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This paper develops a probabilistic numerical method for solution of partial differential equations (PDEs) and studies application of that method to PDE-constrained inverse problems. This approach enables the solution of challenging inverse…
Nonlinear partial differential equations (PDEs) are used to model dynamical processes in a large number of scientific fields, ranging from finance to biology. In many applications standard local models are not sufficient to accurately…
The properties of nonlinear PDEs that generate filtered solutions are explored with particular attention given to the constraints on the residual term. The analysis is carried out for nonlinear PDEs with an emphasis on evolution problems…
Selection of 25 examples from extensive nontrivial families for different types of nonlinear PDEs and their formal general solutions are given. The main goal here is to show on examples the types of solvable PDEs and what their general…
We overview a series of recent works addressing numerical simulations of partial differential equations in the presence of some elements of randomness. The specific equations manipulated are linear elliptic, and arise in the context of…
Parabolic partial differential equations (PDEs) and backward stochastic differential equations (BSDEs) have a wide range of applications. In particular, high-dimensional PDEs with gradient-dependent nonlinearities appear often in the…
This work develops a class of probabilistic algorithms for the numerical solution of nonlinear, time-dependent partial differential equations (PDEs). Current state-of-the-art PDE solvers treat the space- and time-dimensions separately,…
This work is concerned with the quantification of the epistemic uncertainties induced the discretization of partial differential equations. Following the paradigm of probabilistic numerics, we quantify this uncertainty probabilistically.…
Some of recent developments, including recent results, ideas, techniques, and approaches, in the study of degenerate partial differential equations are surveyed and analyzed. Several examples of nonlinear degenerate, even mixed, partial…
Partial differential equations (PDEs) are among the most universal and parsimonious descriptions of natural physical laws, capturing a rich variety of phenomenology and multi-scale physics in a compact and symbolic representation. This…
We consider some certain nonlinear perturbations of the stochastic linear-quadratic optimization problems and study the connections between their solutions and the corresponding Markovian backward stochastic diferential equations (BSDEs).…
Whether integrable, partially integrable or nonintegrable, nonlinear partial differential equations (PDEs) can be handled from scratch with essentially the same toolbox, when one looks for analytic solutions in closed form. The basic tool…
We consider the problem of numerically approximating the solutions to a partial differential equation (PDE) when there is insufficient information to determine a unique solution. Our main example is the Poisson boundary value problem, when…
We consider a non-linear parabolic partial differential equation (PDE) on $\mathbb R^d$ with a distributional coefficient in the non-linear term. The distribution is an element of a Besov space with negative regularity and the non-linearity…
High-dimensional partial differential equations (PDEs) pose significant challenges for numerical computation due to the curse of dimensionality, which limits the applicability of traditional mesh-based methods. Since 2017, the Deep BSDE…
We introduce a new class of nonlinear Stochastic Differential Equations in the sense of McKean, related to non conservative nonlinear Partial Differential equations (PDEs). We discuss existence and uniqueness pathwise and in law under…
We consider a system of semi-linear partial differential equations with measurable coefficients and a nonlinear Neumann boundary condition. We then construct a sequence of penalized partial differential equations which converges to a…
In this paper, we study the existence and non-existence of entire solutions of certain non-linear delay-differential equations.
Parabolic partial differential equations (PDEs) and backward stochastic differential equations (BSDEs) are key ingredients in a number of models in physics and financial engineering. In particular, parabolic PDEs and BSDEs are fundamental…
In this paper we study about the existence of solutions of certain kind of non-linear differential and differential-difference equations. We give partial answer to a problem which was asked by chen et al. in [13].