilateral boundary conditions in [Cartling B., Kinetics of activated processes from nonstationary solutions of the Fokker-Planck equation for a bistable potential, J. Chem. Phys., 1987, 87(5), 2638–2648] and [Deng W., Li C., Finite difference methods and their physical constrains for the fractional Klein-Kramers...
A Milstein-type scheme without Lévy area terms for SDEs driven by fractional brownian motion
In this article, we study the numerical approximation of stochastic differential equations driven by a multidimensional fractional Brownian motion (fBm) with Hurst parameter greater than 1/3. We introduce an implementable scheme for these equations, which is based on a second-order Taylor expansion, where the usual Lévy area terms are replaced by products of increments of the driving fBm. The convergence of our scheme is shown by means of a combination of rough paths techniques and error bounds...
A new Monte Carlo method for solving a stationary diffusion equation.
A stochastic phase-field model determined from molecular dynamics
The dynamics of dendritic growth of a crystal in an undercooled melt is determined by macroscopic diffusion-convection of heat and by capillary forces acting on the nanometer scale of the solid-liquid interface width. Its modelling is useful for instance in processing techniques based on casting. The phase-field method is widely used to study evolution of such microstructural phase transformations on a continuum level; it couples the energy equation to a phenomenological Allen-Cahn/Ginzburg-Landau equation...
A tensor approximation method based on ideal minimal residual formulations for the solution of high-dimensional problems
In this paper, we propose a method for the approximation of the solution of high-dimensional weakly coercive problems formulated in tensor spaces using low-rank approximation formats. The method can be seen as a perturbation of a minimal residual method with a measure of the residual corresponding to the error in a specified solution norm. The residual norm can be designed such that the resulting low-rank approximations are optimal with respect to particular norms of interest, thus allowing to take...
Algorithm 93. Non-central F or beta distribution
Approximation of stochastic advection diffusion equations with stochastic alternating direction explicit methods
The numerical solutions of stochastic partial differential equations of Itô type with time white noise process, using stable stochastic explicit finite difference methods are considered in the paper. Basically, Stochastic Alternating Direction Explicit (SADE) finite difference schemes for solving stochastic time dependent advection-diffusion and diffusion equations are represented and the main properties of these stochastic numerical methods, e.g. stability, consistency and convergence are analyzed....
Asymptotics of a Time-Splitting Scheme for the Random Schrödinger Equation with Long-Range Correlations
This work is concerned with the asymptotic analysis of a time-splitting scheme for the Schrödinger equation with a random potential having weak amplitude, fast oscillations in time and space, and long-range correlations. Such a problem arises for instance in the simulation of waves propagating in random media in the paraxial approximation. The high-frequency limit of the Schrödinger equation leads to different regimes depending on the distance of propagation, the oscillation pattern of the initial...