A partitioned implicit-explicit orthogonal Runge-Kutta method (PIROCK) is proposed for the time integration of diffusion-advection-reaction problems with possibly severely stiff reaction terms and stiff stochastic terms. The diffusion terms are solved by t ...
The effect of numerical quadrature in finite element methods for solving quasilinear elliptic problems of nonmonotone type is studied. Under similar assumption on the quadrature formula as for linear problems, optimal error estimates in the L^2 and the H^1 ...
We introduce and analyze an efficient numerical homogenization method for a class of nonlinear parabolic problems of monotone type in highly oscillatory media. The new scheme avoids costly Newton iterations and is linear at both the macroscopic and the mic ...
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 ...
Inspired by recent advances in the theory of modified differential equations, we propose a new methodology for constructing numerical integrators with high weak order for the time integration of stochastic differential equations. This approach is illustrat ...
Numerical methods for parabolic homogenization problems combining finite element methods (FEMs) in space with Runge-Kutta methods in time are proposed. The space discretization is based on the coupling of macro and micro finite element methods following th ...
Explicit stabilized integrators are an efficient alternative to implicit or semiimplicit methods to avoid the severe time-step restriction faced by standard explicit integrators applied to stiff diffusion problems. In this paper we provide a fully discrete ...
In this paper, we propose a new approach for sampling from probability measures in, possibly, high-dimensional spaces. By perturbing the standard overdamped Langevin dynamics by a suitable Stratonovich perturbation that preserves the invariant measure of t ...
