In this paper,the convergence of the split-step theta method for stochastic differential equations is analyzed using stochastic C-stability and stochastic B-consistency.The fact that the numerical scheme,which is both...In this paper,the convergence of the split-step theta method for stochastic differential equations is analyzed using stochastic C-stability and stochastic B-consistency.The fact that the numerical scheme,which is both stochastically C-stable and stochastically B-consistent,is convergent has been proved in a previous paper.In order to analyze the convergence of the split-step theta method(θ∈[1/2,1]),the stochastic C-stability and stochastic B-consistency under the condition of global monotonicity have been researched,and the rate of convergence 1/2 has been explored in this paper.It can be seen that the convergence does not require the drift function should satisfy the linear growth condition whenθ=1/2 Furthermore,the rate of the convergence of the split-step scheme for stochastic differential equations with additive noise has been researched and found to be 1.Finally,an example is given to illustrate the convergence with the theoretical results.展开更多
In this paper, the generalized nonlinear Schrodinger equation （GNLSE） is solved by an adaptive split-step Fourier method （ASSFM）. It is found that ASSFM must be used to solve GNLSE to ensure precision when the sol...In this paper, the generalized nonlinear Schrodinger equation （GNLSE） is solved by an adaptive split-step Fourier method （ASSFM）. It is found that ASSFM must be used to solve GNLSE to ensure precision when the soliton selffrequency shift is remarkable and the photonic crystal fibre （PCF） parameters vary with the frequency considerably. The precision of numerical simulation by using ASSFM is higher than that by using split-step Fourier method in the process of laser pulse propagation in PCFs due to the fact that the variation of fibre parameters with the peak frequency in the pulse spectrum can be taken into account fully.展开更多
A class of general modified split-step balanced methods proposed in the paper can be applied to solve stiff stochastic differential systems with m-dimensional multiplicative noise. Compared to some other already repor...A class of general modified split-step balanced methods proposed in the paper can be applied to solve stiff stochastic differential systems with m-dimensional multiplicative noise. Compared to some other already reported split-step balanced methods, the drift increment function of the methods can be taken from any chosen ane-step ordinary differential equations （ODEs） solver. The schemes is proved to be strong convergent with order one. For the mean-square stability analysis, the investigation is confined to two cases. Some numerical experiments are reported to testify the performance and the effectiveness of the methods.展开更多
In this article, two split-step finite difference methods for Schrodinger-KdV equations are formulated and investigated. The main features of our methods are based on:(i) The applications of split-step technique for S...In this article, two split-step finite difference methods for Schrodinger-KdV equations are formulated and investigated. The main features of our methods are based on:(i) The applications of split-step technique for Schrodingerlike equation in time.(ii) The utilizations of high-order finite difference method for KdV-like equation in spatial discretization.(iii) Our methods are of spectral-like accuracy in space and can be realized by fast Fourier transform efficiently. Numerical experiments are conducted to illustrate the efficiency and accuracy of our numerical methods.展开更多
In this paper,we investigate the theoretical and numerical analysis of the stochastic Volterra integro-differential equations(SVIDEs)driven by L´evy noise.The existence,uniqueness,boundedness and mean square expo...In this paper,we investigate the theoretical and numerical analysis of the stochastic Volterra integro-differential equations(SVIDEs)driven by L´evy noise.The existence,uniqueness,boundedness and mean square exponential stability of the analytic solutions for SVIDEs driven by L´evy noise are considered.The split-step theta method of SVIDEs driven by L´evy noise is proposed.The boundedness of the numerical solution and strong convergence are proved.Moreover,its mean square exponential stability is obtained.Some numerical examples are given to support the theoretical results.展开更多
For solving the stochastic differential equations driven by fractional Brownian motion,we present the modified split-step theta method by combining truncated Euler-Maruyama method with split-step theta method.For the ...For solving the stochastic differential equations driven by fractional Brownian motion,we present the modified split-step theta method by combining truncated Euler-Maruyama method with split-step theta method.For the problem under a locally Lipschitz condition and a linear growth condition,we analyze the strong convergence and the exponential stability of the proposed method.Moreover,for the stochastic delay differential equations with locally Lipschitz drift condition and globally Lipschitz diffusion condition,we give the order of convergence.Finally,numerical experiments are done to confirm the theoretical conclusions.展开更多
In this paper,a double-effect DNN-based Digital Back-Propagation(DBP)scheme is proposed and studied to achieve the Integrated Communication and Sensing(ICS)ability,which can not only realize nonlinear damage mitigatio...In this paper,a double-effect DNN-based Digital Back-Propagation(DBP)scheme is proposed and studied to achieve the Integrated Communication and Sensing(ICS)ability,which can not only realize nonlinear damage mitigation but also monitor the optical power and dispersion profile over multi-span links.The link status information can be extracted by the characteristics of the learned optical fiber parameters without any other measuring instruments.The efficiency and feasibility of this method have been investigated in different fiber link conditions,including various launch power,transmission distance,and the location and the amount of the abnormal losses.A good monitoring performance can be obtained while the launch optical power is 2 dBm which does not affect the normal operation of the optical communication system and the step size of DBP is 20 km which can provide a better distance resolution.This scheme successfully detects the location of single or multiple optical attenuators in long-distance multi-span fiber links,including different abnormal losses of 2 dB,4 dB,and 6 dB in 360 km and serval combinations of abnormal losses of(1 dB,5 dB),(3 dB,3 dB),(5 dB,1 dB)in 360 km and 760 km.Meanwhile,the transfer relationship of the estimated coefficient values with different step sizes is further investigated to reduce the complexity of the fiber nonlinear damage compensation.These results provide an attractive approach for precisely sensing the optical fiber link status information and making correct strategies timely to ensure optical communication system operations.展开更多
