Related papers: Perron's method for pathwise viscosity solutions
We study the backward Kolmogorov equation on the space of probability measures associated to the Kushner-Stratonovich equation of nonlinear filtering. We prove existence and uniqueness in the viscosity sense and, in particular, we provide a…
This paper analyzes a full discretization of a three-dimensional stochastic Allen-Cahn equation with multiplicative noise. The discretization combines the Euler scheme for temporal approximation and the finite element method for spatial…
The paper concerns with novel first-order methods for monotone variational inequalities. They use a very simple linesearch procedure that takes into account a local information of the operator. Also the methods do not require…
We introduce a notion of duality solution for a single or a system of transport equations in spaces of probability measures reminiscent of the viscosity solution notion for nonlinear parabolic equations. Our notion of solution by duality…
We establish pathwise existence of solutions for porous media and fast diffusion equations with nonlinear gradient noise, in the full regime $m\in(0,\infty)$ and for any initial data in $L^2$. Moreover, if the initial data is positive,…
In this paper, we consider periodic soft inclusions $T_{\epsilon}$ with periodicity $\epsilon$, where the solution, $u_{\epsilon}$, satisfies semi-linear elliptic equations of non-divergence in $\Omega_{\epsilon}=\Omega\setminus…
The path-following scheme in [Loisel and Maxwell, SIAM J. Matrix Anal. Appl., 39-4 (2018), pp. 1726-1749] is adapted to efficiently calculate the dispersion relation curve for linear surface waves on an arbitrary vertical shear current.…
In this paper, we propose a smoothing method to solve nonlinear complementarity problems involving P 0-functions. We propose a nonparametric algorithm to solve the nonlinear corresponding system of equations and prove some global and local…
We advance a variational method to prove qualitative properties such as symmetries, monotonicity, upper and lower bounds, sign properties, and comparison principles for a large class of doubly-nonlinear evolutionary problems including…
We derive and prove the path-kernel formula for the linear response (parameter-derivative of averaged statistics) of SDEs. The parameter may affect the drift coefficient, the diffusion coefficient, and the initial condition. The formula…
The paper develops new methods of non-parametric estimation a compound Poisson distribution. Such a problem arise, in particular, in the inference of a Levy process recorded at equidistant time intervals. Our key estimator is based on…
We propose a numerical method to approximate viscosity solutions of fully nonlinear free transmission problems. The method discretises a two-layer regularisation of a PDE, involving a functional and a vanishing parameter. The former is…
In this paper we show some explicit results regarding non-linear diffusive equations on Poincar\'e half plane. We obtain exact solutions by using the generalized separation of variables and we also show the meaning of these results in the…
We present several examples of fundamental problems involving weak continuity and compactness for nonlinear partial differential equations, in which compensated compactness and related ideas have played a significant role. We first focus on…
We consider finite dimensional rough differential equations driven by centered Gaussian processes. Combining Malliavin calculus, rough paths techniques and interpolation inequalities, we establish upper bounds on the density of the…
A Hamilton-Jacobi equation with Caputo's time-fractional derivative of order less than one is considered. The notion of a viscosity solution is introduced to prove unique existence of a solution to the initial value problem under periodic…
This paper is concerned with the study of the Strong Maximum Principle for semicontinuous viscosity solutions of fully nonlinear, second-order parabolic integro-differential equations. We study separately the propagation of maxima in the…
We consider a method of pairwise variations for smooth optimization problems, which involve polyhedral constraints. It consists in making steps with respect to the difference of two selected extreme points of the feasible set together with…
This paper presents a finite-dimensional approximation for a class of partial differential equations on the space of probability measures. These equations are satisfied in the sense of viscosity solutions. The main result states the…
Extending results of Oh--Zumbrun and Johnson--Zumbrun for parabolic conservation laws, we show that spectral stability implies nonlinear stability for spatially periodic viscous roll wave solutions of the one-dimensional St. Venant…