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This paper introduces a new approximation scheme for solving high-dimensional semilinear partial differential equations (PDEs) and backward stochastic differential equations (BSDEs). First, we decompose a target semilinear PDE (BSDE) into…
In this article, a notion of viscosity solutions is introduced for first order path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with optimal control problems for path-dependent evolution equations in Hilbert space. We…
Utilizing the sparsity of the electronic structure problem, fragmentation methods have been researched for decades with great success, pushing the limits of ab initio quantum chemistry ever further. Recently, this set of methods was…
Stochastic physical problems governed by nonlinear conservation laws are challenging due to solution discontinuities in stochastic and physical space. In this paper, we present a level set method to track discontinuities in stochastic space…
We present a general, asymptotical solution for the discretised harmonic oscillator. The corresponding Schr\"odinger equation is canonically conjugate to the Mathieu differential equation, the Schr\"odinger equation of the quantum pendulum.…
We derive an It\^o-type formula for a measure-valued process that has a decomposition analogous to a classical semimartingale. The derivation begins with a time partitioning approach similar to the classical proof of It\^o's formula. To…
We propose an optimally performant fully implicit algorithm for the Hall magnetohydrodynamics (HMHD) equations based on multigrid-preconditioned Jacobian-free Newton-Krylov methods. HMHD is a challenging system to solve numerically because…
Compressive sensing has become a powerful addition to uncertainty quantification in recent years. This paper identifies new bases for random variables through linear mappings such that the representation of the quantity of interest is more…
We propose novel connections between several neural network architectures and viscosity solutions of some Hamilton--Jacobi (HJ) partial differential equations (PDEs) whose Hamiltonian is convex and only depends on the spatial gradient of…
In this paper we propose a collocation method for solving some well-known classes of Lane-Emden type equations which are nonlinear ordinary differential equations on the semi-infinite domain. They are categorized as singular initial value…
We study the homogenization of first-order Hamilton-Jacobi equations on an infinite-dimensional Hilbert space, motivated by systems of infinitely many indistinguishable particles on the torus. A central difficulty is that the analysis takes…
A new effective solution to the problem of Hermite $G^1$ interpolation with a clothoid curve is here proposed, that is a clothoid that interpolates two given points in a plane with assigned unit tangent vectors. The interpolation problem is…
Let $z_{1},\ldots,z_{K}$ be distinct grid points. If $f_{k,0}$ is the prescribed value of a function at the grid point $z_{k}$, and $f_{k,r}$ the prescribed value of the $r$\foreignlanguage{american}{-th} derivative, for $1\leq r\leq…
We introduce a numerical scheme for the full multi-species Boltzmann equation based on Hermite spectral method. With the proper choice of expansion centers for different species, a practical algorithm is derived to evaluate the complicated…
Highly concentrated patterns have been observed in a spatially heterogeneous, nonlocal, model of BGK type implementing a velocity-jump process. We study both a linear and a nonlinear case and describe the concentration profile. In…
We give a meaning to the Hamilton--Jacobi equation arising from mean-field spin glass models in the viscosity sense, and establish the corresponding well-posedness. Originally defined on the set of monotone probability measures, these…
The dimer method is a Hessian-free algorithm for computing saddle points. We augment the method with a linesearch mechanism for automatic step size selection as well as preconditioning capabilities. We prove local linear convergence. A…
It is well recognized that new types of exact travelling wave solutions to nonlinear partial differential equations can be obtained by modifications of the methods which are in hand. In this study, we extend the class of auxiliary equations…
In this article, a notion of viscosity solutions is introduced for first order path-dependent Hamilton-Jacobi-Bellman (HJB) equations associated with optimal control problems for path-dependent differential equations. We identify the value…
A nonperturbative quantum impurity solver is proposed based on a formally exact hierarchical equations of motion (HEOM) formalism for open quantum systems. It leads to quantitatively accurate evaluation of physical properties of strongly…