Related papers: Finite difference schemes for stochastic partial d…
This paper develops validated computational methods for studying infinite dimensional stable manifolds at equilibrium solutions of parabolic PDEs, synthesizing disparate errors resulting from numerical approximation. To construct our…
The likelihood functions for discretely observed nonlinear continuous-time models based on stochastic differential equations are not available except for a few cases. Various parameter estimation techniques have been proposed, each with…
We consider a stochastic partial differential equation close to bifurcation of pitchfork type, where a one-dimensional space changes its stability. For finite-time Lyapunov exponents we characterize regions depending on the distance from…
We derive computable error estimates for finite element approximations of linear elliptic partial differential equations (PDE) with rough stochastic coefficients. In this setting, the exact solutions contain high frequency content that…
This paper presents a novel multi-scale method for elliptic partial differential equations with arbitrarily rough coefficients. In the spirit of numerical homogenization, the method constructs problem-adapted ansatz spaces with uniform…
The coefficient function of the leading differential operator is estimated from observations of a linear stochastic partial differential equation (SPDE). The estimation is based on continuous time observations which are localised in space.…
The implicit compact finite-difference scheme was developed for evolutionary partial differential parabolic and Schr\"odinger-type equations and systems with a weak nonlinearity. To make a temporal step of the compact implicit scheme we…
We obtain some weighted $L^{p}$-Sobolev estimates with gain on $p$ and the weight for solutions of the $\overline{\partial}$-equation in lineally convex domains of finite type in $\mathbb{C}^{n}$ and apply them to obtain weighted…
We develop a unified PDE-probabilistic framework for pointwise gradient and Hessian estimates of Markov semigroups associated with stochastic differential equations with singular and unbounded coefficients. Under mild local structural…
We present a method for approximating solutions of Stochastic Differential Equations (SDEs) with arbitrary rates. This approximation is derived for bounded and measurable test functions. Specifically, we demonstrate that, leveraging the…
The paper is concerned with the mathematical theory and numerical approximation of systems of partial differential equations (pde) of hyperbolic, pseudo-parabolic type. Some mathematical properties of the initial-boundary-value problem…
We prove generalized Fefferman-Stein type theorems on sharp functions with $A_p$ weights in spaces of homogeneous type with either finite or infinite underlying measure. We then apply these results to establish mixed-norm weighted…
In this paper, we will show the $L^p$-resolvent estimate for the finite element approximation of the Stokes operator for $p \in \left( \frac{2N}{N+2}, \frac{2N}{N-2} \right)$, where $N \ge 2$ is the dimension of the domain. It is expected…
We obtain existence and uniqueness in L^p, p>1 of the solutions of a backward stochastic differential equations (BSDEs for short) driven by a marked point process, on a bounded interval. We show that the solution of the BSDE can be…
We study a stochastic boundary value problem on $(0,1)^d$ of elliptic type in dimension $d\ge 4$, driven by a coloured noise. An approximation scheme based on a suitable discretization of the Laplacian on a lattice of $(0,1)^d$ is…
We provide convergence rates for space approximations of semi-linear stochastic differential equations with multiplicative noise in a Hilbert space. The space approximations we consider are spectral Galerkin and finite elements, and the…
A numerical scheme is presented for approximating fractional order Poisson problems in two and three dimensions. The scheme is based on reformulating the original problem posed over $\Omega$ on the extruded domain…
We consider parameter estimation for a linear parabolic second-order stochastic partial differential equation (SPDE) in two space dimensions driven by two types $Q$-Wiener processes based on high frequency data in time and space. We first…
In this paper we present a scheme for the numerical solution of one-dimensional stochastic differential equations (SDEs) whose drift belongs to a fractional Sobolev space of negative regularity (a subspace of Schwartz distributions). We…
We define some approximation schemes for different kinds of generalized backward stochastic differential systems, considered in the Markovian framework. We propose a mixed approximation scheme for a decoupled system of forward reflected SDE…