Related papers: Coupling Levy measures and comparison principles f…
We propose a theory of non-differentiable solutions which applies to fully nonlinear PDE systems and extends the theory of viscosity solutions of Crandall-Ishii-Lions to the vectorial case. Our key ingredient is the discovery of a notion of…
We give a new and rigorous duality relation between two central notions of weak solutions of nonlinear PDEs: entropy and viscosity solutions. It takes the form of the nonlinear dual inequality: \begin{equation}\int |S_t u_0-S_t v_0|…
For scalar fully nonlinear partial differential equations depending on the Hessian andspatial coordinates, we present a general theory for obtaining comparison principles and well posedness for the associated Dirichlet problem with…
A Coefficient Inverse Problem for the radiative transport equation is considered. The globally convergent numerical method, the so-called convexification, is developed. For the first time, the viscosity solution is considered for a boundary…
We observe that the comparison result of Barles-Biton-Ley for viscosity solutions of a class of nonlinear parabolic equations can be applied to a geometric fully nonlinear parabolic equation which arises from the graphic solutions for the…
In this paper we examine the problem of valuing an exotic derivative known as the American passport option where the underlying is driven by a L\'evy process. The passport option is a call option on a trading account. We derive the pricing…
This paper presents some sufficient conditions for the validity of the comparison principle for the weak solutions of non - cooperative weakly coupled systems of elliptic second-order PDEs.
We consider the comparison principle for semicontinuous viscosity sub- and supersolutions of second order elliptic equations on the form $F(D^2 w,x) = 0$. A structural condition on the operator is presented that seems to unify the different…
We consider Neumann problem for linear elliptic equations involving integro-differential operators of Levy-type. We show that suitably defined viscosity solutions have probabilistic representations given in terms of the reflected stochastic…
We consider a nonlinear microcavity separating a waveguide channel into two parts so as the coupling between them is possible only due to the resonant properties of the microcavity. We provide a rigorous derivation of the equations used in…
We give necessary and sufficient conditions guaranteeing that the coupling for L\'evy processes (with non-degenerate jump part) is successful. Our method relies on explicit formulae for the transition semigroup of a compound Poisson process…
We study the optimal Markovian coupling problem for two Pi-valued Feller processes {X_t} and {Y_t}, which seeks a coupling process {(X_t, Y_t)} that minimizes the right derivative at t = 0 of the expected cost E^{(x,y)}[c(X_t, Y_t)], for…
Inferring the coupling direction from measured time series of complex systems is challenging. We propose a new state space based causality measure obtained from cross-distance vectors for quantifying interaction strength. It is a model-free…
We investigate various analytical and numerical techniques for the coupling of nonlinear hyperbolic systems and, in particular, we introduce here an augmented formulation which allows for the modeling of the dynamics of interfaces between…
We present a new formulation based on the classical Dirichlet-Neumann formulation for interface coupling problems in linearized elasticity. By using Taylor series expansions, we derive a new set of interface conditions that allow our…
We collect examples of boundary-value problems of Dirichlet and Dirichlet-Neumann type which we found instructive when designing and analysing numerical methods for fully nonlinear elliptic partial differential equations. In particular, our…
In this paper we study the convergence of solutions for (possibly degenerate) stochastic differential equations driven by L\'evy processes, when the coefficients converge in some appropriate sense. First, we prove, by means of a…
We investigate the relation of the semigroup probability density of an infinite activity L\'{e}vy process to the corresponding L\'{e}vy density. For subordinators, we provide three methods to compute the former from the latter. The first…
A self-consistent mode-coupling theory is presented for the viscosity of solutions of charged rod-like polymers. The static structure factor used in the theory is obtained from polymer integral equation theory; the Debye-H\"{u}ckel…
We study a general class of nonlinear second-order variational inequalities with interconnected bilateral obstacles, related to a multiple modes switching game. Under rather weak assumptions, using systems of penalized unilateral backward…