We consider the mean-square stability of the so-called improved split-step theta method for stochastic differential equations. First, we study the mean-square stability of the method for linear test equations with rea...We consider the mean-square stability of the so-called improved split-step theta method for stochastic differential equations. First, we study the mean-square stability of the method for linear test equations with real parameters. When 0 ≥ 3/2, the improved split-step theta methods can reproduce the mean-square stability of the linear test equations for any step sizes h 〉 0. Then, under a coupled condition on the drift and diffusion coefficients, we consider exponential mean-square stability of the method for nonlinear non-autonomous stochastic differential equations. Finally, the obtained results are supported by numerical experiments.展开更多
In this paper,we investigate the mean-square convergence of the split-step q-scheme for nonlinear stochastic differential equations with jumps.Under some standard assumptions,we rigorously prove that the strong rate o...In this paper,we investigate the mean-square convergence of the split-step q-scheme for nonlinear stochastic differential equations with jumps.Under some standard assumptions,we rigorously prove that the strong rate of convergence of the splitstep q-scheme in strong sense is one half.Some numerical experiments are carried out to assert our theoretical result.展开更多
This paper deals with numerical solutions of nonlinear stiff stochastic differential equations with jump-diffusion and piecewise continuous arguments.By combining compensated split-step methods and balanced methods,a ...This paper deals with numerical solutions of nonlinear stiff stochastic differential equations with jump-diffusion and piecewise continuous arguments.By combining compensated split-step methods and balanced methods,a class of compensated split-step balanced(CSSB)methods are suggested for solving the equations.Based on the one-sided Lipschitz condition and local Lipschitz condition,a strong convergence criterion of CSSB methods is derived.It is proved under some suitable conditions that the numerical solutions produced by CSSB methods can preserve the mean-square exponential stability of the corresponding analytical solutions.Several numerical examples are presented to illustrate the obtained theoretical results and the effectiveness of CSSB methods.Moreover,in order to show the computational advantage of CSSB methods,we also give a numerical comparison with the adapted split-step backward Euler methods with or without compensation and tamed explicit methods.展开更多
In the literature （Tan and Wang, 2010）, Tan and Wang investigated the convergence of the split-step backward Euler （SSBE） method for linear stochastic delay integro-differential equations （SDIDEs） and proved the...In the literature （Tan and Wang, 2010）, Tan and Wang investigated the convergence of the split-step backward Euler （SSBE） method for linear stochastic delay integro-differential equations （SDIDEs） and proved the mean-square stability of SSBE method under some condition. Unfortu- nately, the main result of stability derived by the condition is somewhat restrictive to be applied for practical application. This paper improves the corresponding results. The authors not only prove the mean-square stability of the numerical method but also prove the general mean-square stability of the numerical method. Furthermore, an example is given to illustrate the theory.展开更多
In this paper,we investigate the stability of the split-step theta(SST)method for a class of nonlinear regime-switching jump systems–neutral stochastic delay differential equations(NSDDEs)with Markov switching and ju...In this paper,we investigate the stability of the split-step theta(SST)method for a class of nonlinear regime-switching jump systems–neutral stochastic delay differential equations(NSDDEs)with Markov switching and jumps.As we know,there are few results on the stability of numerical solutions for NSDDEs with Markov switching and jumps.The purpose of this paper is to enrich conclusions in such respect.It first devotes to show that the trivial solution of the NSDDE with Markov switching and jumps is exponentially mean square stable and asymptotically mean square stable under some suitable conditions.If the drift coefficient also satisfies the linear growth condition,it then proves that the SST method applied to the NSDDE with Markov switching and jumps shares the same conclusions with the exact solution.Moreover,a numerical example is demonstrated to illustrate the obtained results.展开更多
基金Supported by the National Natural Science Foundation of China (Grant No. 12301521)the Natural Science Foundation of Shanxi Province (Grant No. 20210302124081)。
文摘In this paper,the convergence of the split-step theta method for stochastic differential equations is analyzed using stochastic C-stability and stochastic B-consistency.The fact that the numerical scheme,which is both stochastically C-stable and stochastically B-consistent,is convergent has been proved in a previous paper.In order to analyze the convergence of the split-step theta method(θ∈[1/2,1]),the stochastic C-stability and stochastic B-consistency under the condition of global monotonicity have been researched,and the rate of convergence 1/2 has been explored in this paper.It can be seen that the convergence does not require the drift function should satisfy the linear growth condition whenθ=1/2 Furthermore,the rate of the convergence of the split-step scheme for stochastic differential equations with additive noise has been researched and found to be 1.Finally,an example is given to illustrate the convergence with the theoretical results.
