Higher strong order methods for linear Itô SDEs on matrix Lie groups

In this paper we present a general procedure for designing higher strong order methods for linear Itô stochastic differential equations on matrix Lie groups and illustrate this strategy with two novel schemes that have a strong convergence order of 1.5. Based on the Runge–Kutta–Munthe–Kaas (RKMK) method for ordinary differential equations on Lie groups, we present a stochastic version of this scheme and derive a condition such that the stochastic RKMK has the same strong convergence order as the underlying stochastic Runge–Kutta method. Further, we show how our higher order schemes can be applied in a mechanical engineering as well as in a financial mathematics setting.

Singularly Perturbed Reaction–Diffusion Problems as First order systems

We consider a singularly perturbed reaction diffusion problem as a first order two-by-two system. Using piecewise discontinuous polynomials for the first component and $$H_{{{\,\mathrm{{div}}\,}}}$$ H div -conforming elements for the second component we provide a convergence analysis on layer adapted meshes and an optimal convergence order in a balanced norm that is comparable with a balanced $$H^2$$ H 2 -norm for the second order formulation.

An embedded discontinuous Galerkin method for the Oseen equations

In this paper, the a prior error estimates of an embedded discontinuous Galerkin method for the Oseen equations are presented. It is proved that the velocity error in the L 2 (Ω) norm, has an optimal error bound with convergence order k + 1, where the constants are dependent on the Reynolds number (or ν − 1 ), in the diffusion-dominated regime, and in the convection-dominated regime, it has a Reynolds-robust error bound with quasi-optimal convergence order k +1 / 2. Here, k is the polynomial order of the velocity space. In addition, we also prove an optimal error estimate for the pressure. Finally, we carry out some numerical experiments to corroborate our analytical results.

Extending the Convergence of Two Similar Sixth Order Schemes for Solving Equations under Generalized Conditions

The applicability of two competing efficient sixth convergence order schemes is extended for solving Banach space valued equations. In previous works, the seventh derivative has been used not appearing on the schemes. But we use only the first derivative that appears on the scheme. Moreover, bounds on the error distances and results on the uniqueness of the solution are provided not given in the earlier works based on ω-continuity conditions. Our technique extends other schemes analogously, since it is so general. Numerical examples complete this work.

Extended convergence of a sixth order scheme for solving equations under ω–continuity conditions

The applicability of an efficient sixth convergence order scheme is extended for solving Banach space valued equations. In previous works, the seventh derivative has been used not appearing on the scheme. But we use only the first derivative that appears on the scheme. Moreover, bounds on the error distances and results on the uniqueness of the solution are provided (not given in earlier works) based on ω–continuity conditions. Numerical examples complete this article.