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In this article, we combine a lattice sequence from Quasi-Monte Carlo rules with the philosophy of the Fourier-cosine method to design an approximation scheme for expectation computation. We study the error of this scheme and compare this scheme with our previous work on wavelets. Also, some numerical experiments are performed.
We present a discontinuous Galerkin internal-penalty scheme that is applicable to a large class of linear and non-linear elliptic partial differential equations. The scheme constitutes the foundation of the elliptic solver for the SpECTRE numerical r
We propose a quantization-based numerical scheme for a family of decoupled FBSDEs. We simplify the scheme for the control in Pag`es and Sagna (2018) so that our approach is fully based on recursive marginal quantization and does not involve any Monte
We analyze the qualitative properties and the order of convergence of a splitting scheme for a class of nonlinear stochastic Schrodinger equations driven by additive It^o noise. The class of nonlinearities of interest includes nonlocal interaction cu
Discontinuous Galerkin (DG) methods are extensions of the usual Galerkin finite element methods. Although there are vast amount of studies on DG methods, most of them have assumed shape-regularity conditions on meshes for both theoretical error analy
In this paper, we propose a hybrid finite volume Hermite weighted essentially non-oscillatory (HWENO) scheme for solving one and two dimensional hyperbolic conservation laws. The zeroth-order and the first-order moments are used in the spatial recons