Related papers: Efficient solver for a special class of convection…
We describe an algorithm for the numerical solution of second order linear differential equations in the highly-oscillatory regime. It is founded on the recent observation that the solutions of equations of this type can be accurately…
We explicitly solve the optimal switching problem for one-dimensional diffusions by directly employing the dynamic programming principle and the excessive characterization of the value function. The shape of the value function and the…
Numerical methods for fractional calculus attract increasing interests due to its wide applications in various fields such as physics, mechanics, etc. In this paper, we focus on constructing high-order algorithms for Riesz derivatives,…
We show the existence of unique global strong solutions of a class of stochastic differential equations on the cone of symmetric positive definite matrices. Our result includes affine diffusion processes and therefore extends considerably…
We propose a nonlinear Discrete Duality Finite Volume scheme to approximate the solutions of drift diffusion equations. The scheme is built to preserve at the discrete level even on severely distorted meshes the energy / energy dissipation…
A collection of codes (in MATLAB & Fortran 77), and examples, for solving reaction-diffusion equations in one and two space dimensions is presented. In areas of the mathematical community spectral methods are used to remove the stiffness…
We propose and study discontinuous Galerkin methods for strongly degenerate convection-diffusion equations perturbed by a fractional diffusion (L\'evy) operator. We prove various stability estimates along with convergence results toward…
We propose a discontinuous Galerkin method for convection-subdiffusion equations with a fractional operator of order $\alpha (1<\alpha<2)$ defined through the fractional Laplacian. The fractional operator of order $\alpha$ is expressed as a…
We solve the anisotropic diffusion equation in 2D, where the dominant direction of diffusion is defined by a vector field which does not conform to a Cartesian grid. Our method uses operator splitting to separate the diffusion perpendicular…
The purpose of this paper is to provide a formula for the effective diffusion operator obtained by projecting the 3-dimensional diffusion equation onto a 2-dimensional plane, assuming reflective boundary conditions at two surfaces in…
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…
A semi-Lagrangian method for parabolic problems is proposed, that extends previous work by the authors to achieve a fully conservative, flux-form discretization of linear and nonlinear diffusion equations. A basic consistency and…
We consider a Poisson equation in $\mathbb R^d$ for the elliptic operator corresponding to an ergodic diffusion process. Optimal regularity and smoothness with respect to the parameter are obtained under mild conditions on the coefficients.…
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…
Several relaxation approximations to partial differential equations have been recently proposed. Examples include conservation laws, Hamilton-Jacobi equations, convection-diffusion problems, gas dynamics problems. The present paper focuses…
We propose an efficient algorithm for the approximation of fractional integrals by using Runge--Kutta based convolution quadrature. The algorithm is based on a novel integral representation of the convolution weights and a special…
We propose an explicit algorithm based on the Linear Combination of Hamiltonian Simulations technique to simulate both the advection-diffusion equation and a nonunitary discretized version of the Koopman-von Neumann formulation of nonlinear…
The invariance for the equation of fast diffusion in the 2D coordinate space has been proved, and its reduction to the 1D (with respect to the spatial variable) analog is demonstrated. On the basis of these results, new exact…
The primary goal of this paper is to characterize solutions to coupled reaction-diffusion systems. Indeed, we use operators theory to show that under suitable assumptions, then the solutions to the reaction-diffusion equations exist. As…
Diffusive representations of fractional derivatives have proven to be useful tools in the construction of fast and memory efficient numerical methods for solving fractional differential equations. A common challenge in many of the known…