2,361 research outputs found

    Semi-implicit Taylor schemes for stiff rough differential equations

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    We study a class of semi-implicit Taylor-type numerical methods that are easy to implement and designed to solve multidimensional stochastic differential equations driven by a general rough noise, e.g. a fractional Brownian motion. In the multiplicative noise case, the equation is understood as a rough differential equation in the sense of T. Lyons. We focus on equations for which the drift coefficient may be unbounded and satisfies a one-sided Lipschitz condition only. We prove well-posedness of the methods, provide a full analysis, and deduce their convergence rate. Numerical experiments show that our schemes are particularly useful in the case of stiff rough stochastic differential equations driven by a fractional Brownian motion

    Semi-implicit Taylor schemes for stiff rough differential equations

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    We study a class of semi-implicit Taylor-type numerical methods that are easy to implement and designed to solve multidimensional stochastic differential equations driven by a general rough noise, e.g. a fractional Brownian motion. In the multiplicative noise case, the equation is understood as a rough differential equation in the sense of T. Lyons. We focus on equations for which the drift coefficient may be unbounded and satisfies a one-sided Lipschitz condition only. We prove well-posedness of the methods, provide a full analysis, and deduce their convergence rate. Numerical experiments show that our schemes are particularly useful in the case of stiff rough stochastic differential equations driven by a fractional Brownian motion

    Continuous, Semi-discrete, and Fully Discretized Navier-Stokes Equations

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    The Navier--Stokes equations are commonly used to model and to simulate flow phenomena. We introduce the basic equations and discuss the standard methods for the spatial and temporal discretization. We analyse the semi-discrete equations -- a semi-explicit nonlinear DAE -- in terms of the strangeness index and quantify the numerical difficulties in the fully discrete schemes, that are induced by the strangeness of the system. By analyzing the Kronecker index of the difference-algebraic equations, that represent commonly and successfully used time stepping schemes for the Navier--Stokes equations, we show that those time-integration schemes factually remove the strangeness. The theoretical considerations are backed and illustrated by numerical examples.Comment: 28 pages, 2 figure, code available under DOI: 10.5281/zenodo.998909, https://doi.org/10.5281/zenodo.99890

    An accurate scheme to solve cluster dynamics equations using a Fokker-Planck approach

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    We present a numerical method to accurately simulate particle size distributions within the formalism of rate equation cluster dynamics. This method is based on a discretization of the associated Fokker-Planck equation. We show that particular care has to be taken to discretize the advection part of the Fokker-Planck equation, in order to avoid distortions of the distribution due to numerical diffusion. For this purpose we use the Kurganov-Noelle-Petrova scheme coupled with the monotonicity-preserving reconstruction MP5, which leads to very accurate results. The interest of the method is highlighted on the case of loop coarsening in aluminum. We show that the choice of the models to describe the energetics of loops does not significantly change the normalized loop distribution, while the choice of the models for the absorption coefficients seems to have a significant impact on it

    The Explicit-Implicit-Null method:Removing the numerical instability of PDEs

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