Related papers: Perron's method for pathwise viscosity solutions
We prove new comparison principles for viscosity solutions of non-linear integro-differential equations. The operators to which the method applies include but are not limited to those of L\'evy-It\^o type. The main idea is to use an optimal…
Regularization is used in many different areas of optimization when solutions are sought which not only minimize a given function, but also possess a certain degree of regularity. Popular applications are image denoising, sparse regression…
We study the Dirichlet problem for p-harmonic functions on metric spaces with respect to arbitrary compactifications. A particular focus is on the Perron method, and as a new approach to the invariance problem we introduce Sobolev-Perron…
We establish the well-posedness of viscosity solutions for a class of semi-linear Hamilton-Jacobi equations set on the space of probability measures on the torus. In particular, we focus on equations with both common and idiosyncratic…
Our study is dedicated to the probabilistic representation and numerical approximation of solutions to coupled systems of variational inequalities. The dynamics of each component of the solution is driven by a different linear parabolic…
We construct solutions to Burgers type equations perturbed by a multiplicative space-time white noise in one space dimension. Due to the roughness of the driving noise, solutions are not regular enough to be amenable to classical methods.…
We prove the existence of a $B$-continuous viscosity solution for a class of infinite dimensional semilinear partial differential equations (PDEs) using probabilistic methods. Our approach also yields a stochastic representation formula for…
We introduce a method-of-lines formulation of the closest point method, a numerical technique for solving partial differential equations (PDEs) defined on surfaces. This is an embedding method, which uses an implicit representation of the…
This paper is concerned with developing accurate and efficient numerical methods for fully nonlinear second order elliptic and parabolic partial differential equations (PDEs) in multiple spatial dimensions. It presents a general framework…
The polaron problem is a very old problem in condensed matter physics that dates back to the thirties, but still remain largely unsolved today, especially when electron-electron interaction is taken into consideration. The presence of both…
We show how to use geometric arguments to prove that the terminal solution to a rough differential equation driven by a geometric rough path can be obtained by driving the same equation by a piecewise linear path. For this purpose, we…
We develop a convergence theory for non-monotone approximation schemes for fully nonlinear parabolic partial differential equations. Modern computational methods such as kernel-based collocation, spectral methods, physics-informed neural…
We derive and analyze monotone difference-quadrature schemes for Bellman equations of controlled Levy (jump-diffusion) processes. These equations are fully non-linear, degenerate parabolic integro-PDEs interpreted in the sense of viscosity…
In this paper, we first define the notion of viscosity solution for the following system of partial differential equations involving a subdifferential operator:\[\{[c]{l}\dfrac{\partial u}{\partial…
We extend a recently developed method to solve semi-linear PDEs to the case of a degenerated diffusion. Being a pure Monte Carlo method it does not suffer from the so called curse of dimensionality and it can be used to solve problems that…
We consider a strongly heterogeneous medium saturated by an incompressible viscous fluid as it appears in geomechanical modeling. This poroelasticity problem suffers from rapidly oscillating material parameters, which calls for a thorough…
We examine the stability of a class of quasilinear parabolic partial differential equations under perturbations. We are interested in the behavior of viscosity solutions as the perturbation parameter vanishes and establish explicit…
We prove Aleksandrov-Bakelman-Pucci estimates and Harnack inequalities for viscosity solutions of a class of degenerate fully nonlinear pseudo-$p$-Laplacian equations in nondivergence form. Our main approach is an adaptation of the sliding…
This paper presents an iterative method suitable for inverting semilinear problems which are important kernels in many numerical applications. The primary idea is to employ a parametrization that is able to reduce semilinear problems into…
An important set of theorems in geometric analysis consists of constant rank theorems for a wide variety of curvature problems. In this paper, for geometric curvature problems in compact and non-compact settings, we provide new proofs which…