3 papers
math.NA2024
Numerical approximation of SDEs driven by fractional Brownian motion for all using WIS integration
Utku Erdogan, Gabriel J. Lord, Roy B. Schieven
We examine the numerical approximation of a quasilinear stochastic differential equation (SDE) with multiplicative fractional Brownian motion. The stochastic integral is interprete…
math.NA2023
Weak Convergence Of Tamed Exponential Integrators for Stochastic Differential Equations
Utku Erdogan, Gabriel J. Lord
We prove weak convergence of order one for a class of exponential based integrators for SDEs with non-globally Lipschtiz drift. Our analysis covers tamed versions of Geometric Brow…
math.NA2014
Numerical solution of the Burgers' equation with high order splitting methods
Muaz Seydaoğlu, Utku Erdoğan, Turgut Öziş
In this work, high order splitting methods have been used for calculating the numerical solutions of the Burgers' equation in one space dimension with periodic and Dirichlet bounda…