Related papers: Compact difference scheme for parabolic and Schr\"…
In this paper, fast numerical methods are established for solving a class of time distributed-order and Riesz space fractional diffusion-wave equations. We derive new difference schemes by the weighted and shifted Gr$\ddot{\rm{u}}$nwald…
A new parametric class of semi-implicit numerical schemes for a level set advection equation on Cartesian grids is derived and analyzed. An accuracy and a stability study is provided for a linear advection equation with a variable velocity…
Let $H$ be a self-adjoint isotropic elliptic pseudodifferential operator of order $2$. Denote by $u(t)$ the solution of the Schr\"odinger equation $(i\partial_t - H)u = 0$ with initial data $u(0) = u_0$. If $u_0$ is compactly supported the…
The fractional Feynman-Kac equations describe the distribution of functionals of non-Brownian motion, or anomalous diffusion, including two types called the forward and backward fractional Feynman-Kac equations, where the fractional…
We present a class of one-dimensional systems of nonlinear parabolic equations for which long-time phase dynamics can be described by an ODE with a Lipschitz vector field in R^n. In the considered case of the Dirichlet boundary value…
We derive high-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. The schemes are fourth-order accurate in space and second-order accurate in time for vanishing correlation. In…
For For a given PDE system, or an exterior differential system possessing a Lie group of internal symmetries the orbit reduction procedure is introduced. It is proved that the solutions of the reduced exterior differential system are in…
This report discusses two new ideas for using perturbation methods to solve the time-independent Schr\"odinger equation. The first concept begins with rewriting the perturbation equations in a form that is closely related to matrix…
The aim of this paper is to develop fast second-order accurate difference schemes for solving one- and two-dimensional time distributed-order and Riesz space fractional diffusion equations. We adopt the same measures for one- and…
The article addresses the convergence of implicit and semi-implicit, fully discrete approximations of a class of nonlinear parabolic evolution problems. Such schemes are popular in the numerical solution of evolutions defined with the…
A theorem that constructs a path integral solution for general second order partial differential equations is specialized to obtain path integrals that are solutions of elliptic, parabolic, and hyperbolic linear second order partial…
In multi-phase fluid flow, fluid-structure interaction, and other applications, partial differential equations (PDEs) often arise with discontinuous coefficients and singular sources (e.g., Dirac delta functions). These complexities arise…
We obtain inequalities for the Riesz means for the discrete spectrum of a class of self-adjoint compact integral operators. Such bounds imply some inequalities for the counting function of the Dirichlet boundary problem for the Laplace…
We establish the solvability of second order divergence type parabolic systems in Sobolev spaces. The leading coefficients are assumed to be only measurable in one spatial direction on each small parabolic cylinder with the spatial…
We study a class of second-order degenerate linear parabolic equations in divergence form in $(-\infty, T) \times \mathbb R^d_+$ with homogeneous Dirichlet boundary condition on $(-\infty, T) \times \partial \mathbb R^d_+$, where $\mathbb…
We show the continuous dependence of solutions of linear nonautonomous second order parabolic partial differential equations (PDEs) with bounded delay on coefficients and delay. The assumptions are very weak: only convergence in the weak-*…
We propose a variational approach to solve Cauchy problems for parabolic equations and systems independently of regularity theory for solutions. This produces a universal and conceptually simple construction of fundamental solution…
We establish a new sharp estimate of the order of vanishing of solutions to parabolic equations with variable coefficients. For real-analytic leading coefficients, we prove a localised estimate of the nodal set, at a given time-level, that…
An equation containing a fractional power of an elliptic operator of second order is studied for Dirichlet boundary conditions. Finite difference approximations in space are employed. The proposed numerical algorithm is based on solving an…
Implicit schemes are popular methods for the integration of time dependent PDEs such as hyperbolic and parabolic PDEs. However the necessity to solve corresponding linear systems at each time step constitutes a complexity bottleneck in…