Related papers: Numerical method for hyperbolic conservation laws …
The Feynman-Kac equations are a type of partial differential equations describing the distribution of functionals of diffusive motion. The probability density function (PDF) of Brownian functionals satisfies the Feynman-Kac formula, being a…
This paper establishes a Feynman-Kac formula to represent the solution to general time inhomogeneous stochastic parabolic partial differential equations driven by multiplicative fractional Gaussian noises in bounded domain where L_t is a…
This paper provides a methodology of verified computing for solutions to 1-dimensional advection equations with variable coefficients. The advection equation is typical partial differential equations (PDEs) of hyperbolic type. There are few…
We establish a probabilistic representation for a wide class of linear deterministic p.d.e.s with potential term, including the wave equation in spatial dimensions 1 to 3. Our representation applies to the heat equation, where it is related…
Stable numerical simulations for a hyperbolic system of conservation laws of relaxation type but not in divergence form are obtained by incorporating the physical entropy into the simulations. The entropy balance is utilized as an…
Solving the Fokker-Planck equation for high-dimensional complex dynamical systems remains a pivotal yet challenging task due to the intractability of analytical solutions and the limitations of traditional numerical methods. In this work,…
In this paper we present a novel sampling-based numerical scheme designed to solve a certain class of stochastic optimal control problems, utilizing forward and backward stochastic differential equations (FBSDEs). By means of a nonlinear…
In this paper we present an approach to approximate numerically the solution of coupled hyperbolic conservation laws. The coupling is achieved through a fixed interface, in which interface conditions are linking the traces of both sides.…
In this paper we obtain a Feynman-Kac formula for the solution of a fractional stochastic heat equation driven by fractional noise. One of the main difficulties is to show the exponential integrability of some singular nonlinear functionals…
We introduce a new family of numerical algorithms for approximating solutions of general high-dimensional semilinear parabolic partial differential equations at single space-time points. The algorithm is obtained through a delicate…
Conservation laws in the form of elliptic and parabolic partial differential equations (PDEs) are fundamental to the modeling of many problems such as heat transfer and flow in porous media. Many of such PDEs are stochastic due to the…
An "exact" method for scalar one-dimensional hyperbolic conservation laws is presented. The approach is based on the evolution of shock particles, separated by local similarity solutions. The numerical solution is defined everywhere, and is…
In this paper we develop a numerical method for efficiently approximating solutions of certain Zakai equations in high dimensions. The key idea is to transform a given Zakai SPDE into a PDE with random coefficients. We show that under…
We propose an algorithm based on variational quantum imaginary time evolution for solving the Feynman-Kac partial differential equation resulting from a multidimensional system of stochastic differential equations. We utilize the…
Solving the Fokker-Planck equation for high-dimensional complex turbulent dynamical systems is an important and practical issue. However, most traditional methods suffer from the curse of dimensionality and have difficulties in capturing…
We consider initial boundary-value problems for nonlinear systems of conservation laws in one space variable. It is known that in general different viscous mechanisms yield different solutions in the zero-viscosity limit. Here we focus on…
Hyperbolic conservation laws are conventionally solved by evolving reconstructed floating-point fields, incurring both computational overhead and structural diffusion near discontinuities. Here we introduce the Fast Quantised Numerical…
This paper is an attempt to extend the notion of viscosity solution to nonlinear stochastic partial differential integral equations with nonlinear Neumann boundary condition. Using the recently developed theory on generalized backward…
We propose a novel non-compact, positivity-preserving scheme for linear non-divergence form elliptic equations. Based on the Feynman--Kac formula, the solution is represented as a conditional expectation associated with a diffusion…
We prove Feynman-Kac formulas for solutions to elliptic and parabolic boundary value and obstacle problems associated with a general Markov diffusion process. Our diffusion model covers several popular stochastic volatility models, such as…