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We show how the Stefan type free boundary problem with random diffusion in one space dimension can be approximated by the corresponding free boundary problem with nonlocal diffusion. The approximation problem is a slightly modified version…
We propose certain approach of solving two-dimensional non-stationary and stationary advection-diffusion-reaction boundary value problems through their reduction to the set of corresponding one-dimensional problems. This method leverages…
We present a general framework for the rigorous numerical analysis of time-fractional nonlinear parabolic partial differential equations, with a fractional derivative of order $\alpha\in(0,1)$ in time. The framework relies on three…
The Smoluchowski diffusion equation describes diffusion in the presence of external forces. Studying the mechanical response of soft materials to linear forces, such as shear, results in a boundary value problem involving an…
We study the existence of particular traveling wave solutions of a nonlinear parabolic degenerate diffusion equation with a shear flow. Under some assumptions we prove that such solutions exist at least for propagation speeds c {\in}]c*,…
In this work we study a continuous time exponential utility maximization problem in the presence of a linear temporary price impact. More precisely, for the case where the risky asset is given by the Ornstein-Uhlenbeck diffusion process we…
In this paper we apply the boundary elements method (BEM) and the dual reciprocity boundary elements method (DRBEM) for the numerical solution of two-dimensional time-fractional partial differential equations (TFPDEs). The fractional…
This paper will demonstrate some new techniques for developing the theory of Asian (arithmetic average) options pricing. We discuss the basic derivation of the diffusion equations, and how various techniques from potential theory can be…
This paper is devoted to the study of some nonlinear parabolic equations with discontinuous diffusion intensities. Such problems appear naturally in physical and biological models. Our analysis is based on variational techniques and in…
In this paper, we study a tensor-based method for the numerical solution of a class of diffusion--reaction equations defined on spatial domains that admit common curvilinear coordinate representations. Typical examples in 2D include disks…
We develop a new variational formulation of the inverse Stefan problem, where information on the heat flux on the fixed boundary is missing and must be found along with the temperature and free boundary. We employ optimal control framework,…
The finite difference scheme with the shifted Gr\"{u}nwarld formula is employed to semi-discrete the fractional diffusion equations. This spatial discretization can reduce to the large system of ordinary differential equations (ODEs) with…
We establish boundary observability and control for the fractional heat equation over arbitrary time horizons $T > 0$, within the optimal range of fractional exponents $s \in (1/2, 1)$. Our approach introduces a novel synthesis of…
In this paper, we propose a new adaptation of the D-iteration algorithm to numerically solve the differential equations. This problem can be reinterpreted in 2D or 3D (or higher dimensions) as a limit of a diffusion process where the…
This work presents the design of nonlinear stabilization techniques for the finite element discretization of Euler equations in both steady and transient form. Implicit time integration is used in the case of the transient form. A…
This paper focuses on a nonlinear convection-diffusion equation with space and time-fractional Laplacian operators of orders $1<\beta<2$ and $0<\alpha\leq1$, respectively. We develop local discontinuous Galerkin methods, including Legendre…
In this paper, we develop the constraint energy minimizing generalized multiscale finite element method (CEM-GMsFEM) for convection-diffusion equations with inhomogeneous Dirichlet, Neumann and Robin boundary conditions, along with…
In this paper, we present a robust and fully discretized method for solving the time fractional diffusion equation with high-contrast multiscale coefficients. We establish the homogenized equation using a multicontinuum approach and employ…
This paper develops and analyzes a general iterative framework for solving parameter-dependent and random convection-diffusion problems. It is inspired by the multi-modes method of [7,8] and the ensemble method of [20] and extends those…
We study the use of the hybridizable discontinuous Galerkin (HDG) method for numerically solving fractional diffusion equations of order $-\alpha$ with $-1<\alpha<0$. For exact time-marching, we derive optimal algebraic error estimates…