High weak order discretization schemes for stochastic differential equation

In this article, we study the convergence of the distributions of numerical approximations of the solutions of the solutions of a large class of linear parabolic stochastic

In this section we review the concept of partitioned Runge-Kutta methods and derive a new class of semi-implicit R-K schemes, and we propose several schemes up to third order

We have presented new high-order Alternating Direction Implicit (ADI) schemes for the numerical solution of initial-boundary value problems for convection- diffusion equations

• Development of high order implicit time schemes for ODEs, application to Maxwell’s equations (conference ICOSAHOM2016 Rio June,

Classical approaches for getting high weak order numerical schemes for stochastic differential equations are based on weak Taylor ap- proximation or Runge-Kutta type methods [8,

In this paper, we prove existence, uniqueness and regularity for a class of stochastic partial differential equations with a fractional Laplacian driven by a space-time white noise

Parameter estimation for stochastic diffusion process with drift proportional to Weibull

In this paper, we introduce a weak second order family of explicit stabilized integrators based on the second order ROCK2 integrators for deterministic stiff problems.. The main