Related papers: Finite difference approximations for the first-ord…
In this introductory work I will present the Finite Difference method for hyperbolic equations, focusing on a method which has second order precision both in time and space (the so-called staggered leapfrog method) and applying it to the…
Motivated by the problem of solving the Einstein equations, we discuss high order finite difference discretizations of first order in time, second order in space hyperbolic systems.Particular attention is paid to the case when first order…
In this paper the numerical approximation of solutions of Liouville-Master Equations for time-dependent distribution functions of Piecewise Deterministic Processes with memory is considered. These equations are linear hyperbolic PDEs with…
This paper establishes the equivalence between systems described by a single first-order hyperbolic partial differential equation and systems described by integral delay equations. System-theoretic results are provided for both classes of…
In this work we explore the fidelity of numerical approximations to the analytic spectra of hyperbolic partial differential equation systems with variable coefficients. We are particularly interested in the ability of discrete methods to…
We study the rate of convergence of an explicit and an implicit-explicit finite difference scheme for linear stochastic integro-differential equations of parabolic type arising in non-linear filtering of jump-diffusion processes. We show…
Anomalous diffusion is a phenomenon that cannot be modeled accurately by second-order diffusion equations, but is better described by fractional diffusion models. The nonlocal nature of the fractional diffusion operators makes substantially…
A finite difference numerical method is investigated for fractional order diffusion problems in one space dimension. For this, a mathematical model is developed to incorporate homogeneous Dirichlet and Neumann type boundary conditions. The…
We propose a numerical method to solve general hyperbolic systems in any space dimension using forward Euler time stepping and continuous finite elements on non-uniform grids. The properties of the method are based on the introduction of an…
Fractional differential equations model processes with memory effects, providing a realistic perspective on complex systems. We examine time-delayed differential equations, discussing first-order and fractional Caputo time-delayed…
The author presented a stochastic and variational approach to the Lax-Friedrichs finite difference scheme applied to hyperbolic scalar conservation laws and the corresponding Hamilton-Jacobi equations with convex and superlinear…
This paper presents a new narrow-stencil finite difference method for approximating the viscosity solution of second order fully nonlinear elliptic partial differential equations including Hamilton-Jacobi-Bellman equations. The proposed…
This paper addresses the challenging numerical simulation of nonlinear hybrid stochastic functional differential equations with infinite delays. We first propose an explicit scheme using space and time truncation, requiring only finite…
We propose a new finite difference scheme for the degenerate parabolic equation \[ \partial_t u - \mbox{div}(|\nabla u|^{p-2}\nabla u) =f, \quad p\geq 2. \] Under the assumption that the data is H\"older continuous, we establish the…
We present strongly stable semi-discrete finite difference approximations to the quarter space problem (x>0, t>0) for the first order in time, second order in space wave equation with a shift term. We consider space-like (pure outflow) and…
We consider parabolic Bellman equations with Lipschitz coefficients. Error bounds of order $h^{1/2}$ for certain types of finite-difference schemes are obtained.
We study approximation of non-autonomous linear differential equations with variable delay over infinite intervals. We use piecewise constant argument to obtain a corresponding discrete difference equation. The study of numerical…
We introduce a method for the fast numerical approximation of linear, second-order parabolic partial differential equations (PDEs for short) with time-independent coefficients based on model order reduction techniques and the Laplace…
A new class of non-monotone finite difference (FD) approximation methods for approximating solutions to non-degenerate stationary Hamilton-Jacobi problems with Dirichlet boundary conditions is proposed and analyzed. The new FD methods add a…
We begin with a treatment of the Caputo time-fractional diffusion equation, by using the Laplace transform, to obtain a Volterra intego-differential equation where we may examine the weakly singular nature of this convolution…