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Title

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

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Defense Thèse de doctorat : Univ. Genève, 2020 - Sc. 5511 - 2020/11/03
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.
Keywords Explicit stabilized methodsOptimal control problemsStochastic differential equationsDiffusion problems
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URN: urn:nbn:ch:unige-1454829
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Thesis (5.8 MB) - public document Free access
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Research group Analyse numérique
Projects FNS: 200020_184614
FNS: 200021_162404
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ALMUSLIMANI, Ibrahim. Explicit Stabilized Methods for Stiff Stochastic Differential Equations and Stiff Optimal Control Problems. Université de Genève. Thèse, 2020. doi: 10.13097/archive-ouverte/unige:145482 https://archive-ouverte.unige.ch/unige:145482

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Deposited on : 2020-11-30

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