Lelièvre, Tony; Parpas, Panos Using Witten Laplacians to locate index-1 saddle points. (English) Zbl 07816752 SIAM J. Sci. Comput. 46, No. 2, A770-A797 (2024). MSC: 65C35 37N30 65K10 PDFBibTeX XMLCite \textit{T. Lelièvre} and \textit{P. Parpas}, SIAM J. Sci. Comput. 46, No. 2, A770--A797 (2024; Zbl 07816752) Full Text: DOI arXiv
Wongsaijai, Ben; Aydemir, Tuğba; Ak, Turgut; Dhawan, Sharanjeet Analytical and numerical techniques for initial-boundary value problems of Kolmogorov-Petrovsky-Piskunov equation. (English) Zbl 07798398 Numer. Methods Partial Differ. Equations 40, No. 1, Article ID e22693, 35 p. (2024). MSC: 65L12 PDFBibTeX XMLCite \textit{B. Wongsaijai} et al., Numer. Methods Partial Differ. Equations 40, No. 1, Article ID e22693, 35 p. (2024; Zbl 07798398) Full Text: DOI
Armstrong, John; Brigo, Damiano; Hanzon, Bernard Optimal projection filters with information geometry. (English) Zbl 07789565 Inf. Geom. 7, Suppl. 1, 525-540 (2024). MSC: 62M20 93E11 60G35 62B10 58J65 60H10 65D18 58A20 PDFBibTeX XMLCite \textit{J. Armstrong} et al., Inf. Geom. 7, 525--540 (2024; Zbl 07789565) Full Text: DOI OA License
Chaudhary, Abhishek; Koley, Ujjwal A convergent finite volume scheme for the stochastic barotropic compressible Euler equations. (English) Zbl 07792491 ESAIM, Math. Model. Numer. Anal. 57, No. 6, 3403-3437 (2023). MSC: 65M08 35R60 60H15 76M12 76N10 PDFBibTeX XMLCite \textit{A. Chaudhary} and \textit{U. Koley}, ESAIM, Math. Model. Numer. Anal. 57, No. 6, 3403--3437 (2023; Zbl 07792491) Full Text: DOI arXiv
Momenzade, N.; Vahidi, A. R.; Babolian, E. A numerical method for solving stochastic Volterra-Fredholm integral equation. (English) Zbl 1524.65038 Iran. J. Math. Sci. Inform. 18, No. 1, 145-164 (2023). MSC: 65C30 60H20 60H35 45B05 45D05 45R05 65R20 PDFBibTeX XMLCite \textit{N. Momenzade} et al., Iran. J. Math. Sci. Inform. 18, No. 1, 145--164 (2023; Zbl 1524.65038) Full Text: Link
Pagès, Gilles; Panloup, Fabien Unadjusted Langevin algorithm with multiplicative noise: total variation and Wasserstein bounds. (English) Zbl 1515.65032 Ann. Appl. Probab. 33, No. 1, 726-779 (2023). MSC: 65C30 37M25 60F05 60H10 62L20 PDFBibTeX XMLCite \textit{G. Pagès} and \textit{F. Panloup}, Ann. Appl. Probab. 33, No. 1, 726--779 (2023; Zbl 1515.65032) Full Text: DOI arXiv
Bras, Pierre; Kohatsu-Higa, Arturo Simulation of reflected Brownian motion on two dimensional wedges. (English) Zbl 1502.60111 Stochastic Processes Appl. 156, 349-378 (2023). MSC: 60H35 65C05 65C30 PDFBibTeX XMLCite \textit{P. Bras} and \textit{A. Kohatsu-Higa}, Stochastic Processes Appl. 156, 349--378 (2023; Zbl 1502.60111) Full Text: DOI arXiv
Leobacher, Gunther; Reisinger, Christoph; Stockinger, Wolfgang Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift. (English) Zbl 1504.65017 BIT 62, No. 4, 1505-1549 (2022). MSC: 65C30 60H30 60H35 60K35 60K40 PDFBibTeX XMLCite \textit{G. Leobacher} et al., BIT 62, No. 4, 1505--1549 (2022; Zbl 1504.65017) Full Text: DOI arXiv
Muniz, Michelle; Ehrhardt, Matthias; Günther, Michael; Winkler, Renate Higher strong order methods for linear Itô SDEs on matrix Lie groups. (English) Zbl 1507.65033 BIT 62, No. 4, 1095-1119 (2022). MSC: 65C30 60H10 60H35 65L06 65P10 PDFBibTeX XMLCite \textit{M. Muniz} et al., BIT 62, No. 4, 1095--1119 (2022; Zbl 1507.65033) Full Text: DOI arXiv
