Related papers: Convergent finite difference methods for one-dimen…
Second-order partial differential equations in non-divergence form are considered. Equations of this kind typically arise as subproblems for the solution of Hamilton-Jacobi-Bellman equations in the context of stochastic optimal control, or…
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…
This work introduces and rigorously analyzes a novel operator-splitting finite element scheme for approximating viscosity solutions of a broad class of constrained second-order partial differential equations. By decoupling the primary PDE…
We consider the probabilistic numerical scheme for fully nonlinear PDEs suggested in \cite{cstv}, and show that it can be introduced naturally as a combination of Monte Carlo and finite differences scheme without appealing to the theory of…
We develop a convergence theory for non-monotone approximation schemes for fully nonlinear parabolic partial differential equations. Modern computational methods such as kernel-based collocation, spectral methods, physics-informed neural…
We introduce generalised finite difference methods for solving fully nonlinear elliptic partial differential equations. Methods are based on piecewise Cartesian meshes augmented by additional points along the boundary. This allows for…
In this paper, we present and analyse a class of "filtered" numerical schemes for second order Hamilton-Jacobi-Bellman equations. Our approach follows the ideas introduced in B.D. Froese and A.M. Oberman, Convergent filtered schemes for the…
We establish a well-posedness and error-estimation framework that solves Hamilton-Jacobi equations by minimizing the least-squares residual of monotone finite-difference discretizations. This approach also applies naturally to second-order…
We focus here on a class of fourth-order parabolic equations that can be written as a system of second-order equations by introducing an auxiliary variable. We design a novel second-order fully discrete mixed finite element method to…
In this paper, we present new techniques for solving a large variety of partial differential equations. The proposed method reduces the PDEs to first order differential equations known as classical equations such as Bernoulli, Ricatti and…
High-dimensional partial differential equations (PDE) appear in a number of models from the financial industry, such as in derivative pricing models, credit valuation adjustment (CVA) models, or portfolio optimization models. The PDEs in…
Monotone finite difference methods provide stable convergent discretizations of a class of degenerate elliptic and parabolic Partial Differential Equations (PDEs). These methods are best suited to regular rectangular grids, which leads to…
This paper presents compact, symmetric, and high-order finite difference methods (FDMs) for the variable Poisson equation on a $d$-dimensional hypercube. Our scheme produces a symmetric linear system: an important property that does not…
This paper establishes the optimal $H^1$-norm error estimate for a nonstandard finite element method for approximating $H^2$ strong solutions of second order linear elliptic PDEs in non-divergence form with continuous coefficients. To…
There has been an arising trend of adopting deep learning methods to study partial differential equations (PDEs). In this paper, we introduce a deep recurrent framework for solving time-dependent PDEs without generating large scale data…
This paper studies adaptive first-order least-squares finite element methods for second-order elliptic partial differential equations in non-divergence form. Unlike the classical finite element method which uses weak formulations of PDEs…
In the given paper we consider finite difference approximations to systems of polynomially-nonlinear partial differential equations whose coefficients are rational functions over rationals in the independent variables. The notion of strong…
This paper is concerned with continuous and discrete approximations of $W^{2,p}$ strong solutions of second-order linear elliptic partial differential equations (PDEs) in non-divergence form. The continuous approximation of these equations…
We develop a hybrid spatial discretization for the wave equation in second order form, based on high-order accurate finite difference methods and discontinuous Galerkin methods. The hybridization combines computational efficiency of finite…
We propose some finite element schemes to solve a class of fourth-order nonlinear PDEs, which include the vector-valued Landau--Lifshitz--Baryakhtar equation, the Swift--Hohenberg equation, and various Cahn--Hilliard-type equations with…