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ANR project: Code decision (reference) : ANR-19-CE40-0016

A note on weak existence for SDEs driven by fractional Brownian motion

Lukas Anzeletti
2023
Preprints, Working Papers, ... hal-04153689v1
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Approximation of the invariant distribution for a class of ergodic SPDEs using an explicit tamed exponential Euler scheme

Charles-Edouard Bréhier
ESAIM: Mathematical Modelling and Numerical Analysis, 2022, 56 (1), pp.151-175. ⟨10.1051/m2an/2021089⟩
Journal articles hal-03560973v1
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Uniform error bounds for numerical schemes applied to multiscale SDEs in a Wong-Zakai diffusion approximation regime

Charles-Edouard Bréhier
2022
Preprints, Working Papers, ... hal-03741112v1
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Numerical approximation of the stochastic Navier-Stokes equations through artificial compressibility

Jad Doghman
2023
Preprints, Working Papers, ... hal-03653870v2
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Numerical approximation of SDEs with fractional noise and distributional drift

Ludovic Goudenège , El Mehdi Haress , Alexandre Richard
2023
Preprints, Working Papers, ... hal-03715427v2
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ANALYSIS OF A SPLITTING SCHEME FOR A CLASS OF NONLINEAR STOCHASTIC SCHRODINGER EQUATIONS

Charles-Edouard Bréhier , David Cohen
2020
Preprints, Working Papers, ... hal-02893328v1
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Convergence analysis of explicit stabilized integrators for parabolic semilinear stochastic PDEs

Assyr Abdulle , Charles-Edouard Bréhier , Gilles Vilmart
IMA Journal of Numerical Analysis, 2021, 43 (1), pp.258-292. ⟨10.1093/imanum/drab090⟩
Journal articles hal-03133054v1
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ON ASYMPTOTIC PRESERVING SCHEMES FOR A CLASS OF STOCHASTIC DIFFERENTIAL EQUATIONS IN AVERAGING AND DIFFUSION APPROXIMATION REGIMES

Charles-Edouard Bréhier , Shmuel Rakotonirina-Ricquebourg
Multiscale Modeling and Simulation: A SIAM Interdisciplinary Journal, 2022, 20 (1), ⟨10.1137/20M1379836⟩
Journal articles hal-02988284v1

On the discrete-time simulation of the rough Heston model

Alexandre Richard , Xiaolu Tan , Fan Yang
SIAM Journal on Financial Mathematics, 2023, 14 (1), pp.223-249. ⟨10.1137/21M1443807⟩
Journal articles hal-03478994v1
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Convergence of a finite-volume scheme for a heat equation with a multiplicative Lipschitz noise

Caroline Bauzet , Flore Nabet , Kerstin Schmitz , Aleksandra Zimmermann
ESAIM: Mathematical Modelling and Numerical Analysis, In press
Journal articles hal-03663571v2

Regularisation by fractional noise for one-dimensional differential equations with distributional drift

Lukas Anzeletti , Alexandre Richard , Etienne Tanré
2021
Preprints, Working Papers, ... hal-03479702v1
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Splitting integrators for stochastic Lie--Poisson systems

Charles-Edouard Bréhier , David Cohen , Tobias Jahnke
2021
Preprints, Working Papers, ... hal-03431169v1
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Uniform strong and weak error estimates for numerical schemes applied to multiscale SDEs in a Smoluchowski-Kramers diffusion approximation regime

Charles-Edouard Bréhier
2022
Preprints, Working Papers, ... hal-03741115v1
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Convergence of the stochastic Navier-Stokes-α solutions toward the stochastic Navier-Stokes solutions

Jad Doghman , Ludovic Goudenège
2022
Preprints, Working Papers, ... hal-03794814v1
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STRONG RATES OF CONVERGENCE OF A SPLITTING SCHEME FOR SCHRÖDINGER EQUATIONS WITH NONLOCAL INTERACTION CUBIC NONLINEARITY AND WHITE NOISE DISPERSION

Charles-Edouard Bréhier , David Cohen
SIAM/ASA Journal on Uncertainty Quantification, 2022, 10 (1), ⟨10.1137/20M1378168⟩
Journal articles hal-02986230v1
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Analysis of a modified Euler scheme for parabolic semilinear stochastic PDEs

Charles-Edouard Bréhier
2022
Preprints, Working Papers, ... hal-03614530v1
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Approximation of the invariant distribution for a class of ergodic SPDEs using an explicit tamed exponential Euler scheme

Charles-Edouard Bréhier
2020
Preprints, Working Papers, ... hal-02955370v1
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Uniform weak error estimates for an asymptotic preserving scheme applied to a class of slow-fast parabolic semilinear SPDEs

Charles-Edouard Bréhier
2022
Preprints, Working Papers, ... hal-03614537v1
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Splitting schemes for FitzHugh-Nagumo stochastic partial differential equations

Charles-Edouard Bréhier , David Cohen , Giuseppe Giordano
2022
Preprints, Working Papers, ... hal-03735693v1
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Estimation of several parameters in discretely-observed Stochastic Differential Equations with additive fractional noise

El Mehdi Haress , Alexandre Richard
2023
Preprints, Working Papers, ... hal-04057186v2
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Approximation of the invariant distribution for a class of ergodic SDEs with one-sided Lipschitz continuous drift coefficient using an explicit tamed Euler scheme

Charles-Edouard Bréhier
2020
Preprints, Working Papers, ... hal-02955371v1
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Numerical and convergence analysis of the stochastic Lagrangian averaged Navier-Stokes equations

Jad Doghman , Ludovic Goudenège
Journal of Computational and Applied Mathematics, 2022, ⟨10.1016/j.cam.2022.114446⟩
Journal articles hal-03406041v3