[PDF] Top 20 High weak order discretization schemes for stochastic differential equation
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High weak order discretization schemes for stochastic differential equation
... of weak order h for the Markov process (X t ) t>0 for the test functions f ∈ C b q (R; ...stands for the required regularity on the test functions in order to obtain ... Voir le document complet
140
Development of high-order well-balanced schemes for geophysical flows
... In order to ensure the preservation of the steady states, we use a Godunov-type scheme, based on the stationary wave created by the source terms, and on a relevant discretization of the source ...derived ... Voir le document complet
263
On the discretization of backward doubly stochastic differential equations
... backward stochastic differential equations (BSDEs) have been intensively studied during the two last ...finance, stochastic control, partial differential equations; see ...described. ... Voir le document complet
12
High-order staggered schemes for compressible hydrodynamics. Weak consistency and numerical validation
... test-suite for validation contains among others three smooth test-problems which are the Cook– Cabot breaking wave test-case proposed in 2004 [4], a slight modification of the breaking wave using a non-convex ... Voir le document complet
28
Accelerated finite elements schemes for parabolic stochastic partial differential equations
... approximations for Cauchy problems for stochastic parabolic PDEs of the form of equation ...engineering, for example in nonlinear filtering of partially observed diffusion ...theories ... Voir le document complet
38
High order discretization schemes for stochastic volatility models
... has order one of strong ...a discretization scheme which gets rid of these iterated integrals and has nice strong convergence ...precisely, for each number of time steps, there exists a Brownian ... Voir le document complet
32
A Gradient Scheme for the Discretization of Richards Equation
... In order to keep this presentation short, we only prove below the priori esti- mate (7), and only in the case of homogeneous Dirichlet boundary conditions; the adaptation to the inhomogeneous case is ... Voir le document complet
9
Averaging principle for stochastic differential equations
... Veretennikov (1990) On large deviations in the averaging principle for stochas- tic differential equations with periodic coefficients. Veretennikov (1991) On the averaging prin[r] ... Voir le document complet
57
High Order $C^0$-Continuous Galerkin Schemes for High Order PDEs, Conservation of Quadratic Invariants and Application to the Korteweg-de Vries Model
... established for the elliptic or parabolic PDEs, whose solutions are in general ...see for instance the papers associated to the ICOSAHOM conference ...method for two-dimensional elliptic problems can ... Voir le document complet
31
High-order accurate Lagrange-remap hydrodynamic schemes on staggered Cartesian grids
... The Shu-Osher test case [5] is initialized as (10) on a [− 5 : 5 ] domain with a Mach 3 shock wave interacting with a sinusoidal density field. Computations till t=1.8 with CFL = 0 . 2 are reported in Figure 1(a) and ... Voir le document complet
2
MODEL UNCERTAINTY IN FINANCE AND SECOND ORDER BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
... by stochastic optimal control in the seminal paper [ 81 ... ltration, for this purpose, proved existence and uniqueness of the solution to a particular type quadratic BSDEs driven by a continuous ... Voir le document complet
223
Growth and oscillation related to a second order linear differential equation
... Then for any given ε > 0, there exists a set E 2 ⊂ [0, 2π) that has linear measure zero, such that if θ ∈ [0, 2π) \ (E 2 ∪ E 3 ) , where E 3 = {θ ∈ [0, 2π) : δ (P, θ) = 0} is a finite set, then for ... Voir le document complet
14
Strong existence and uniqueness for stochastic differential equation with Hölder drift and degenerate noise
... for a measurable function b in L ∞ ...well-posedness for b in L p loc , p > d and Zhang in [ 19 ] handled the case of non-constant, Sobolev and non-degenerate diffusion ...that for almost every ... Voir le document complet
30
Construction of simple, stable and convergent high order schemes for steady first order Hamilton Jacobi equations.
... Unité de recherche INRIA Futurs Parc Club Orsay Université - ZAC des Vignes 4, rue Jacques Monod - 91893 ORSAY Cedex France Unité de recherche INRIA Lorraine : LORIA, Technopôle de Nancy[r] ... Voir le document complet
37
Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
... method for a stochastic differential equation (SDE) with a non-regular drift and regular diffusion ...scheme for the regularized scheme is used as an ... Voir le document complet
34
Day-ahead probabilistic forecast of solar irradiance: a Stochastic Differential Equation approach
... (CSI for short), which is the ratio between the observed irradiance and the maximal theoretical irradiance that would be observed in perfect weather ...SDE for a given day D are fixed (see forthcoming ... Voir le document complet
22
A hybridized high-order method for unique continuation subject to the Helmholtz equation
... Helmholtz differential operator for acoustic wave propagation in the frequency ...the discretization error is ...therein for an overview on computational methods using this ... Voir le document complet
30
On implicit and explicit discretization schemes for parabolic SPDEs in any dimension
... results. For T = 1, we have implemented in C the (more stable) implicit discretization scheme for affine coefficients σ(t, y, u) = σ1 u + σ2 and b(t, x, u) = b1 u + b2 and for σ(t, y, u) = ... Voir le document complet
28
High-order Finite Volume WENO schemes for non-local multi-class traffic flow models
... Table 1: E.O.A. Test 1, initial condition (3.1)-(3.3), with α = 0.5, β = 0.3, γ = 0.2 and final time T = 0.2. The reference solution is computed with FV-WENO7 scheme for 1/∆x = 6400. 3.2 Test 2, stretch of ... Voir le document complet
9
DISPERSIVE SCHEMES FOR THE CRITICAL KORTEWEG–DE VRIES EQUATION
... numerical schemes mim- ick correctly the fine properties of dispersive equations if one wishes to approximate solutions for rough initial ...contexts. For example stochastic versions of the ... Voir le document complet
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