文摘In this paper, the generalized nonlinear Schrodinger equation （GNLSE） is solved by an adaptive split-step Fourier method （ASSFM）. It is found that ASSFM must be used to solve GNLSE to ensure precision when the soliton selffrequency shift is remarkable and the photonic crystal fibre （PCF） parameters vary with the frequency considerably. The precision of numerical simulation by using ASSFM is higher than that by using split-step Fourier method in the process of laser pulse propagation in PCFs due to the fact that the variation of fibre parameters with the peak frequency in the pulse spectrum can be taken into account fully.
基金National Natural Science Foundation of China(No.11171352)
文摘A class of general modified split-step balanced methods proposed in the paper can be applied to solve stiff stochastic differential systems with m-dimensional multiplicative noise. Compared to some other already reported split-step balanced methods, the drift increment function of the methods can be taken from any chosen ane-step ordinary differential equations （ODEs） solver. The schemes is proved to be strong convergent with order one. For the mean-square stability analysis, the investigation is confined to two cases. Some numerical experiments are reported to testify the performance and the effectiveness of the methods.
基金Supported by the National Natural Science Foundation of China under Grant No.11571181
文摘In this article, two split-step finite difference methods for Schrodinger-KdV equations are formulated and investigated. The main features of our methods are based on:(i) The applications of split-step technique for Schrodingerlike equation in time.(ii) The utilizations of high-order finite difference method for KdV-like equation in spatial discretization.(iii) Our methods are of spectral-like accuracy in space and can be realized by fast Fourier transform efficiently. Numerical experiments are conducted to illustrate the efficiency and accuracy of our numerical methods.
基金supported by the Natural Science Foundation of Heilongjiang Province(Grant No.LH2022A020).
文摘In this paper,we investigate the theoretical and numerical analysis of the stochastic Volterra integro-differential equations(SVIDEs)driven by L´evy noise.The existence,uniqueness,boundedness and mean square exponential stability of the analytic solutions for SVIDEs driven by L´evy noise are considered.The split-step theta method of SVIDEs driven by L´evy noise is proposed.The boundedness of the numerical solution and strong convergence are proved.Moreover,its mean square exponential stability is obtained.Some numerical examples are given to support the theoretical results.
基金supported by the National Natural Science Foundation of China(Project No.12071100)Funds for the Central Universities(Project No.2022FRFK060019).
文摘For solving the stochastic differential equations driven by fractional Brownian motion,we present the modified split-step theta method by combining truncated Euler-Maruyama method with split-step theta method.For the problem under a locally Lipschitz condition and a linear growth condition,we analyze the strong convergence and the exponential stability of the proposed method.Moreover,for the stochastic delay differential equations with locally Lipschitz drift condition and globally Lipschitz diffusion condition,we give the order of convergence.Finally,numerical experiments are done to confirm the theoretical conclusions.