Akiyama, Naho; Yamada, Toshihiro A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting. (English) Zbl 1491.60078 Monte Carlo Methods Appl. 28, No. 2, 97-110 (2022). MSC: 60H07 60H35 65C05 65C30 91G60 PDFBibTeX XMLCite \textit{N. Akiyama} and \textit{T. Yamada}, Monte Carlo Methods Appl. 28, No. 2, 97--110 (2022; Zbl 1491.60078) Full Text: DOI
E, Weinan; Hutzenthaler, Martin; Jentzen, Arnulf; Kruse, Thomas Multilevel Picard iterations for solving smooth semilinear parabolic heat equations. (English) Zbl 1476.65273 SN Partial Differ. Equ. Appl. 2, No. 6, Paper No. 80, 31 p. (2021). MSC: 65M75 65C05 68T07 PDFBibTeX XMLCite \textit{W. E} et al., SN Partial Differ. Equ. Appl. 2, No. 6, Paper No. 80, 31 p. (2021; Zbl 1476.65273) Full Text: DOI arXiv
Ahmadinia, M.; Afshari, A. H.; Heydari, M. Numerical solution of Itô-Volterra integral equation by least squares method. (English) Zbl 1456.65005 Numer. Algorithms 84, No. 2, 591-602 (2020). MSC: 65C30 45D05 45R05 60H20 65R20 PDFBibTeX XMLCite \textit{M. Ahmadinia} et al., Numer. Algorithms 84, No. 2, 591--602 (2020; Zbl 1456.65005) Full Text: DOI
Wang, Andi Q.; Roberts, Gareth O.; Steinsaltz, David An approximation scheme for quasi-stationary distributions of killed diffusions. (English) Zbl 1434.60014 Stochastic Processes Appl. 130, No. 5, 3193-3219 (2020). MSC: 60B12 60J60 37C50 65C05 PDFBibTeX XMLCite \textit{A. Q. Wang} et al., Stochastic Processes Appl. 130, No. 5, 3193--3219 (2020; Zbl 1434.60014) Full Text: DOI arXiv
Arnaudon, Marc; Del Moral, Pierre A variational approach to nonlinear and interacting diffusions. (English) Zbl 1480.65025 Stochastic Anal. Appl. 37, No. 5, 717-748 (2019). MSC: 65C35 82M30 58J65 47J20 PDFBibTeX XMLCite \textit{M. Arnaudon} and \textit{P. Del Moral}, Stochastic Anal. Appl. 37, No. 5, 717--748 (2019; Zbl 1480.65025) Full Text: DOI arXiv
Yamada, Toshihiro; Yamamoto, Kenta Second order discretization of Bismut-Elworthy-Li formula: application to sensitivity analysis. (English) Zbl 1454.60073 SIAM/ASA J. Uncertain. Quantif. 7, 143-173 (2019). MSC: 60H07 65C05 65C30 90C31 91G60 PDFBibTeX XMLCite \textit{T. Yamada} and \textit{K. Yamamoto}, SIAM/ASA J. Uncertain. Quantif. 7, 143--173 (2019; Zbl 1454.60073) Full Text: DOI
E, Weinan; Hutzenthaler, Martin; Jentzen, Arnulf; Kruse, Thomas On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations. (English) Zbl 1418.65149 J. Sci. Comput. 79, No. 3, 1534-1571 (2019). MSC: 65M75 65C05 91G60 PDFBibTeX XMLCite \textit{W. E} et al., J. Sci. Comput. 79, No. 3, 1534--1571 (2019; Zbl 1418.65149) Full Text: DOI arXiv
Baños, David The Bismut-Elworthy-Li formula for mean-field stochastic differential equations. (English. French summary) Zbl 1396.60063 Ann. Inst. Henri Poincaré, Probab. Stat. 54, No. 1, 220-233 (2018). MSC: 60H07 60H10 60J60 65C05 PDFBibTeX XMLCite \textit{D. Baños}, Ann. Inst. Henri Poincaré, Probab. Stat. 54, No. 1, 220--233 (2018; Zbl 1396.60063) Full Text: DOI arXiv
Balseiro, Paula; Stuchi, Teresinha J.; Cabrera, Alejandro; Koiller, Jair About simple variational splines from the Hamiltonian viewpoint. (English) Zbl 1368.65092 J. Geom. Mech. 9, No. 3, 257-290 (2017). MSC: 65K10 49J15 53D20 65D07 65P10 PDFBibTeX XMLCite \textit{P. Balseiro} et al., J. Geom. Mech. 9, No. 3, 257--290 (2017; Zbl 1368.65092) Full Text: DOI arXiv
