Related papers: Difference-quadrature schemes for nonlinear degene…
A class of variational schemes for the hydrodynamic-electrodynamic model of lossless free-electron gas in a quasineutral background is developed for high-quality simulations of surface plasmon polaritons. The Lagrangian density of lossless…
We study large deviations for some non-local parabolic type equations. We show that, under some assumptions on the non-local term, problems defined in a bounded domain converge with an exponential rate to the solution of the problem defined…
Estimates on the asymptotic behaviour of solution to linear integro-differential equations are fundamental in understanding the dynamics occuring in many nonlocal evolution problems. They are usually derived by using precise decay estimates…
Many systems of partial differential equations have been proposed as simplified representations of complex collective behaviours in large networks of neurons. In this survey, we briefly discuss their derivations and then review the…
We consider the numerical solution of Hamilton-Jacobi-Bellman equations arising in stochastic control theory. We introduce a class of monotone approximation schemes relying on monotone interpolation. These schemes converge under very weak…
In this paper we develop adaptive numerical schemes for certain nonlinear variational problems. The discretization of the variational problems is done by representing the solution as a suitable frame decomposition, i.e., a complete, stable,…
We study a degenerate parabolic-hyperbolic equation with zero flux boundary condition. The aim of this paper is to prove convergence of numerical approximate solutions towards the unique entropy solution. We propose an implicit finite…
We analyze entropy solutions for a class of Levy mixed hyperbolicparabolic equations containing a non-local (or fractional) diffusion operator originating from a pure jump Levy process. For these solutions we establish uniqueness (L1…
We propose isomorphism type identities for nonlinear functionals of general infinitely divisible processes. Such identities can be viewed as an analogy of the Cameron-Martin formula for Poissonian infinitely divisible processes but with…
We propose a novel non-compact, positivity-preserving scheme for linear non-divergence form parabolic equations. Based on the Feynman-Kac formula, the solution is expressed as a conditional expectation of an associated diffusion process.…
Parabolic partial differential equations (PDEs) and backward stochastic differential equations (BSDEs) are key ingredients in a number of models in physics and financial engineering. In particular, parabolic PDEs and BSDEs are fundamental…
We prove precise rates of convergence for monotone approximation schemes of fractional and nonlocal Hamilton-Jacobi-Bellman (HJB) equations. We consider diffusion corrected difference-quadrature schemes from the literature and new…
We analyse the convergence of numerical schemes in the GDM-ELLAM (Gradient Discretisation Method-Eulerian Lagrangian Localised Adjoint Method) framework for a strongly coupled elliptic-parabolic PDE which models miscible displacement in…
A framework of finite-velocity model based Boltzmann equation has been developed for convection-diffusion equations. These velocities are kept flexible and adjusted to control numerical diffusion. A flux difference splitting based kinetic…
Variational methods have been used to study stochastic control for long, see Bensoussan (1982) and Bensoussan-Lions (1978) for the early works. More precisely, variational approaches apply to the study of Bellman equation as a parabolic…
We study monotone numerical schemes for nonlocal Isaacs equations, the dynamic programming equations of stochastic differential games with jump-diffusion state processes. These equations are fully-nonlinear non-convex equations of order…
We consider one-dimensional hyperbolic PDEs, linear and nonlinear, with random initial data. Our focus is the {\em pointwise statistics,} i.e., the probability measure of the solution at any fixed point in space and time. For linear…
We consider the optimal control of singular nonlinear partial differential equation which is the distributional formulation of the multiphase Stefan type free boundary problem for the general second order parabolic equation. Boundary heat…
We prove nonlinear modulational instability for both periodic and localized perturbations of periodic traveling waves for several dispersive PDEs, including the KDV type equations (e.g. the Whitham equation, the generalized KDV equation,…
This paper presents a finite-dimensional approximation for a class of partial differential equations on the space of probability measures. These equations are satisfied in the sense of viscosity solutions. The main result states the…