Related papers: Higher order derivative estimates for finite-diffe…
In this paper, we introduce second order and fourth order space discretization via finite difference implementation of the finite element method for solving Fokker-Planck equations associated with irreversible processes. The proposed…
In this paper, we derive an \emph{a priori} second order estimate for solutions which are in $\Gamma_{k+1}$ cone to a class of complex Hessian equations with both sides of the equation depending on the gradient on compact Hermitian…
We establish the solvability of second order divergence type parabolic systems in Sobolev spaces. The leading coefficients are assumed to be only measurable in one spatial direction on each small parabolic cylinder with the spatial…
The porous medium equation (PME) is a typical nonlinear degenerate parabolic equation. An energetic variational approach has been studied in a recent work [6], in which the trajectory equation is obtained, and a few first order accurate…
Second-order two-scale expansions, a unified proof for the regularity of the correctors based on the translation invariant and a lemma for extracting $O(\epsilon)$ from the remainder term are presented for the second order nonlinear…
In this paper, we study the interior gradient estimates for admissible solutions to prescribed curvature equations in hyperbolic space.
We propose and analyze a two-level method for mimetic finite difference approximations of second order elliptic boundary value problems. We prove that the two-level algorithm is uniformly convergent, i.e., the number of iterations needed to…
This paper studies formulations of second-order elliptic partial differential equations in nondivergence form on convex domains as equivalent variational problems. The first formulation is that of Smears \& S\"uli [SIAM J.\ Numer.\ Anal.\…
We consider divergence form uniformly parabolic SPDEs with bounded and measurable leading coefficients and possibly growing lower-order coefficients in the deterministic part of the equations. We look for solutions which are summable to the…
The paper deals with second order abstract linear partial differential equations (LPDE) over a partial differential field with two commuting differential operators. In terms of usual differential equations the main content can be presented…
Explicit representations of densities for linear parabolic partial differential equations are useful in order to design computation schemes of high accuracy for a considerable class of diffusion models. Approximations of lower order based…
We introduce a generalized finite difference method for solving a large range of fully nonlinear elliptic partial differential equations in three dimensions. Methods are based on Cartesian grids, augmented by additional points carefully…
We use the local orthogonal decomposition technique to derive a generalized finite element method for linear and semilinear parabolic equations with spatial multiscale diffusion coefficient. We consider nonsmooth initial data and a backward…
The mixed problem for a degenerate high order equation with a fractional derivative in a rectangular domain is considered in the article. The existence of a solution and its uniqueness are shown by the spectral method.
Finite differences have been widely used in mathematical theory as well as in scientific and engineering computations. These concepts are constantly mentioned in calculus. Most frequently-used difference formulas provide excellent…
We consider parametric estimation for a parabolic linear second order stochastic partial differential equation (SPDE) from high frequency data which are observed in time and space. By using thinned data obtained from the high frequency…
We discuss the solvability of an infinite system of first order ordinary differential equations on the half line, subject to nonlocal initial conditions. The main result states that if the nonlinearities possess a suitable "sub-linear"…
We prove gradient estimates for solutions of the oblique derivative problem for a large class of elliptic and parabolic quasilinear PDEs. In particular, we expand on previous work of the author using a maximum principle argument. In…
Second derivative pinching estimates are proved for a class of elliptic and parabolic equations, including motion of hypersurfaces by curvature functions such as quotients of elementary symmetric functions of curvature. The estimates imply…
We derive high-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. The schemes are fourth-order accurate in space and second-order accurate in time for vanishing correlation. In…