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An introduction to probabilistic methods with applications

Pierre Del Moral, Nicolas G. Hadjiconstantinou (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

This special volume of the ESAIM Journal, Mathematical Modelling and Numerical Analysis, contains a collection of articles on probabilistic interpretations of some classes of nonlinear integro-differential equations. The selected contributions deal with a wide range of topics in applied probability theory and stochastic analysis, with applications in a variety of scientific disciplines, including physics, biology, fluid mechanics, molecular chemistry, financial mathematics and bayesian statistics....

Approximation of stochastic advection diffusion equations with stochastic alternating direction explicit methods

Ali R. Soheili, Mahdieh Arezoomandan (2013)

Applications of Mathematics

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....

Consistency, accuracy and entropy behaviour of remeshed particle methods

Lisl Weynans, Adrien Magni (2013)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

In this paper we analyze the consistency, the accuracy and some entropy properties of particle methods with remeshing in the case of a scalar one-dimensional conservation law. As in [G.-H. Cottet and L. Weynans, C. R. Acad. Sci. Paris, Ser. I 343 (2006) 51–56] we re-write particle methods with remeshing in the finite-difference formalism. This allows us to prove the consistency of these methods, and accuracy properties related to the accuracy of interpolation kernels. Cottet and Magni devised recently...

Consistency, accuracy and entropy behaviour of remeshed particle methods

Lisl Weynans, Adrien Magni (2012)

ESAIM: Mathematical Modelling and Numerical Analysis

In this paper we analyze the consistency, the accuracy and some entropy properties of particle methods with remeshing in the case of a scalar one-dimensional conservation law. As in [G.-H. Cottet and L. Weynans, C. R. Acad. Sci. Paris, Ser. I 343 (2006) 51–56] we re-write particle methods with remeshing in the finite-difference formalism. This allows us to prove the consistency of these methods, and accuracy properties related to the accuracy of...

High order approximation of probabilistic shock profiles in hyperbolic conservation laws with uncertain initial data

Christoph Schwab, Svetlana Tokareva (2013)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

We analyze the regularity of random entropy solutions to scalar hyperbolic conservation laws with random initial data. We prove regularity theorems for statistics of random entropy solutions like expectation, variance, space-time correlation functions and polynomial moments such as gPC coefficients. We show how regularity of such moments (statistical and polynomial chaos) of random entropy solutions depends on the regularity of the distribution law of the random shock location of the initial data....

High order semi-lagrangian particle methods for transport equations: numerical analysis and implementation issues

G.-H. Cottet, J.-M. Etancelin, F. Perignon, C. Picard (2014)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

This paper is devoted to the definition, analysis and implementation of semi-Lagrangian methods as they result from particle methods combined with remeshing. We give a complete consistency analysis of these methods, based on the regularity and momentum properties of the remeshing kernels, and a stability analysis of a large class of second and fourth order methods. This analysis is supplemented by numerical illustrations. We also describe a general approach to implement these methods in the context...

Integration of the EPDiff equation by particle methods

Alina Chertock, Philip Du Toit, Jerrold Eldon Marsden (2012)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

The purpose of this paper is to apply particle methods to the numerical solution of the EPDiff equation. The weak solutions of EPDiff are contact discontinuities that carry momentum so that wavefront interactions represent collisions in which momentum is exchanged. This behavior allows for the description of many rich physical applications, but also introduces difficult numerical challenges. We present a particle method for the EPDiff equation that is well-suited for this class of solutions and...

Integration of the EPDiff equation by particle methods∗∗∗∗∗∗

Alina Chertock, Philip Du Toit, Jerrold Eldon Marsden (2012)

ESAIM: Mathematical Modelling and Numerical Analysis

The purpose of this paper is to apply particle methods to the numerical solution of the EPDiff equation. The weak solutions of EPDiff are contact discontinuities that carry momentum so that wavefront interactions represent collisions in which momentum is exchanged. This behavior allows for the description of many rich physical applications, but also introduces difficult numerical challenges. We present a particle method for the EPDiff equation that...

Numerical approximation of Knudsen layer for the Euler-Poisson system

Fréderique Charles, Nicolas Vauchelet, Christophe Besse, Thierry Goudon, Ingrid Lacroix–Violet, Jean-Paul Dudon, Laurent Navoret (2011)

ESAIM: Proceedings

In this work, we consider the computation of the boundary conditions for the linearized Euler–Poisson derived from the BGK kinetic model in the small mean free path regime. Boundary layers are generated from the fact that the incoming kinetic flux might be far from the thermodynamical equilibrium. In [2], the authors propose a method to compute numerically the boundary conditions in the hydrodynamic limit relying on an analysis of the boundary layers....

Particle-in-wavelets scheme for the 1D Vlasov-Poisson equations ⋆⋆⋆

Romain Nguyen van yen, Éric Sonnendrücker, Kai Schneider, Marie Farge (2011)

ESAIM: Proceedings

A new numerical scheme called particle-in-wavelets is proposed for the Vlasov-Poisson equations, and tested in the simplest case of one spatial dimension. The plasma distribution function is discretized using tracer particles, and the charge distribution is reconstructed using wavelet-based density estimation. The latter consists in projecting the Delta distributions corresponding to the particles onto a finite dimensional linear space spanned by...

The Tree-Grid Method with Control-Independent Stencil

Kossaczký, Igor, Ehrhardt, Mattias, Günther, Michael (2017)

Proceedings of Equadiff 14

The Tree-Grid method is a novel explicit convergent scheme for solving stochastic control problems or Hamilton-Jacobi-Bellman equations with one space dimension. One of the characteristics of the scheme is that the stencil size is dependent on space, control and possibly also on time. Because of the dependence on the control variable, it is not trivial to solve the optimization problem inside the method. Recently, this optimization part was solved by brute-force testing of all permitted controls....

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