Convergence analysis of explicit stabilized integrators for parabolic semilinear stochastic PDEs
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This paper presents an efficient method to implement a damage law within an explicit time-integration scheme, in an open-source object-oriented finite-element framework. The hybrid object/vector design of the framework and implementation choices are detail ...
We propose a multiscale method based on a finite element heterogeneous multiscale method (in space) and the implicit Euler integrator (in time) to solve nonlinear monotone parabolic problems with multiple scales due to spatial heterogeneities varying rapid ...
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We introduce a new family of explicit integrators for stiff Ito stochastic differential equations (SDEs) of weak order two. These numerical methods belong to the class of one-step stabilized methods with extended stability domains and do not suffer from th ...
We introduce two drift-diagonally-implicit and derivative-free integrators for stiff systems of It stochastic differential equations with general non-commutative noise which have weak order 2 and deterministic order 2, 3, respectively. The methods are show ...
We present a novel statistically-based discretization paradigm and derive a class of maximum a posteriori (MAP) estimators for solving ill-conditioned linear inverse problems. We are guided by the theory of sparse stochastic processes, which specifies cont ...
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Finite elements methods (FEMs) with numerical integration play a central role in numerical homogenization methods for partial differential equations with multiple scales, as the effective data in a homogenization problem can only be recovered from a micros ...
We introduce new sufficient conditions for a numerical method to approximate with high order of accuracy the invariant measure of an ergodic system of stochastic differential equations, independently of the weak order of accuracy of the method. We then pre ...
Society for Industrial and Applied Mathematics2014