Related papers: Difference-quadrature schemes for nonlinear degene…
By using a simple observation that the density processes appearing in Ito's martingale representation theorem are invariant under the change of measures, we establish a non-linear version of the Cameron-Martin formula for solutions of a…
We study the convergence of the new family of mimetic finite difference schemes for linear diffusion problems recently proposed in [38]. In contrast to the conventional approach, the diffusion coefficient enters both the primary mimetic…
We introduce novel approximate systems for dispersive and diffusive-dispersive equations with nonlinear fluxes. For purely dispersive equations, we construct a first-order, strictly hyperbolic approximation. Local well-posedness of smooth…
Finite difference schemes in the spatial variable for degenerate stochastic parabolic PDEs are investigated. Sharp results on the rate of $L_p$ and almost sure convergence of the finite difference approximations are presented and results on…
We show strong uniform convergence of monotone P1 finite element methods to the viscosity solution of isotropic parabolic Hamilton-Jacobi-Bellman equations with mixed boundary conditions on unstructured meshes and for possibly degenerate…
We propose novel less diffusive schemes for conservative one- and two-dimensional hyperbolic systems of nonlinear partial differential equations (PDEs). The main challenges in the development of accurate and robust numerical methods for the…
We present and compare third- as well as fifth-order accurate finite difference schemes for the numerical solution of the compressible ideal MHD equations in multiple spatial dimensions. The selected methods lean on four different…
In this paper, we propose a deep learning framework for solving high-dimensional partial integro-differential equations (PIDEs) based on the temporal difference learning. We introduce a set of Levy processes and construct a corresponding…
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…
In this paper we study nonlinear partial differential equations (PDEs) that are used to model different value adjustments denoted generally as xVA. These adjustments are nowadays commonly added to the risk-free financial derivative values…
The modeling of multi-phase flow is very challenging, given the range of scales as well as the diversity of flow regimes that one encounters in this context. We revisit the discrete equation method (DEM) for two-phase flow in the absence of…
We are interested in the approximation of a steady hyperbolic problem. In some cases, the solution can satisfy an additional conservation relation, at least when it is smooth. This is the case of an entropy. In this paper, we show, starting…
We study numerical methods for the nonlinear partial differential equation that governs the motion of level sets by affine curvature. We show that standard finite difference schemes are nonlinearly unstable. We build convergent finite…
The problem of increasing the accuracy of an approximate solution is considered for boundary value problems for parabolic equations. For ordinary differential equations (ODEs), nonstandard finite difference schemes are in common use for…
We propose finite difference methods for degenerate fully nonlinear elliptic equations and prove the convergence of the schemes. Our focus is on the pure equation and a related free boundary problem of transmission type. The cornerstone of…
The problem of the construction of strong approximations with a given order of convergence for jump-diffusion equations is studied. General approximation schemes are constructed for L\'evy type stochastic differential equation. In…
We consider partial differential equations (PDE) of drift-diffusion type in the unit interval, supplemented by either two conservation laws or by a conservation law and a further boundary condition. We treat two different cases: (i) uniform…
In this paper we discuss three symbolic approaches for the generation of a finite difference scheme of a partial differential equation (PDE). We prove, that for a linear PDE with constant coefficients these three approaches are equivalent…
In this paper we present three different numerical approaches to account for curl-type involution constraints in hyperbolic partial differential equations for continuum physics. All approaches have a direct analogy to existing and…
We propose and study a fully discrete finite volume scheme for the Vlasov-Fokker-Planck equation written as an hyperbolic system using Hermite polynomials in velocity. This approach naturally preserves the stationary solution and the…