Chebyshev methods with discrete noise: the tau-ROCK methods
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The aim of this project is to implement the Rosenbrock method ROS3P in the C++ Finite Element library LifeV for the solution of systems of ordinary differential equations arising in electrophysiology. In the domain of electrophysiology LifeV implements car ...
To describe and simulate dynamic micromagnetic phenomena, we consider a coupled system of the non-linear Landau-Lifshitz-Gilbert equation and the conservation of momentum equation. This coupling allows one to include magnetostrictive effects into the simul ...
Using a stylized two-period model we compare portfolio solutions from two local solution approaches - the approach of Judd and Guu (2001) and the approach of Devereux and Sutherland (2010, 2011) - with the true nonlinear portfolio solution. (C) 2014 The Au ...
We compare the performance of the perturbation-based (local) portfolio solution method of Devereux & Sutherland (2010a, 2011) with a global solution method. As a test suite we use model specifications that broadly capture features of international financia ...
Multiscale differential equations arise in the modeling of many important problems in the science and engineering. Numerical solvers for such problems have been extensively studied in the deterministic case. Here, we discuss numerical methods for (mean-squ ...
Stochastic models that account for sudden, unforeseeable events play a crucial role in many different fields such as finance, economics, biology, chemistry, physics and so on. That kind of stochastic problems can be modeled by stochastic differential equat ...
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 ...
The need for optimal control of processes under a restricted amount of resources renders first order optimization methods a viable option. Although computationally cheap, these methods typically suffer from slow convergence rates. In this work we discuss t ...
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 ...
One of the problems of non-invasive BCI applications is the noise and change of EEG recordings that can result in performance degradation. Signal noise and changes can for instance be the result of electrode misplacements, impedances degradation or complet ...