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We consider a specific type of nonlinear partial differential equations (PDE) that appear in mathematical finance as the result of solving some optimization problems. We review some existing in the literature examples of such problems, and…

Computational Finance · Quantitative Finance 2015-10-19 Andrey Itkin

This research introduces a new method for the transition from partial to ordinary differential equations that is based on the Kolmogorov superposition theorem. In this paper, we discuss the numerical implementation of the Kolmogorov theorem…

Numerical Analysis · Mathematics 2021-11-02 Korney Tomashchuk

We study an approximation method for the one-dimensional nonlinear filtering problem, with discrete time and continuous time observation. We first present the method applied to the Fokker-Planck equation. The convergence of the…

Numerical Analysis · Mathematics 2023-03-29 Fabien F. Campillo

In this paper, the steady creeping flow equations of a second grade fluid in cartesian coordinates are considered; the equations involve a small parameter related to the dimensionless non--Newtonian coefficient. According to a recently…

Mathematical Physics · Physics 2021-08-04 Matteo Gorgone

We study sparse approximate solutions to convex optimization problems. It is known that in many engineering applications researchers are interested in an approximate solution of an optimization problem as a linear combination of elements…

Machine Learning · Statistics 2012-06-05 V. N. Temlyakov

Computer-aided engineering techniques are indispensable in modern engineering developments. In particular, partial differential equations are commonly used to simulate the dynamics of physical phenomena, but very large systems are often…

Quantum Physics · Physics 2022-04-26 Yuki Sato , Ruho Kondo , Satoshi Koide , Hideki Takamatsu , Nobuyuki Imoto

Systems of reaction-diffusion equations are commonly used in biological models of food chains. The populations and their complicated interactions present numerous challenges in theory and in numerical approximation. In particular,…

Numerical Analysis · Mathematics 2015-10-28 Matthew Beauregard , Joshua Padgett , Rana Parshad

This work introduces an empirical quadrature-based hyperreduction procedure and greedy training algorithm to effectively reduce the computational cost of solving convection-dominated problems with limited training. The proposed approach…

Numerical Analysis · Mathematics 2023-09-14 Marzieh Alireza Mirhoseini , Matthew J. Zahr

Nonlinear parabolic equations are frequently encountered in applications and efficient approximating techniques for their solution are of great importance. In order to provide an effective scheme for the temporal approximation of such…

Numerical Analysis · Mathematics 2020-02-28 Monika Eisenmann , Eskil Hansen

Unlike many deterministic PDEs, stochastic equations are not amenable to the classical variational theory of Euler-Lagrange. In this paper, we show how self-dual variational calculus leads to solutions of various stochastic partial…

Analysis of PDEs · Mathematics 2018-02-08 Shirin Boroushaki , Nassif Ghoussoub

For the Poisson equation posed in a domain containing a large number of polygonal perforations, we propose a low-dimensional coarse approximation space based on a coarse polygonal partitioning of the domain. Similarly to other multiscale…

Numerical Analysis · Mathematics 2024-04-17 Miranda Boutilier , Konstantin Brenner , Victorita Dolean

We study a numerical approximation for a nonlinear variable-order fractional differential equation via an integral equation method. Due to the lack of the monotonicity of the discretization coefficients of the variable-order fractional…

Numerical Analysis · Mathematics 2021-10-12 Xiangcheng Zheng

We propose a high-order spacetime wavelet method for the solution of nonlinear partial differential equations with a user-prescribed accuracy. The technique utilizes wavelet theory with a priori error estimates to discretize the problem in…

Numerical Analysis · Mathematics 2025-01-14 Cody D. Cochran , Karel Matous

This paper derives some discrete maximum principles for $P1$-conforming finite element approximations for quasi-linear second order elliptic equations. The results are extensions of the classical maximum principles in the theory of partial…

Numerical Analysis · Mathematics 2012-05-01 Junping Wang , Ran Zhang

This paper presents an efficient Bayesian framework for solving nonlinear, high-dimensional model calibration problems. It is based on a Variational Bayesian formulation that aims at approximating the exact posterior by means of solving an…

Applications · Statistics 2015-11-02 Isabell M. Franck , P. S. Koutsourelakis

The construction of stochastic solutions for nonlinear partial differential equations is a powerful method to obtain new exact results and to develop efficient numerical algorithms, in particular when domain decomposition techniques are…

Mathematical Physics · Physics 2012-09-17 Rui Vilela Mendes

Recently J. M. Arrazola et al. [Phys. Rev. A 100, 032306 (2019)] proposed a quantum algorithm for solving nonhomogeneous linear partial differential equations of the form $A\psi(\textbf{r})=f(\textbf{r})$. Its nonhomogeneous solution is…

This manuscript explores a variational quantum formulation for nonlinear elasticity problems arising from hyperelastic material models, targeting near term noisy intermediate scale quantum (NISQ) devices. The approach leverages the…

Quantum Physics · Physics 2026-05-29 Uditnarayan Kouskiya , Caglar Oskay

In this study,a new method was presented by developing Reduced differential transform method in order to find approximate solution of partial differential equations. Here, RDTM with fixed grid size algorithm was developed for the first time…

General Mathematics · Mathematics 2015-12-31 Sema Servi , Yildiray Keskin , Galip Oturanc

In this paper, we consider the nonlinear $\Psi$-Hilfer impulsive fractional differential equation. Our main objective is to derive the formula for the solution and examine the existence and uniqueness of results. The acquired results are…

Dynamical Systems · Mathematics 2020-12-17 Kishor D. Kucche , Jyoti P. Kharade , J. Vanterler da C. Sousa
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