Related papers: Generalized exponential basis for efficient solvin…
We describe a variational approach to solving optimal stopping problems for diffusion processes, as an alternative to the traditional approach based on the solution of the free-boundary problem. We study smooth pasting conditions from a…
Bresse-Timoshenko beam model with thermal, mass diffusion and theormoelastic effects is studied. We state and prove the well-posedness of problem. The global existence and uniqueness of the solution is proved by using the classical…
The global existence of bounded solutions to reaction-diffusion systems with fractional diffusion in the whole space $\mathbb R^N$ is investigated. The systems are assumed to preserve the non-negativity of initial data and to dissipate…
In this paper we propose a semi-analytic approach to pricing American options for time-dependent jump-diffusions models with exponential jumps The idea of the method is to further generalize our approach developed for pricing barrier,…
This paper deals with the multi-term generalisation of the time-fractional diffusion-wave equation for general operators with discrete spectrum, as well as for positive hypoelliptic operators, with homogeneous multi-point time-nonlocal…
We present a Neumann series of spherical Bessel functions representation for solutions of the Sturm--Liouville equation in impedance form \[ (\kappa(x)u')' + \lambda \kappa(x)u = 0,\quad 0 < x < L, \] in the case where $\kappa \in…
This manuscript studies the numerical solution of the time-fractional Burgers-Huxley equation in a reproducing kernel Hilbert space. The analytical solution of the equation is obtained in terms of a convergent series with easily computable…
An unsteady problem is considered for a space-fractional diffusion equation in a bounded domain. A first-order evolutionary equation containing a fractional power of an elliptic operator of second order is studied for general boundary…
The Fractional Diffusion Equation (FDE) is a mathematical model that describes anomalous transport phenomena characterized by non-local and long-range dependencies which deviate from the traditional behavior of diffusion. Solving this…
For the case of approximation of convection--diffusion equations using piecewise affine continuous finite elements a new edge-based nonlinear diffusion operator is proposed that makes the scheme satisfy a discrete maximum principle. The…
This paper introduces a novel approach to approximate a broad range of reaction-convection-diffusion equations using conforming finite element methods while providing a discrete solution respecting the physical bounds given by the…
In this article we prove the existence of Bernstein processes which we associate in a natural way with a class of linear parabolic initial-and final boundary value problems defined in bounded convex subsets of Euclidean space of arbitrary…
We consider numerical methods for linear parabolic equations in one spatial dimension having piecewise constant diffusion coefficients defined by a one parameter family of interface conditions at the discontinuity. We construct immersed…
In this paper, we use a probabilistic approach to show that there exists a unique, bounded continuous solution to the Dirichlet boundary value problem for a general class of second order non-symmetric elliptic operators $L$ with singular…
We study a nonlocal diffusion operator in a bounded smooth domain prescribing the flux through the boundary. This problem may be seen as a generalization of the usual Neumann problem for the heat equation. First, we prove existence,…
A technique is described in this paper to avoid order reduction when integrating reaction-diffusion initial boundary value problems with explicit exponential Rosenbrock methods. The technique is valid for any Rosenbrock method, without…
We develop a unified and easy to use framework to study robust fully discrete numerical methods for nonlinear degenerate diffusion equations $$ \partial_t u-\mathfrak{L}^{\sigma,\mu}[\varphi(u)]=f \quad\quad\text{in}\quad\quad…
We suggest a modification of the operator exponential method for the numerical solving the difference linear initial boundary value problems. The scheme is based on the representation of the difference operator for given boundary conditions…
Solutions of boundary value problems for a diffusion equation of fractional and variable order in differential and difference settings are studied. It is shown that the method of energy inequalities is applicable to obtaining a priori…
We study the free boundary regularity of the traveling wave solutions to a degenerate advection-diffusion problem of Porous Medium type, whose existence was proved in \cite{MonsaingonNovikovRoquejoffre}. We set up a finite difference scheme…