Related papers: Finite difference schemes for stochastic partial d…
We study parametric estimation for second order linear parabolic stochastic partial differential equations (SPDEs) in two space dimensions driven by two types of $Q$-Wiener processes based on high frequency spatio-temporal data. First, we…
The aim of this paper is to extend the global error estimation and control addressed in Lang and Verwer [SIAM J. Sci. Comput. 29, 2007] for initial value problems to finite difference solutions of semilinear parabolic partial differential…
We obtain uniqueness and existence of a solution $u$ to the following second-order stochastic partial differential equation (SPDE) : \begin{align} \label{abs eqn} du= \left( \bar a^{ij}(\omega,t)u_{x^ix^j}+ f \right)dt + g^k dw^k_t, \quad t…
In this paper, we study large and moderate deviation principles for stochastic partial differential equations (SPDEs) on metric graphs and their associated multiscale models via the weak convergence approach, providing a refined…
In this paper, we design high order accurate and stable finite difference schemes for the initial-boundary value problem, associated with the magnetic induction equation with resistivity. We use Summation-By-Parts (SBP) finite difference…
We unify and extend the semigroup and the PDE approaches to stochastic maximal regularity of time-dependent semilinear parabolic problems with noise given by a cylindrical Brownian motion. We treat random coefficients that are only…
This paper proposes a novel low-rank approximation to the multivariate State-Space Model. The Stochastic Partial Differential Equation (SPDE) approach is applied component-wise to the independent-in-time Mat\'ern Gaussian innovation term in…
We develop a new spatial semidiscrete multiscale method based upon the edge multiscale methods to solve semilinear parabolic problems with heterogeneous coefficients and smooth initial data. This method allows for a cheap spatial…
This work aims at making a comprehensive contribution in the general area of parametric inference for discretely observed diffusion processes. Established approaches for likelihood-based estimation invoke a time-discretisation scheme for…
It has recently been demonstrated that locality of spatial supports in the parametrization of coefficients in elliptic PDEs can lead to improved convergence rates of sparse polynomial expansions of the corresponding parameter-dependent…
The class of problems treated here are elliptic partial differential equations with a homogeneous boundary condition and a non-linear perturbation obtained by composition with a fixed smooth function. The existence of solutions is obtained…
We consider the situation when an elliptic problem in a subdomain $\Omega_1$ of an $n$-dimensional bounded domain $\Omega$ is coupled via inhomogeneous canonical transmission conditions to a parabolic problem in $\Omega\setminus\Omega_1$.…
We introduce a novel numerical approach for a class of stochastic dynamic programs which arise as discretizations of backward stochastic differential equations or semi-linear partial differential equations. Solving such dynamic programs…
In this article, we propose an implicit finite difference scheme for a two-dimensional parabolic stochastic partial differential equation (SPDE) of Zakai type. The scheme is based on a Milstein approximation to the stochastic integral and…
We study an asymptotic preserving scheme for the temporal discretization of a system of parabolic semilinear SPDEs with two time scales. Owing to the averaging principle, when the time scale separation $\epsilon$ vanishes, the slow…
In this work, we investigate the numerical approximation of the second order non-autonomous semilnear parabolic partial differential equation (PDE) using the finite element method. To the best of our knowledge, only the linear case is…
In this paper, we are concerned with possibly degenerate stochastic partial differential equations (SPDEs). An $L^2$-theory is introduced, from which we derive the H\"ormander theorem with an analytical approach. With the method of De…
Polynomial approximation is studied in the Sobolev space $W_p^r(w_{\alpha,\beta})$ that consists of functions whose $r$-th derivatives are in weighted $L^p$ space with the Jacobi weight function $w_{\alpha,\beta}$. This requires…
In this paper, we revisit approximation properties of piecewise polynomial spaces, which contain more than ${\cal P}_{r-1}$ but not ${\cal P}_r$. We develop more accurate upper and lower error bounds that are sharper than those used in…
We obtain new $L_p$ estimates for subsolutions to fully nonlinear equations. Based on our $L_p$ estimates, we further study several topics such as the third and fourth order derivative estimates for concave fully nonlinear equations,…