en
Doctoral thesis
Open access
English

Explicit Stabilized Methods for Stiff Stochastic Differential Equations and Stiff Optimal Control Problems

Defense date2020-11-03
Abstract

Explicit stabilized methods are an efficient and powerful alternative to implicit schemes for the time integration of stiff systems of differential equations in large dimensions. In the present thesis, we derive new explicit stabilized methods for stiff and ergodic stochastic differential equations and for stiff optimal control problems. We analyze rigorously their stability and convergence properties. Numerical experiments, including deterministic and stochastic diffusion partial differential equations, illustrate the performance of the proposed schemes.

eng
Keywords
  • Explicit stabilized methods
  • Optimal control problems
  • Stochastic differential equations
  • Diffusion problems
Research group
Citation (ISO format)
ALMUSLIMANI, Ibrahim. Explicit Stabilized Methods for Stiff Stochastic Differential Equations and Stiff Optimal Control Problems. 2020. doi: 10.13097/archive-ouverte/unige:145482
Main files (1)
Thesis
accessLevelPublic
Identifiers
428views
148downloads

Technical informations

Creation11/24/2020 10:48:00 AM
First validation11/24/2020 10:48:00 AM
Update time04/18/2023 11:08:35 AM
Status update04/18/2023 11:08:35 AM
Last indexation01/29/2024 10:26:18 PM
All rights reserved by Archive ouverte UNIGE and the University of GenevaunigeBlack