Related papers: Finite, integrable and bounded time embeddings for…
We propose and analyse a numerical method for time-harmonic acoustic scattering in $\mathbb{R}^n$, $n=2,3$, by a class of inhomogeneities (penetrable scatterers) with fractal boundary. Our method is based on a Galerkin discretisation of the…
This paper develops and analyzes a fully discrete finite element method for a class of semilinear stochastic partial differential equations (SPDEs) with multiplicative noise. The nonlinearity in the diffusion term of the SPDEs is assumed to…
The main goal of this work is to provide sample-path estimates for the solution of slowly time-dependent SPDEs perturbed by a cylindrical fractional Brownian motion. Our strategy is similar to the approach by Berglund and Nader for…
For an arbitrary diffusion process $X$ with time-homogeneous drift and variance parameters $\mu(x)$ and $\sigma^2(x)$, let $V_\varepsilon$ be $1/\varepsilon$ times the total time $X(t)$ spends in the strip…
We introduce a multi-species generalization of the symmetric simple exclusion process with open boundaries. This model possesses the property of being integrable and appears as physically relevant because the boundary conditions can be…
Backward stochastic differential equations extend the martingale representation theorem to the nonlinear setting. This can be seen as path-dependent counterpart of the extension from the heat equation to fully nonlinear parabolic equations…
In this paper we consider the three-dimensional compressible MHD system with stochastic external forces in a bounded domain. We obtain the existence of martingale solution which is a weak solution for the fluid variables, the Brownian…
We study the infinite-horizon average (ergodic) risk sensitive control problem for diffusion processes under a general structural hypothesis: there is a partition of state space into two subsets, where the controlled diffusion process…
We study linear time dispersive and dissipative systems. Very often such systems are not conservative and the standard spectral theory can not be applied. We develop a mathematically consistent framework allowing (i) to constructively…
The main aim of the current work is the study of the conditions under which (finite-time) blow-up of a non-local stochastic parabolic problem occurs. We first establish the existence and uniqueness of the local-in-time weak solution for…
This paper presents a new strategy to deal with the excessive diffusion that standard finite volume methods for compressible Euler equations display in the limit of low Mach number. The strategy can be understood as using centered…
By considering any one-dimensional time-homogeneous solvable diffusion process,this paper develops a complete analytical framework for computing the distribution of the last hitting time, to any level, and its joint distribution with the…
In this paper, we propose a method for bounding the probability that a stochastic differential equation (SDE) system violates a safety specification over the infinite time horizon. SDEs are mathematical models of stochastic processes that…
We prove existence and uniqueness of solutions to a class of stochastic semilinear evolution equations with a monotone nonlinear drift term and multiplicative noise, considerably extending corresponding results obtained in previous work of…
This paper studies time-dependent electromagnetic scattering from metamaterials that are described by dispersive material laws. We consider the numerical treatment of a scattering problem in which a dispersive material law, for a causal and…
Diffusion processes with boundaries are models of transport phenomena with wide applicability across many fields. These processes are described by their probability density functions (PDFs), which often obey Fokker-Planck equations (FPEs).…
In order to approximate a continuous time stochastic process by discrete time Markov chains one has several options to embed the Markov chains into continuous time processes. On the one hand there is the Markov embedding, which uses…
In the research community, there exists the strong belief that a continuous Galerkin scheme is notoriously unstable and additional stabilization terms have to be added to guarantee stability. In the first part of the series [6], the…
We consider the elliptic-elliptic Davey-Stewartson system in the three-dimensional Euclidean space, and we give sufficient conditions for the existence of finite time blow-up solutions in non-isotropic spaces. The proof is based on some…
This article focuses on the space-time isogeometric method for a linear time dependent fourth order problem. Using an auxiliary variable, first the problem is split into a system of two second order differential equations and then the…