Related papers: Numerical stochastic homogenization by quasilocal …
We develop unified and easy to use framework to study robust fully discrete numerical methods for nonlinear degenerate diffusion equations $$ \partial_t u-\mathfrak{L}[\varphi(u)]=f(x,t) \qquad\text{in}\qquad \mathbb{R}^N\times(0,T), $$…
We establish a rate of convergence of the two scale expansion (in the sense of homogenization theory) of the solution to a highly oscillatory elliptic partial differential equation with random coefficients that are a perturbation of…
A floating hemisphere under forced harmonic oscillation at very high and very low frequencies is considered. The problem is reduced to an elliptic one, that is, the Laplace operator in the exterior domain with standard Dirichlet and Neumann…
We study a one-dimensional elliptic problem with highly oscillatory random diffusion coefficient. We derive a homogenized solution and a so-called Gaussian corrector. We also prove a "pointwise" large deviation principle (LDP) for the full…
In this paper, we study the diffusion approximation for singularly perturbed stochastic reaction-diffusion equation with a fast oscillating term. The asymptotic limit for the original system is obtained, where an extra Gaussian term…
We consider the homogenization of a semilinear elliptic equation where the coefficients of the second-order differential operator may be discontinuous. We establish the existence and uniqueness of the fine-scale solution, followed by an a…
The statistical problem of parameter estimation in partially observed hypoelliptic diffusion processes is naturally occurring in many applications. However, due to the noise structure, where the noise components of the different coordinates…
The paper deals with a stochastic Galerkin approximation of elliptic Dirichlet boundary control problems with random input data. The expectation of a tracking cost functional with the deterministic constrained control is minimized. Error…
We consider the radiation transfer problem in the discrete-ordinate, plane-parallel approach. We introduce two benchmark problems with exact known solutions and show that for strongly non-homogeneous media the homogeneous layers…
We introduce a variational multiscale closure modeling strategy for the numerical stabilization of proper orthogonal decomposition reduced-order models of convection-dominated equations. As a first step, the new model is analyzed and tested…
We present an explicit method for simulating stochastic differential equations (SDEs) that have variable diffusion coefficients and satisfy the detailed balance condition with respect to a known equilibrium density. In Tupper and Yang…
We propose and analyze a new discretization technique for a linear-quadratic optimal control problem involving the fractional powers of a symmetric and uniformly elliptic second oder operator; control constraints are considered. Since these…
The paper deals with finite element approximations of elliptic Dirichlet boundary control problems posed on two-dimensional polygonal domains. Error estimates are derived for the approximation of the control and the state variables. Special…
Upon the recent development of the quasi-reversibility method for terminal value parabolic problems in \cite{Nguyen2019}, it is imperative to investigate the convergence analysis of this regularization method in the stochastic setting. In…
Randomness is ubiquitous in modern engineering. The uncertainty is often modeled as random coefficients in the differential equations that describe the underlying physics. In this work, we describe a two-step framework for numerically…
A numerical method for approximating weak solutions of an aggregation equation with degenerate diffusion is introduced. The numerical method consists of a stabilized finite element method together with a mass lumping technique and an extra…
We propose a domain decomposition method for the efficient simulation of nonlocal problems. Our approach is based on a multi-domain formulation of a nonlocal diffusion problem where the subdomains share "nonlocal" interfaces of the size of…
The Heston stochastic volatility process, which is widely used as an asset price model in mathematical finance, is a paradigm for a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square…
We study the limiting probability distribution of the homogenization error for second order elliptic equations in divergence form with highly oscillatory periodic conductivity coefficients and highly oscillatory stochastic potential. The…
An inductive procedure is developed to calculate the asymptotic behavior at time zero of a diffusion with polynomial drift and degenerate, additive noise. The procedure gives rise to two different rescalings of the process; namely, a…