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We propose machine learning methods for solving fully nonlinear partial differential equations (PDEs) with convex Hamiltonian. Our algorithms are conducted in two steps. First the PDE is rewritten in its dual stochastic control…
In this article we investigate the solvability of infinite-dimensional differential algebraic equations. Such equations often arise as partial differential-algebraic equations (PDAEs). A decomposition of the state-space that leads to an…
A class of bivariate infinite series solutions of the elliptic and hyperbolic Kepler equations is described, adding to the handful of 1-D series that have been found throughout the centuries. This result is based on an iterative procedure…
We deal with approximation of solutions of delay differential equations (DDEs) via the classical Euler algorithm. We investigate the pointwise error of the Euler scheme under nonstandard assumptions imposed on the right-hand side function…
We consider a class of nonlinear elliptic problems associated with models in biophysics, which are described by the Poisson-Boltzmann equation (PBE). We prove mathematical correctness of the problem, study a suitable class of…
We study non-linear Backward Stochastic Differential Equations (BSDEs) driven by a Brownian motion and p default martingales. The driver of the BSDE with multiple default jumps can take a generalized form involving an optional finite…
Classical Lie group theory provides a universal tool for calculating symmetry groups for systems of differential equations. However Lie's method is not as much effective in the case of integral or integro-differential equations as well as…
Bayesian statistical inverse problems are often solved with Markov chain Monte Carlo (MCMC)-type schemes. When the problems are governed by large-scale discrete nonlinear partial differential equations (PDEs), they are computationally…
We derive new reduction formulas for the incomplete beta function and the Lerch transcendent in terms of elementary functions. As an application, we calculate some new integrals. Also, we use these reduction formulas to test the performance…
We establish an extension of Liouville's classical representation theorem for solutions of the partial differential equation $\Delta u=4 e^{2u}$ and combine this result with methods from nonlinear elliptic PDE to construct holomorphic maps…
A general lattice Boltzmann (LB) model is proposed for solving nonlinear partial differential equations with the form $\partial_t \phi+\sum_{k=1}^{m} \alpha_k \partial_x^k \Pi_k (\phi)=0$, where $\alpha_k$ are constant coefficients, and…
Using a combination of recurrent neural networks and signature methods from the rough paths theory we design efficient algorithms for solving parametric families of path dependent partial differential equations (PPDEs) that arise in pricing…
We provide an extension of the unbiased simulation method for SDEs developed in Henry-Labordere et al. [Ann Appl Probab. 27:6 (2017) 1-37] to a class of path-dependent dynamics, pertaining for Asian options. In our setting, both the payoff…
We consider a radiating shear-free spherically symmetric metric in higher dimensions. Several new solutions to the Einstein's equations are found systematically using the method of Lie analysis of differential equations. Using the five Lie…
We consider a class of differential-algebraic equations (DAEs) with index zero in an infinite dimensional Hilbert space. We define a space of consistent initial values, which lead to classical continuously differential solutions for the…
We study a class of nonlinear pricing models which involves the feedback effect from the dynamic hedging strategies on the price of asset introduced by Sircar and Papanicolaou. We are first to study the case of a nonlinear demand function…
We present a method for approximating solutions of Stochastic Differential Equations (SDEs) with arbitrary rates. This approximation is derived for bounded and measurable test functions. Specifically, we demonstrate that, leveraging the…
We provide of a method to integrate first order non-linear systems of differential equations with variable coefficients. It determines approximate solutions given initial or boundary conditions or even for Sturm-Liouville problems. This…
In (Nucci M.C. 1994, Physica D 78 p.124), we have found that iterations of the nonclassical symmetries method give rise to new nonlinear equations, which inherit the Lie point symmetry algebra of the given equation. In the present paper, we…
We analyse the underlying nonlinear partial differential equation which arises in the study of gravitating flat fluid plates of embedding class one. Our interest in this equation lies in discussing new solutions that can be found by means…