Heydari, M. H.; Hooshmandasl, M. R.; Loghmani, Gh. Barid; Cattani, C. Wavelets Galerkin method for solving stochastic heat equation. (English) Zbl 1356.65018 Int. J. Comput. Math. 93, No. 9, 1579-1596 (2016). MSC: 65C30 60H15 60H35 34K05 35R60 PDFBibTeX XMLCite \textit{M. H. Heydari} et al., Int. J. Comput. Math. 93, No. 9, 1579--1596 (2016; Zbl 1356.65018) Full Text: DOI
Heydari, M. H.; Hooshmandasl, M. R.; Shakiba, A.; Cattani, C. Legendre wavelets Galerkin method for solving nonlinear stochastic integral equations. (English) Zbl 1355.65011 Nonlinear Dyn. 85, No. 2, 1185-1202 (2016). MSC: 65C30 65R20 42C40 PDFBibTeX XMLCite \textit{M. H. Heydari} et al., Nonlinear Dyn. 85, No. 2, 1185--1202 (2016; Zbl 1355.65011) Full Text: DOI
Piggott, M. J.; Solo, V. Geometric Euler-Maruyama schemes for stochastic differential equations in \(\mathrm{SO}(n)\) and \(\mathrm{SE}(n)\). (English) Zbl 1347.65015 SIAM J. Numer. Anal. 54, No. 4, 2490-2516 (2016). MSC: 65C30 60H15 35R60 60H35 PDFBibTeX XMLCite \textit{M. J. Piggott} and \textit{V. Solo}, SIAM J. Numer. Anal. 54, No. 4, 2490--2516 (2016; Zbl 1347.65015) Full Text: DOI
Kuehn, Christian Numerical continuation and SPDE stability for the 2D cubic-quintic Allen-Cahn equation. (English) Zbl 1339.60096 SIAM/ASA J. Uncertain. Quantif. 3, 762-789 (2015). MSC: 60H35 60H15 60H10 35R60 65C30 65P30 PDFBibTeX XMLCite \textit{C. Kuehn}, SIAM/ASA J. Uncertain. Quantif. 3, 762--789 (2015; Zbl 1339.60096) Full Text: DOI arXiv
Heydari, M. H.; Hooshmandasl, M. R.; Maalek Ghaini, F. M.; Cattani, C. A computational method for solving stochastic Itô-Volterra integral equations based on stochastic operational matrix for generalized hat basis functions. (English) Zbl 1349.65711 J. Comput. Phys. 270, 402-415 (2014). MSC: 65R20 45D05 45R05 60H20 PDFBibTeX XMLCite \textit{M. H. Heydari} et al., J. Comput. Phys. 270, 402--415 (2014; Zbl 1349.65711) Full Text: DOI
Cai, Ning; Li, Chenxu; Shi, Chao Closed-form expansions of discretely monitored Asian options in diffusion models. (English) Zbl 1334.60118 Math. Oper. Res. 39, No. 3, 789-822 (2014). MSC: 60H30 60H10 60J60 60H07 60H35 91B24 91B70 91G80 65C30 PDFBibTeX XMLCite \textit{N. Cai} et al., Math. Oper. Res. 39, No. 3, 789--822 (2014; Zbl 1334.60118) Full Text: DOI Link
Abdulle, Assyr; Blumenthal, Adrian Stabilized multilevel Monte Carlo method for stiff stochastic differential equations. (English) Zbl 1349.65028 J. Comput. Phys. 251, 445-460 (2013). MSC: 65C30 60H10 60H35 65C05 PDFBibTeX XMLCite \textit{A. Abdulle} and \textit{A. Blumenthal}, J. Comput. Phys. 251, 445--460 (2013; Zbl 1349.65028) Full Text: DOI Link
Ichiba, Tomoyuki; Kardaras, Constantinos Efficient estimation of one-dimensional diffusion first passage time densities via Monte Carlo simulation. (English) Zbl 1230.65003 J. Appl. Probab. 48, No. 3, 699-712 (2011). Reviewer: Rózsa Horvàth-Bokor (Budapest) MSC: 65C05 60G44 60J60 60J65 PDFBibTeX XMLCite \textit{T. Ichiba} and \textit{C. Kardaras}, J. Appl. Probab. 48, No. 3, 699--712 (2011; Zbl 1230.65003) Full Text: DOI arXiv
Mao, Xuerong Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations. (English) Zbl 1114.65005 J. Comput. Appl. Math. 200, No. 1, 297-316 (2007). Reviewer: Grigori N. Milstein (Ekaterinburg) MSC: 65C30 60H10 60H35 34F05 65L05 65L20 PDFBibTeX XMLCite \textit{X. Mao}, J. Comput. Appl. Math. 200, No. 1, 297--316 (2007; Zbl 1114.65005) Full Text: DOI