Related papers: On Finite difference schemes for partial integro-d…
We consider finite element approximations for a one dimensional second order stochastic differential equation of boundary value type driven by a fractional Brownian motion with Hurst index $H\le 1/2$. We make use of a sequence of…
The state-of-the art proof of a global inf-sup condition on mixed finite element schemes does not allow for an analysis of truly indefinite, second-order linear elliptic PDEs. This paper, therefore, first analyses a nonconforming finite…
We discuss in a stochastic framework the interplay between Riemann-Liouville type operators applied to stochastic processes, real interpolation, bounded mean oscillation, and an approximation problem for stochastic integrals. We provide…
Exponential integrators that use Krylov approximations of matrix functions have turned out to be efficient for the time-integration of certain ordinary differential equations (ODEs). This holds in particular for linear homogeneous ODEs,…
We introduce and analyze multilevel Monte Carlo algorithms for the computation of $\mathbb {E}f(Y)$, where $Y=(Y_t)_{t\in[0,1]}$ is the solution of a multidimensional L\'{e}vy-driven stochastic differential equation and $f$ is a real-valued…
This work is concerned with quasi-optimal a-priori finite element error estimates for the obstacle problem in the $L^2$-norm. The discrete approximations are introduced as solutions to a finite element discretization of an accordingly…
A general classification of linear differential and finite-difference operators possessing a finite-dimensional invariant subspace with a polynomial basis is given. The main result is that any operator with the above property must have a…
A comparison principle for stochastic integro-differential equations driven by Levy processes is proved. This result is obtained via an extension of an Ito formula from [11] for the square of the norm of the positive part of $L_2-$valued,…
Finite differences, as a subclass of direct methods in the calculus of variations, consist in discretizing the objective functional using appropriate approximations for derivatives that appear in the problem. This article generalizes the…
In our preceding paper, we have proposed an algorithm for obtaining finite-norm solutions of higher-order linear ordinary differential equations of the Fuchsian type [\sum_m p_m (x) (d/dx)^m] f(x) = 0 (where p_m is a polynomial with…
Solving Linear Ordinary Differential Equations (ODEs) plays an important role in many applications. There are various numerical methods and solvers to obtain approximate solutions. However, few work about global error estimation can be…
Typically when a semi-discrete approximation to a partial differential equation (PDE) is constructed a discretization of the spatial operator with a truncation error $\tau$ is derived. This discrete operator should be semi-bounded for the…
We present an exposition of a method of discretizing ordinary differential equations while preserving their Lie point symmetries. This method is very general and can be applied to any ODE with a nontrivial symmetry group. The method is…
In this paper we aim to construct an abstract model of a differential operator with a fractional integro-differential operator composition in final terms, where modeling is understood as an interpretation of concrete differential operators…
In this paper, we establish a fundamental inequality for fourth order partial differential operator $\cal P=\alpha\partial_s+\beta\partial_{ss}+\Delta^2$ ($\alpha, \beta\in\mathbb{R}$) with an abstract exponential-type weight function. Such…
This work introduces and rigorously analyzes a novel operator-splitting finite element scheme for approximating viscosity solutions of a broad class of constrained second-order partial differential equations. By decoupling the primary PDE…
We solve some forms of non homogeneous differential equations in one and two dimensions. By expanding the solution into whell-posed closed form-Eisenstein series the solution itself is quite simple and elementary. Also we consider Fourier…
We give new examples of linear differential operators of order $k=2m+1$ (any given odd integer) that are invariant under the isometries of $\mathbb R^n$ and satisfy so-called $L^1$-duality estimates and div/curl inequalities.
We construct new, efficient, and accurate high-order finite differencing operators which satisfy summation by parts. Since these operators are not uniquely defined, we consider several optimization criteria: minimizing the bandwidth, the…
The goal of this paper is to investigate an approach for derivative-free optimization that has not received sufficient attention in the literature and is yet one of the simplest to implement and parallelize. It consists of computing…