On the Convergence Rate of Euler Scheme for SDE with Lipschitz Drift and Constant Diffusion

It is well known that the weak Euler approximation of a stochastic differential equation has order one, provided the coefficients of the equation are sufficiently smooth. We prove that the order of the approximation is still one in the case where the drift coefficient is a Lipschitz function and the diffusion coefficient is constant.     

The Euler Scheme for Feller Processes

We consider the Euler scheme for stochastic differential equations with jumps, whose intensity might be infinite and the jump structure may depend on the position. This general type of SDE is explicitly given for Feller processes and a general convergence condition is presented.

In particular, the characteristic functions of the increments of the Euler scheme are calculated in terms of the symbol of the Feller process in a closed form. These increments are increments of Lévy processes and, thus, the Euler scheme can be used for simulation by applying standard techniques from Lévy processes.     

随机微分方程欧拉格式算法分析

首先给出了线性随机微分方程的欧拉格式算法,然后给出了非线性随机微分方程变步长的欧拉格式算法,接着讨论了其对初值的连续依赖性和收敛性.     

A Finite Volume Implicit Euler Scheme for the Linearized Shallow Water Equations: Stability and Convergence

The linearized shallow water equations are discretized in space by a finite volume method and in time by an implicit Euler scheme. Stability and convergence of the scheme are proved.     

具有Markov调制的随机种群系统半驯服Euler法的指数稳定性

根据半驯服Euler法讨论了具有Markov调制的随机年龄结构种群系统的数值解. 在非局部Lipschitz条件下, 利用~Burkholder-Davis-Gundy~不等式、It\^{o} 公式和~Gronwall~引理, 证明了半驯服Euler数值解不仅强收敛阶数为~0.5, 而且这种方法在时间步长一定的条件下有很好的均方指数稳定性. 最后通过数值例子对所给的结论进行了验证.     

改进欧拉格式求解随机微分方程的收敛性

采用改进的欧拉格式求解随机微分方程,当方程的偏移系数和扩散系数均满足全局Lipschitz条件和线性增长条件时,证明改进格式的强收敛的阶是1/2.     

On the Euler implicit/explicit iterative scheme for the stationary Oldroyd fluid

In this article, we consider the stationary Oldroyd fluid equations from the large time behavior research of the nonstationary equations. Thus, to obtain its numerical solution, we first solve the nonstationary Oldroyd fluid equations via the Euler implicit/explicit finite element method with the integral term discretized by the right‐hand rectangle rule, then increase the total time (i.e., number of time steps) to approximate the solution of the original stationary equations. Under a new uniqueness condition (A2), we prove the exponential stability of the solution pair for the stationary equations and the almost unconditional stability of the numerical method. Furthermore, we also obtain the uniform optimal and error estimates in time integral . Finally, several numerical experiments are provided to verify our theoretical results.     

On a Lagrangian Formulation of the Incompressible Euler Equation

In this paper we show that the incompressible Euler equation on the Sobolev space $H^s(\mathbb{R}^n), s › n ⁄ 2+1$, can be expressed in Lagrangian coordinates as a geodesic equation on an infinite dimensional manifold. Moreover the Christoffel map describing the geodesic equation is real analytic. The dynamics in Lagrangian coordinates is described on the group of volume preserving diffeomorphisms, which is an analytic submanifold of the whole diffeomorphism group. Furthermore it is shown that a Sobolev class vector field integrates to a curve on the diffeomorphism group.     

基于Euler方程有限差分方法驻波晃动模拟

研究在二维水槽带非线性自由面边界条件的Euler方程的数值解,数值模拟了驻波的波高．将不规则的物理区域变换为一个固定的正方形计算区域,在计算区域使用交错网格技术的目的是准确捕捉流场瞬间的波高值,应用由Bang-fuh Chen建立的时间无关有限差分方法求解不可压缩无粘Euler方程的数值解．通过数值结果表明,数值解很好地吻合分析解和以前出版的文献结果．从数值解可以看出,非线性现象和拍的现象非常明显,同时数值模拟了带初始驻波的水平激励和垂直激励运动,具有很好的数值效果．     

Global Entropy Solutions of the Cauchy Problem for Nonhomogeneous Relativistic Euler System

We analyze the 2×2 nonhomogeneous relativistic Euler equations for perfect fluids in special relativity. We impose appropriate conditions on the lower order source terms and establish the existence of global entropy solutions of the Cauchy problem under these conditions.     

带密度的不可压Euler方程在临界Besov空间中的适定性

本文证明了带密度的不可压Euler方程在临界Besov空间中的局部适定性,并且只用涡度场给出了强解的一个爆破准则.另外,本文关于带密度的不可压磁流体方程得到了类似结果.     

Product Markovian Quantization of a Diffusion Process with Applications to Finance

Methodology and Computing in Applied Probability - We introduce a new methodology for the quantization of the Euler scheme for a d-dimensional diffusion process. This method is based on a Markovian...     

Recursive Estimation of Regression Functions by Local Polynomial Fitting

The recursive estimation of the regression function m(x) = E(Y/X = x) and its derivatives is studied under dependence conditions. The examined method of nonparametric estimation is a recursive version of the estimator based on locally weighted polynomial fitting, that in recent articles has proved to be an attractive technique and has advantages over other popular estimation techniques. For strongly mixing processes, expressions for the bias and variance of these estimators are given and asymptotic normality is established. Finally, a simulation study illustrates the proposed estimation method.     

On a conjecture of the Euler numbers

The main purpose of this paper is to prove a conjecture of the Euler numbers and its generalization by using the analytic methods. That is, for any prime and integer α?1 we proved , where E2n are the Euler numbers and ?(n) the Euler function.     

时间空间均为二阶的新型NND差分格式

张涵信的研究表明,为了避免激波前后差分解的波动,在差分格式的改型方程中三阶导数的系数在激波上游必须是正的,而在激波下游则必须是负的.据此提出了一种新型的无波动、无自由参数耗散性的差分格式,它对时间和空间都是二阶的.证明了此格式是TVD的,而且是推广的二阶Годунов格式.在处理有激波的流场时,此格式是Lax-Wendroff格式的改进和推广.给出了若干算例,计算结果表明,此格式不仅无波动,而且具有形式紧凑、应用方便、分辨率高、稳定性准则中的Courant数较大的优点.     

一类循环序列的稳定性

讨论了循环序列x_(n+1)=(α-βx_n)/(γ+x_(n-1)),n=0,1,2,….解的整体渐近稳定性,用系数α,β,γ给出了其正的平衡点是全局吸引的充分条件及全局吸引域.其中α,β,γ为正实数.     

Existence and stability of solutions to the compressible Euler equations with an outer force

We study the compressible Euler equation with an outer force. The global existence theorem has been proved in many papers, provided that the outer force is bounded. However, the stability of their solutions has not yet been obtained until now. Our goal in this paper is to prove the existence of a global solution without such an assumption as boundedness. Moreover, we deduce a uniformly bounded estimate with respect to the time. This yields the stability of the solution.When we prove the global existence, the most difficult point is to obtain the bounded estimate for approximate solutions. To overcome this, we employ an invariant region, which depends on both space and time variables. To use the invariant region, we introduce a modified difference scheme. To prove their convergence, we apply the compensated compactness framework.     

一类Euler方程解的渐近行为

给出了一类Ginzburg-Landau型泛函的极小元所满足的Euler方程的解的某些弱收敛性质。