Related papers: Probabilistic Representation and Approximation for…
The numerical solution of large-scale PDEs, such as those occurring in data-driven applications, unavoidably require powerful parallel computers and tailored parallel algorithms to make the best possible use of them. In fact, considerations…
P representation techniques, which have been very successful in quantum optics and in other fields, are also useful for general bosonic quantum dynamical many-body calculations such as Bose-Einstein condensation. We introduce a…
We consider a possibly degenerate porous media type equation over all of $\R^d$ with $d = 1$, with monotone discontinuous coefficients with linear growth and prove a probabilistic representation of its solution in terms of an associated…
In this paper we prove an approximation result for the viscosity solution of a system of semi-linear partial differential equations with continuous coefficients and nonlinear Neumann boundary condition. The approximation we use is based on…
This work establishes two versions of the Pontryagin-type maximum principles for partially observed optimal control of coupled forward stochastic partial differential equations (FSPDEs) and backward stochastic differential equations (BSDEs)…
We present a proximal algorithm that performs a variational recursion on the space of joint probability measures to propagate the stochastic uncertainties in power system dynamics over high dimensional state space. The proposed algorithm…
Variational inequalities are a universal optimization paradigm that incorporate classical minimization and saddle point problems. Nowadays more and more tasks require to consider stochastic formulations of optimization problems. In this…
In this paper we prove existence and uniqueness of viscosity solutions of elliptic systems associated to fully nonlinear operators for minimization problems that involve interconnected obstacles. This system appears, among other, in the…
In this paper, we propose and study neural network based methods for solutions of high-dimensional quadratic porous medium equation (QPME). Three variational formulations of this nonlinear PDE are presented: a strong formulation and two…
In this paper, we introduce and study a class of resolvent dynamical systems to investigate some inertial proximal methods for solving mixed variational inequalities. These proposed methods along with their discretizations and derived rates…
This paper introduces a new modeling framework for optimization under uncertainty, called Probable Event Constrained Optimization (PECO). Unlike conventional chance-constrained formulations, which only limit the probability of constraint…
In the theory and practice of inverse problems for partial differential equations (PDEs) much attention is paid to the problem of the identification of coefficients from some additional information. This work deals with the problem of…
The object of this paper is a one-dimensional generalized porous media equation (PDE) with possibly discontinuous coefficient $\beta$, which is well-posed as an evolution problem in $L^1(\mathbb{R})$. In some recent papers of Blanchard et…
A fully coupled implicit finite-volume algorithm for incompressible viscoelastic interfacial flows is proposed, whereby the viscoelasticity of the flow is described by an upper-convected Maxwell constitutive model, including limited…
Numerical simulation of compressible fluid flows is performed using the Euler equations. They include the scalar advection equation for the density, the vector advection equation for the velocity and a given pressure dependence on the…
We study a class of reflected backward stochastic differential equations with nonpositive jumps and upper barrier. Existence and uniqueness of a minimal solution is proved by a double penalization approach under regularity assumptions on…
We focus on improving the accuracy of an approximate model of a multiscale dynamical system that uses a set of parameter-dependent terms to account for the effects of unresolved or neglected dynamics on resolved scales. We start by…
In this paper we consider a mathematical model which describes the equilibrium of two elastic rods attached to a nonlinear spring. We derive the variational formulation of the model which is in the form of an elliptic quasivariational…
The recently proposed numerical algorithm, deep BSDE method, has shown remarkable performance in solving high-dimensional forward-backward stochastic differential equations (FBSDEs) and parabolic partial differential equations (PDEs). This…
We present an extension of the Piecewise Parabolic Method to special relativistic fluid dynamics in multidimensions. The scheme is conservative, dimensionally unsplit, and suitable for a general equation of state. Temporal evolution is…