Related papers: Solving stochastic differential equations with Car…
The aim of the book is to present some recent results in the theory of stochastic It\^o equations with singular deterministic part (drift) and its applications to second-order elliptic and parabolic equations with singular first-order…
We formulate a method of computing invariant 1-forms and structure equations of symmetry pseudo-groups of differential equations based on Cartan's method of equivalence and the moving coframe method introduced by Fels and Olver. Our…
The discretization of Cartan's exterior calculus of differential forms has been fruitful in a variety of theoretical and practical endeavors: from computational electromagnetics to the development of Finite-Element Exterior Calculus, the…
We consider the problem of constructing weak solutions to the It\^{o} and to the Stratonovich stochastic differential equations having critical-order singularities in the drift and critical-order discontinuities in the dispersion matrix.
In this work we demonstrate that SVD-based model reduction techniques known for ordinary differential equations, such as the proper orthogonal decomposition, can be extended to stochastic differential equations in order to reduce the…
This paper is concerned with the It\^o stochastic differential equations with $\mR^{d\times k}$ diffusions in class of H\"older spaces and continuous $\mR^d$ drifts. We derive a uniqueness result of strong solutions for $\cC^\alpha \…
The techniques used in this paper are based on the exterior calculus of Maurer-Cartan forms, and Weingarten surfaces are used to illustrate the methods that apply to quadratic exterior equations with constant coefficients. Isothermic {\it…
In this article we introduce a new method for the construction of unique strong solutions of a larger class of stochastic delay equations driven by a discontinuous drift vector field and a Wiener process. The results obtained in this paper…
Skew-symmetric differential forms play an unique role in mathematics and mathematical physics. This relates to the fact that closed exterior skew-symmetric differential forms are invariants. The concept of "Exterior differential forms" was…
We are interested in the numerical solution of nonsymmetric linear systems arising from the discretization of convection-diffusion partial differential equations with separable coefficients and dominant convection. Preconditioners based on…
The present work provides a critical assessment of numerical solutions of the space-fractional diffusion-advection equation, which is of high significance for applications in various natural sciences. In view of the fact that, in contrast…
We consider a $d$-dimensional SDE with an identity diffusion matrix and a drift vector being a vector function of bounded variation. We give a representation for the derivative of the solution with respect to the initial data.
This is an elementary introduction to exterior differential systems motivated by two examples: minimal submanifolds and the isometric embedding problem. The two main goals of the lectures are: 1. To explain how to find an appropriate…
We prove the solvability of It\^o stochastic equations with uniformly nondegenerate, bounded, measurable diffusion and drift in $L_{d+1}(\mathbb{R}^{d+1})$. Actually, the powers of summability of the drift in $x$ and $t$ could be different.…
We give an elegant formulation of the structure equations (of Cartan) and the Bianchi identities in terms of exterior calculus without reference to a particular basis and without the exterior covariant derivative. This approach allows both…
A stochastic differential equation with coefficients defined in a scale of Hilbert spaces is considered. The existence and uniqueness of finite time solutions is proved by an extension of the Ovsyannikov method. This result is applied to a…
In this note, we present a new numerical method for solving backward stochastic differential equations. Our method can be viewed as an analogue of the classical finite element method solving deterministic partial differential equations.
In this work, we investigate the one-dimensional heat equation within the framework of Stieltjes calculus. We first consider the equation associated with two fixed derivators and develop a constructive approach to establish the existence of…
Let $dx_i/dt=f_i(x_1,\cdots,x_n)$, ($i=1,\cdots,n$) be a system of $n$ first order autonomous ordinary differential equations. We use E. Cartan's equivalence method to study the invariants of this system under diffeomorphisms of the form…
An approach to analysis on path spaces of Riemannian manifolds is described. The spaces are furnished with `Brownian motion' measure which lies on continuous paths, though differentiation is restricted to directions given by tangent paths…