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The problem of solving partial differential equations (PDEs) on manifolds can be considered to be one of the most general problem formulations encountered in computational multi-physics. The required covariant forms of balance laws as well…
We present a class of new explicit and stable numerical algorithms to solve the spatially discretized linear heat or diffusion equation. After discretizing the space and the time variables like conventional finite difference methods, we do…
We describe an exact and highly efficient numerical algorithm for solving a special but important class of convection-diffusion equations. These equations occur in many problems in physics, chemistry, or biology, and they are usually hard…
We introduce a new class of numerical methods for solving McKean-Vlasov stochastic differential equations, which are relevant in the context of distribution-dependent or mean-field models, under super-linear growth conditions for both the…
We study the stochastic solution to a Cauchy problem for a degenerate parabolic equation arising from option pricing. When the diffusion coefficient of the underlying price process is locally H\"older continuous with exponent $\delta\in (0,…
In this paper, we study the convergence for solutions to a sequence of (possibly degenerate) stochastic differential equations with jumps, when the coefficients converge in some appropriate sense. Our main tools are the superposition…
The construction of stochastic solutions is a powerful method to obtain localized solutions in configuration or Fourier space and for parallel computation with domain decomposition. Here a stochastic solution is obtained for the…
Dirac algorithm allows to construct Hamiltonian systems for singular systems, and so contributing to its successful quantization. A drawback of this method is that the resulting quantized theory does not have manifest Lorentz invariance.…
This paper shows how to build a formal analytical solution for a differential equation of arbitrary order and with variable coefficients. It proofs that the most known approximated solutions for such a problem can be derived from the…
This paper is devoted to a study on SDEs with a bounded Borel drift b. We first remark that the original integration by parts formula due to P. Malliavin can be used to deal with derivatives with respect to space variables, then we obtain a…
We have recently presented an extension of the standard variational calculus to include the presence of deformed derivatives in the Lagrangian of a system of particles and in the Lagrangian density of field-theoretic models. Classical…
A construction of differential constraints compatible with partial differential equations is considered. Certain linear determining equations with parameters are used to find such differential constraints. They generalize the classical…
We study the degenerated It\^o SDE on $\mathbb R^d$ whose drift coefficient only fulfills a mixed Osgood and Sobolev regularity. Under suitable assumptions on the gradient of the diffusion coefficient and on the divergence of the drift…
A deformed differential calculus is developed based on an associative star-product. In two dimensions the Hamiltonian vector fields model the algebra of pseudo-differential operator, as used in the theory of integrable systems. Thus one…
In this paper we address again the problem of the connection between multitime Brownian sheet and heat type PDEs. The main results include: the volumetric character of the solutions of the forward (backward) diffusion-like PDEs; the forward…
The overarching goal of this paper is to establish a set-valued It\^{o}'s formula. As an application, we obtain the existence and uniqueness of solutions for the general set-valued backward stochastic differential equation which gives an…
In this paper we study a stochastic differential equation driven by a fractional Brownian motion with a discontinuous coefficient. We also give an approximation to the solution of the equation. This is a first step to define a fractional…
Motivated by a problematic coming from mathematical finance, this paper is devoted to existing and additional results of continuity and differentiability of the It\^o map associated to rough differential equations. These regularity results…
An exterior differential calculus in the general framework of generalized Lie algebroids is presented. A theorem of Maurer-Cartan type is obtained. All results with details proofs are presented and a new point of view over exterior…
In this paper after recalling some essential tools concerning the theory of differential forms in the Cartan, Hodge and Clifford bundles over a Riemannian or Riemann-Cartan space or a Lorentzian or Riemann-Cartan spacetime we solve with…