Related papers: A Stochastic Approximation for Fully Nonlinear Fre…
In this work it is shown how the immersed boundary method of (Peskin2002) for modeling flexible structures immersed in a fluid can be extended to include thermal fluctuations. A stochastic numerical method is proposed which deals with…
We are concerned with multidimensional stochastic balance laws. We identify a class of nonlinear balance laws for which uniform spatial $BV$ bounds for vanishing viscosity approximations can be achieved. Moreover, we establish temporal…
We construct nonnegative weak solutions to the singular parabolic free boundary problem \[ \partial_t u - \Delta u = - \frac{\mathrm{d}}{\mathrm{d} u} u_+^\gamma , \] where $\gamma \in (0,1]$, $u_+ := \max\{u,0\}$, and the term in the…
A step-search sequential quadratic programming method is proposed for solving nonlinear equality constrained stochastic optimization problems. It is assumed that constraint function values and derivatives are available, but only stochastic…
We present some new ideas to derive {\em a priori} second order estiamtes for a wide class of fully nonlinear parabolic equations. Our methods, which produce new existence results for the initial-boundary value problems in $\bfR^n$, are…
The technique of stochastic solutions, previously used for deterministic equations, is here proposed as a solution method for partial differential equations driven by distribution-valued noises.
The present study concerns the numerical homogenization of second order hyperbolic equations in non-divergence form, where the model problem includes a rapidly oscillating coefficient function. These small scales influence the large scale…
We assess the applicability and efficiency of time-adaptive high-order splitting methods applied for the numerical solution of (systems of) nonlinear parabolic problems under periodic boundary conditions. We discuss in particular several…
In this paper we consider the fully nonlinear parabolic free boundary problem $$ \left\{\begin{array}{ll} F(D^2u) -\partial_t u=1 & \text{a.e. in}Q_1 \cap \Omega\\ |D^2 u| + |\partial_t u| \leq K & \text{a.e. in}Q_1\setminus\Omega,…
The numerical solution of differential equations can be formulated as an inference problem to which formal statistical approaches can be applied. However, nonlinear partial differential equations (PDEs) pose substantial challenges from an…
In this paper, we propose a stochastic method for solving equality constrained optimization problems that utilizes predictive variance reduction. Specifically, we develop a method based on the sequential quadratic programming paradigm that…
In this paper, we present a stochastic augmented Lagrangian approach on (possibly infinite-dimensional) Riemannian manifolds to solve stochastic optimization problems with a finite number of deterministic constraints.We investigate the…
We consider a parabolic non-local free boundary problem that has been derived as a limit of a bulk-surface reaction-diffusion system which models cell polarization. The authors have justified the well-posedness of this problem and have…
In this paper, we prove the existence of asymptotic speed of solutions to fully nonlinear, possibly degenerate parabolic partial differential equations in a general setting. We then give some explicit examples of equations in this setting…
In the class of the so called non-dynamic Fractional Obstacle Problems of parabolic type, it is shown how to obtain higher regularity as well as optimal regularity of the space derivatives of the solution. Furthermore, at free boundary…
This paper proposes a novel stochastic version of damped and regularized BFGS method for addressing the above problems.
This work deals with the problem of choosing a time step for the numerical solution of boundary value problems for parabolic equations. The problem solution is derived using the fully implicit scheme, whereas a time step is selected via…
In this paper, for a family of second-order parabolic system or equation with rapidly oscillating and time-dependent periodic coefficients over rough boundaries, we obtain the large-scale boundary estimates, by a quantitative approach. The…
We study mild solutions of a class of stochastic partial differential equations, involving operators with polynomially bounded coefficients. We consider semilinear equations under suitable hyperbolicity hypotheses on the linear part. We…
We present a new stability result for viscosity solutions of fully nonlinear parabolic equations which allows to pass to the limit when one has only weak convergence in time of the nonlinearities.