Related papers: A discrete approach to Rough Parabolic Equations
Solving elliptic PDEs in more than one dimension can be a computationally expensive task. For some applications characterised by a high degree of anisotropy in the coefficients of the elliptic operator, such that the term with the highest…
This article examines a new approach to solving ordinary differential equations based on Fractional-Calculus theory. Poisson and Sturm-Liouville-type problems are studied, together with different boundary conditions. Each case is analyzed…
Conventional finite-difference schemes for solving partial differential equations are based on approximating derivatives by finite-differences. In this work, an alternative theory is proposed which view finite-difference schemes as…
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…
In this paper, we characterize all the distributions $F \in \mathcal{D}'(U)$ such that there exists a continuous weak solution $v \in C(U,\mathbb{C}^{n})$ (with $U \subset \Omega$) to the divergence-type equation…
Solving partial differential equations (PDEs) on complex domains can present significant computational challenges. The Diffuse Domain Method (DDM) is an alternative that reformulates the partial differential equations on a larger, simpler…
In this paper, we develop a universal, conceptually simple and systematic method to prove well-posedness to Cauchy problems for weak solutions of parabolic equations with non-smooth, time-dependent, elliptic part having a variational…
In this paper, we study a multidimensional backward stochastic differential equation (BSDE) with an additional rough drift (rough BSDE), and give the existence and uniqueness of the adapted solution, either when the terminal value and the…
In this paper we study the representation of partial differential equations (PDEs) as abstract differential-algebraic equations (DAEs) with dissipative Hamiltonian structure (adHDAEs). We show that these systems not only arise when there…
Diffuse domain methods (DDMs) have garnered significant attention for approximating solutions to partial differential equations on complex geometries. These methods implicitly represent the geometry by replacing the sharp boundary interface…
We construct the "expected signature matching" estimator for differential equations driven by rough paths and we prove its consistency and asymptotic normality. We use it to estimate parameters of a diffusion and a fractional diffusions,…
We continue the approach in Part I \cite{duchong19} to study stationary states of controlled differential equations driven by rough paths, using the framework of random dynamical systems and random attractors. Part II deals with driving…
We consider the solution $Y_t$ $(0\le t\le 1)$ and several approximate solutions $\hat{Y}^m_t$ of a rough differential equation driven by a fractional Brownian motion $B_t$ with the Hurst parameter $1/3<H\leq 1/2$ associated with a dyadic…
We consider a differential equation driven by a Brownian motion as well as a rough path. We prove a Girsanov-type result for this equation to construct a weak solution in the probabilistic sense.
This paper provides a probabilistic approach to solve linear equations involving Caputo and Riemann-Liouville type derivatives. Using the probabilistic interpretation of these operators as the generators of interrupted Feller processes, we…
In this study, a recursive solution technique in conjunction with generalized integrating factors is presented and applied to address first and second order linear differential equations. This approach demonstrates practical utility in…
We study a doubly nonlinear parabolic problem arising in the modeling of gas transport in pipelines. Using convexity arguments and relative entropy estimates we show uniform bounds and exponential stability of discrete approximations…
In this article, we have developed a higher order compact numerical method for variable coefficient parabolic problems with mixed derivatives. The finite difference scheme, presented here for two-dimensional domains, is based on fourth…
We introduce a notion of regular separation for solutions of systems of ODEs $y'=F(x,y)$, where F is definable in a polynomially bounded o-minimal structure and $y = (y_1,y_2)$. Given a pair of solutions with flat contact, we prove that, if…
In this note, we provide a non trivial example of differential equation driven by a fractional Brownian motion with Hurst parameter 1/3 < H < 1/2, whose solution admits a smooth density with respect to Lebesgue's measure. The result is…