Related papers: Stochastic solutions of Stefan problems
We consider parabolic PDEs with randomly switching boundary conditions. In order to analyze these random PDEs, we consider more general stochastic hybrid systems and prove convergence to, and properties of, a stationary distribution.…
The primitive equations for geophysical flows are studied under the influence of {\em stochastic wind driven boundary conditions} modeled by a cylindrical Wiener process. We adapt an approach by Da Prato and Zabczyk for stochastic boundary…
One dimensional Stefan problems for a semi-infinite material with temperature dependent thermal coefficients are considered. Existence and uniqueness of solution are obtained imposing a Dirichlet or a Robin type condition at fixed face…
Using the Wiener-Hopf factorization, it is shown that it is possible to bound the path of an arbitrary Levy process above and below by the paths of two random walks. These walks have the same step distribution, but different random starting…
In this paper we give stochastic solutions of conformable fractional Cauchy problems. The stochastic solutions are obtained by running the processes corresponding to Cauchy problems with a nonlinear deterministic clock.
A general method to describe stochastic dynamics of Markov processes is suggested. The method aims to solve three related problems. The determination of an optimal coordinate for the description of stochastic dynamics. The reconstruction of…
We study three classes of continuous time Markov processes (inclusion process, exclusion process, independent walkers) and a family of interacting diffusions (Brownian energy process). For each model we define a boundary driven process…
We study the existence and properties of solutions and free boundaries of the one-phase Stefan problem with fractional diffusion posed in $\mathbb{R}^N$. In terms of the enthalpy $h(x,t)$, the evolution equation reads $\partial_t…
Exact generalized stochastic representation of deterministic interaction between two dynamical (quantum or classical) systems is derived which helps when considering one of them to replace another by equivalent commutative ($c$-number…
Optimization problems involving sequential decisions in a stochastic environment were studied in Stochastic Programming (SP), Stochastic Optimal Control (SOC) and Markov Decision Processes (MDP). In this paper we mainly concentrate on SP…
The financial model proposed involves the liquidation process of a portfolio of $n$ assets through sell or (and) buy orders with volatility. We present the rigorous mathematical formulation of this model in a financial setting resulting to…
We study the long-time behavior of solutions of the one-phase Stefan problem in inhomogeneous media in dimensions $n \geq 2$. Using the technique of rescaling which is consistent with the evolution of the free boundary, we are able to show…
We consider the inverse multiphase Stefan problem with homogeneous Dirichlet boundary condition on a bounded Lipschitz domain, where the density of the heat source is unknown in addition to the temperature and the phase transition…
Mathematically modelling diffusive and advective transport of particles in heterogeneous layered media is important to many applications in computational, biological and medical physics. While deterministic continuum models of such…
We prove and implement stochastic solution (or Feynman-Kac) formulas for boundary value problems involving the spectral fractional Laplacian with nonzero Dirichlet boundary condition. The main tools used in the proofs are the abstract…
In this paper, a general stochastic model with controls applied at the moments when the random process hits the boundary of a given subset of the state set is proposed and studied. The general concept of the model is formulated and its…
We consider the one-dimensional outer stochastic Stefan problem with reflection. The problem admits maximal solutions as long as the velocity of the moving boundary remains bounded, [3,9,10]. We apply Malliavin calculus to the transformed…
This paper presents a control design for the one-phase Stefan problem under actuator delay via a backstepping method. The Stefan problem represents a liquid-solid phase change phenomenon which describes the time evolution of a material's…
We consider one-dimensional stochastic differential equations with generalized drift which involve the local time $L^X$ of the solution process: X_t = X_0 + \int_0^t b(X_s) dB_s + \int_\mathbb{R} L^X(t,y) \nu(dy), where b is a measurable…
We present a stochastic numerical method for solving fully non-linear free boundary problems of parabolic type and provide a rate of convergence under reasonable conditions on the non-linearity.