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In this work, we show that the widely used bounce-back boundary condition is an incomplete form of the diffuse reflection boundary condition at the continuum limit for lattice Boltzmann simulations. By utilizing this fact, we can force the…
We study solution techniques for an evolution equation involving second order derivative in time and the spectral fractional powers, of order $s \in (0,1)$, of symmetric, coercive, linear, elliptic, second-order operators in bounded domains…
In this article, we adapt the definition of viscosity solutions to the obstacle problem for fully nonlinear path-dependent PDEs with data uniformly continuous in $(t,\omega)$, and generator Lipschitz continuous in $(y,z,\gamma)$. We prove…
We analyse a version of the policy iteration algorithm for the discounted infinite-horizon problem for controlled multidimensional diffusion processes, where both the drift and the diffusion coefficient can be controlled. We prove that,…
In this paper, we present a theoretical and computational workflow for the non-parametric Bayesian inference of drift and diffusion functions of autonomous diffusion processes. We base the inference on the partial differential equations…
An incoming elastodynamic wave impinges on an elastic obstacle is embedded in an infinite elastic medium. The objective of the paper is to examine the subsequent elastic fields scattered by and transmitted into the elastic obstacle. By…
In this paper, we study the solvability of a class of multi-dimensional forward backward stochastic differential equations (FBSDEs) with oblique reflection and unbounded stopping time. Under some mild assumptions on the coefficients in such…
The existence theory for solutions to the Boltzmann equation in bounded domains has primarily been developed within uniformly bounded function classes, such as $L^{\infty}_{x,v}$, as in [Duan-Huang-Wang-Yang,2017], [Duan-Wang,2019],…
We consider a class of multi-dimensional BSDEs on a finite time horizon (containing in particular Lipschitzian-quadratic BSDEs), whose terminal values are bounded as well as their corresponding Malliavin derivatives. We prove two results.…
In this paper, we study a kind of constrained backward stochastic differential equations (BSDEs) such that the nonlinear expectation of the composition of a loss function and the solution remains above zero. The existence and uniqueness…
In this paper, we study the backward stochastic differential equation (BSDE) with two nonlinear mean reflections, which means that the constraints are imposed on the distribution of the solution but not on its paths. Based on the backward…
The purpose of this paper consists in proposing a generalized solution for a porous media type equation on a half-line with Neumann boundary condition and prove a probabilistic representation of this solution in terms of an associated…
We formulate the immersed-boundary method (IBM) as an inverse problem. A control variable is introduced on the boundary of a larger domain that encompasses the target domain. The optimal control is the one that minimizes the mismatch…
In this paper, we deal with a class of one-dimensional reflected backward stochastic differential equations with stochastic Lipschitz coefficient. We derive the existence and uniqueness of the solutions for those equations via Snell…
Differential equations need boundary conditions (BC's) for their solution. It is commonly acknowledged that differential equations and BC's are representative of independent physical processes, and no correlations between them is required.…
Consider the scattering of a time-harmonic plane wave by a rigid obstacle embedded in a homogeneous and isotropic elastic medium in two dimensions. In this paper, a novel boundary integral formulation is proposed and its highly accurate…
The theory of complete generalized Jordan sets is employed to reduce the PDE with the irreversible linear operator $B$ of finite index to the regular problems. It is demonstrated how the question of the choice of boundary conditions is…
This work unifies pseudo-time and inexact regularization techniques for nonmonotone classes of partial differential equations, into a regularized pseudo-time framework. Convergence of the residual at the predicted rate is investigated…
We consider Neumann problem for linear elliptic equations involving integro-differential operators of Levy-type. We show that suitably defined viscosity solutions have probabilistic representations given in terms of the reflected stochastic…
In this paper we complement the program concerning the application of symmetrization methods to nonlocal PDEs by providing new estimates, in the sense of mass concentration comparison, for solutions to linear fractional elliptic and…