3 citations · 6 across the 7 of their papers we have counts for
7 papers
Splitting integrators for linear Vlasov equations with stochastic perturbations
Charles-Edouard Bréhier, David Cohen
We consider a class of linear Vlasov partial differential equations driven by Wiener noise. Different types of stochastic perturbations are treated: additive noise, multiplicative…
Positivity-preserving schemes for some nonlinear stochastic PDEs
Charles-Edouard Bréhier, David Cohen, Johan Ulander
We introduce a positivity-preserving numerical scheme for a class of nonlinear stochastic heat equations driven by a purely time-dependent Brownian motion. The construction is insp…
Analysis of a positivity-preserving splitting scheme for some nonlinear stochastic heat equations
Charles-Edouard Bréhier, David Cohen, Johan Ulander
We construct a positivity-preserving Lie--Trotter splitting scheme with finite difference discretization in space for approximating the solutions to a class of nonlinear stochastic…
Uniform error bounds for numerical schemes applied to multiscale SDEs in a Wong-Zakai diffusion approximation regime
Charles-Edouard Bréhier
We study a family of numerical schemes applied to a class of multiscale systems of stochastic differential equations. When the time scale separation parameter vanishes, a well-know…
Uniform strong and weak error estimates for numerical schemes applied to multiscale SDEs in a Smoluchowski-Kramers diffusion approximation regime
Charles-Edouard Bréhier
We study a family of numerical schemes applied to a class of multiscale systems of stochastic differential equations. When the time scale separation parameter vanishes, a well-know…
Splitting schemes for FitzHugh--Nagumo stochastic partial differential equations
Charles-Edouard Bréhier, David Cohen, Giuseppe Giordano
We design and study splitting integrators for the temporal discretization of the stochastic FitzHugh--Nagumo system. This system is a model for signal propagation in nerve cells wh…