6 papers · 1 filter
Domain preserving splitting schemes for a class of SPDEs driven by a standard Brownian motion
Charles-Edouard Bréhier, David Cohen, Gijs Custers
We consider a class of SPDEs driven by a standard real-valued Brownian motion, with drift and diffusion coefficients such that there exists a unique mild solution taking values in…
Explicit domain preserving numerical schemes for a class of stochastic differential equations
Charles-Edouard Bréhier, David Cohen
We construct and analyze numerical schemes for systems of stochastic differential equations, which preserve almost surely a given hypercube of arbitrary dimension. We propose a new…
Analysis of a first-order explicit positivity preserving scheme for a class of scalar SDEs
Charles-Edouard Bréhier, David Cohen
We propose and analyze a first-order numerical scheme for a class of scalar Itô stochastic differential equations with almost surely positive solutions. We construct a new explicit…
Long-time behavior of exact and numerical solutions of stochastic evolution equations on the sphere
David Cohen, Björn Müller, Andrea Papini
We investigate the long-time behavior of exact solutions and numerical approximations of linear stochastic evolution equations defined on the sphere. We focus on three classical mo…
Analysis of an exponential integrator for stochastic PDEs driven by Riesz noise
Charles-Edouard Bréhier, David Cohen, Lluís Quer-Sardanyons +1
We present and study an explicit exponential integrator for parabolic SPDEs in any dimension driven by a Gaussian noise which is white in time and with spatial correlation given by…
Fully discrete approximation of the semilinear stochastic wave equation on the sphere
David Cohen, Stefano Di Giovacchino, Annika Lang
The semilinear stochastic wave equation on the sphere driven by multiplicative Gaussian noise is discretized by a stochastic trigonometric integrator in time and a spectral Galerki…