基金supported by the National Key Research and Development Program of China (2019YFB1803905)the National Natural Science Foundation of China (No.62171022)+2 种基金Beijing Natural Science Foundation (4222009)Guangdong Basic and Applied Basic Research Foundation (2021B1515120057)the Scientific and Technological Innovation Foundation of Shunde Graduate School,USTB (No.BK19AF005)。
文摘In this paper,a double-effect DNN-based Digital Back-Propagation(DBP)scheme is proposed and studied to achieve the Integrated Communication and Sensing(ICS)ability,which can not only realize nonlinear damage mitigation but also monitor the optical power and dispersion profile over multi-span links.The link status information can be extracted by the characteristics of the learned optical fiber parameters without any other measuring instruments.The efficiency and feasibility of this method have been investigated in different fiber link conditions,including various launch power,transmission distance,and the location and the amount of the abnormal losses.A good monitoring performance can be obtained while the launch optical power is 2 dBm which does not affect the normal operation of the optical communication system and the step size of DBP is 20 km which can provide a better distance resolution.This scheme successfully detects the location of single or multiple optical attenuators in long-distance multi-span fiber links,including different abnormal losses of 2 dB,4 dB,and 6 dB in 360 km and serval combinations of abnormal losses of(1 dB,5 dB),(3 dB,3 dB),(5 dB,1 dB)in 360 km and 760 km.Meanwhile,the transfer relationship of the estimated coefficient values with different step sizes is further investigated to reduce the complexity of the fiber nonlinear damage compensation.These results provide an attractive approach for precisely sensing the optical fiber link status information and making correct strategies timely to ensure optical communication system operations.
基金supported by National Natural Science Foundation of China (Grant Nos. 91130003 and 11371157)the Scientific Research Innovation Team of the University “Aviation Industry Economy” (Grant No. 2016TD02)
文摘We consider the mean-square stability of the so-called improved split-step theta method for stochastic differential equations. First, we study the mean-square stability of the method for linear test equations with real parameters. When 0 ≥ 3/2, the improved split-step theta methods can reproduce the mean-square stability of the linear test equations for any step sizes h 〉 0. Then, under a coupled condition on the drift and diffusion coefficients, we consider exponential mean-square stability of the method for nonlinear non-autonomous stochastic differential equations. Finally, the obtained results are supported by numerical experiments.
基金supported by the National Natural Science Foundations of China under grant numbers Nos.11571206,91130003 and 11171189.
文摘In this paper,we investigate the mean-square convergence of the split-step q-scheme for nonlinear stochastic differential equations with jumps.Under some standard assumptions,we rigorously prove that the strong rate of convergence of the splitstep q-scheme in strong sense is one half.Some numerical experiments are carried out to assert our theoretical result.
基金supported by National Natural Science Foundation of China(Grant No.11971010)Scientific Research Project of Education Department of Hubei Province(Grant No.B2019184)。
文摘This paper deals with numerical solutions of nonlinear stiff stochastic differential equations with jump-diffusion and piecewise continuous arguments.By combining compensated split-step methods and balanced methods,a class of compensated split-step balanced(CSSB)methods are suggested for solving the equations.Based on the one-sided Lipschitz condition and local Lipschitz condition,a strong convergence criterion of CSSB methods is derived.It is proved under some suitable conditions that the numerical solutions produced by CSSB methods can preserve the mean-square exponential stability of the corresponding analytical solutions.Several numerical examples are presented to illustrate the obtained theoretical results and the effectiveness of CSSB methods.Moreover,in order to show the computational advantage of CSSB methods,we also give a numerical comparison with the adapted split-step backward Euler methods with or without compensation and tamed explicit methods.
基金supported by the Fundamental Research Funds for the Central Universities under Grant No. 2012089:31541111213China Postdoctoral Science Foundation Funded Project under Grant No.2012M511615the State Key Program of National Natural Science of China under Grant No.61134012
文摘In the literature （Tan and Wang, 2010）, Tan and Wang investigated the convergence of the split-step backward Euler （SSBE） method for linear stochastic delay integro-differential equations （SDIDEs） and proved the mean-square stability of SSBE method under some condition. Unfortu- nately, the main result of stability derived by the condition is somewhat restrictive to be applied for practical application. This paper improves the corresponding results. The authors not only prove the mean-square stability of the numerical method but also prove the general mean-square stability of the numerical method. Furthermore, an example is given to illustrate the theory.
基金This work is partially supported by the National Natural Science Foundation of China(Nos.1190139&11671149,11871225)the Natural Science Foundation of Guangdong Province(No.2017A030312006).
文摘In this paper,we investigate the stability of the split-step theta(SST)method for a class of nonlinear regime-switching jump systems–neutral stochastic delay differential equations(NSDDEs)with Markov switching and jumps.As we know,there are few results on the stability of numerical solutions for NSDDEs with Markov switching and jumps.The purpose of this paper is to enrich conclusions in such respect.It first devotes to show that the trivial solution of the NSDDE with Markov switching and jumps is exponentially mean square stable and asymptotically mean square stable under some suitable conditions.If the drift coefficient also satisfies the linear growth condition,it then proves that the SST method applied to the NSDDE with Markov switching and jumps shares the same conclusions with the exact solution.Moreover,a numerical example is demonstrated to illustrate the obtained results.
