Related papers: Some recent progress in singular stochastic PDEs
Most inverse problems from physical sciences are formulated as PDE-constrained optimization problems. This involves identifying unknown parameters in equations by optimizing the model to generate PDE solutions that closely match measured…
Stochastic differential equations (SDEs) are established tools to model physical phenomena whose dynamics are affected by random noise. By estimating parameters of an SDE intrinsic randomness of a system around its drift can be identified…
Several aspects of regularity theory for parabolic systems are investigated under the effect of random perturbations. The deterministic theory, when strict parabolicity is assumed, presents both classes of systems where all weak solutions…
This paper constructs a solvability theory for a system of stochastic partial differential equations. On account of the Kolmogorov continuity theorem, solutions are looked for in certain H\"older-type classes in which a random field is…
This paper develops validated computational methods for studying infinite dimensional stable manifolds at equilibrium solutions of parabolic PDEs, synthesizing disparate errors resulting from numerical approximation. To construct our…
Recently, in a paper by Jentzen and Kloeden [Proc. R. Soc. Lond. Ser. A Math. Phys. Eng. Sci. 465 (2009) 649-667], a new method for simulating nearly linear stochastic partial differential equations (SPDEs) with additive noise has been…
Stochastic differential equations (sdes) play an important role in physics but existing numerical methods for solving such equations are of low accuracy and poor stability. A general strategy for developing accurate and efficient schemes…
We give sufficient conditions under which the convergence of finite difference approximations in the space variable of the solution to the Cauchy problem for linear stochastic PDEs of parabolic type can be accelerated to any given order of…
We consider a specific type of nonlinear partial differential equations (PDE) that appear in mathematical finance as the result of solving some optimization problems. We review some existing in the literature examples of such problems, and…
This short note completes the symmetry analysis of a class of quasi-linear partial differential equations considered in the previous paper (Nonlinear Dynamics, Vol. 51, 309-316 (2008)): it deals with the presence of an "exceptional" Lie…
Consider the approximation of stochastic Allen-Cahn-type equations (i.e. $1+1$-dimensional space-time white noise-driven stochastic PDEs with polynomial nonlinearities $F$ such that $F(\pm \infty)=\mp \infty$) by a fully discrete space-time…
In the present paper, we give some examples of stochastic differential equations which have delicateness in the Markov and strong Markov properties, the uniqueness locally in time and globally in time, and initial conditions. Moreover, we…
The (strong and weak) well-posedness is proved for singular SDEs depending on the distribution density point-wisely and globally, where the drift satisfies a local integrability condition in time-spatial variables, and is Lipschitz…
Stochastic solutions provide new rigorous results for nonlinear PDE's and, through its local non-grid nature, are a natural tool for parallel computation. There are two different approaches for the construction of stochastic solutions:…
This paper introduces a class of backward stochastic differential equations (BSDEs), whose coefficients not only depend on the value of its solutions of the present but also the past and the future. For a sufficiently small time delay or a…
In this paper, we study the Poisson stability (in particular, stationarity, periodicity, quasi-periodicity, Bohr almost periodicity, almost automorphy, recurrence in the sense of Birkhoff, Levitan almost periodicity, pseudo periodicity,…
Motivated by the recent contribution \cite{BB17} we study the scaling limit behavior of a class of one-dimensional stochastic differential equations which has a unique attracting point subject to a small additional repulsive perturbation.…
In Rajeev (2013), 'Translation invariant diffusion in the space of tempered distributions', it was shown that there is an one to one correspondence between solutions of a class of finite dimensional SDEs and solutions of a class of SPDEs in…
The theory of stochastic representations of solutions to elliptic and parabolic PDE has been extensive. However, the theory for hyperbolic PDE is notably lacking. In this short note we give a stochastic representation for solutions of…
This work is concerned with the quantification of the epistemic uncertainties induced the discretization of partial differential equations. Following the paradigm of probabilistic numerics, we quantify this uncertainty probabilistically.…