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Mean-square A-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations

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Propagation Models for Biochemical Reaction Networks

Maria-Emanuela-Canini Mateescu

In this thesis we investigate different ways of approximating the solution of the chemical master equation (CME). The CME is a system of differential equations that models the stochastic transient behaviour of biochemical reaction networks. It does so by d ...

EPFL2011

Splitting Methods with Modified Potentials and Application to the Damped Wave Equation

Jonathan Rochat

In this report we study and compare particular integration methods to solve ordinary differential equations, which are separable in solvable parts. The main source for this work is the article of Blanes and Casas: "On the necessity of negative coefficient ...

2011

Stochastic integrals for spde's: A comparison

Robert Dalang

We present the Walsh theory of stochastic integrals with respect to martingale measures, and various extensions of this theory, alongside of the Da Prato and Zabczyk theory of stochastic integrals with respect to Hilbert-space-valued Wiener processes, and ...

Elsevier2011

Numerical Integration of SDEs: A Short Tutorial

Thomas Schaffter

Introduction to numerical methods to simulate systems of stochastic differential equations (SDEs) both in Ito and Stratonovich scheme. ...

2010

Jump-diffusions in Hilbert spaces: existence, stability and numerics

Damir Filipovic

By means of an original approach, called 'method of the moving frame', we establish existence, uniqueness and stability results for mild and weak solutions of stochastic partial differential equations (SPDEs) with path-dependent coefficients driven by an i ...

2010

Colored-Noise Thermostats à la Carte

Michele Ceriotti, Michele Parrinello

Recently, we have shown how a colored-noise Langevin equation can be used in the context of molecular dynamics as a tool to obtain dynamical trajectories whose properties are tailored to display desired sampling features. In the present paper, after having ...

2010

Regularity And Selecting Principles For Implicit Ordinary Differential Equations

Bernard Dacorogna

Implicit Ordinary or Partial Differential Equations have been widely studied in recent times, essentially from the existence of solutions point of view. One of the main issues is to select a meaningful solution among the infinitely many ones. The most cele ...

2009

Numerical analysis of optimization-constrained differential equations

Chantal Landry

The modeling of a system composed by a gas phase and organic aerosol particles, and its numerical resolution are studied. The gas-aerosol system is modeled by ordinary differential equations coupled with a mixed-constrained optimization problem. This coupl ...

EPFL2009

Numerical Simulation of a Class of PDAEs with a Separation of Time Scales

Benoît Chachuat

Problems that exhibit multiple time scales arise naturally in many scientific and engineering fields. For transient, distributed process systems, the corresponding models consist of partial differential equations (PDEs), possibly coupled to ordinary differ ...

Springer2007

Numerical methods for multiscale problems

Assyr Abdulle

The subject of this workshop was numerical methods that preserve geometric properties of the flow of an ordinary or partial differential equation: symplectic and multisymplectic integrators for Hamiltonian systems, symmetric integrators for reversible syst ...

EMS2006