Related papers: A Meshfree Point Collocation Method for Elliptic I…
This work focuses on stability analysis of numerical solutions to jump diffusions and jump diffusions with Markovian switching. Due to the use of Poisson processes, using asymptotic expansions as in the usual approach of treating diffusion…
A moving mesh finite difference method based on the moving mesh partial differential equation is proposed for the numerical solution of the 2T model for multi-material, non-equilibrium radiation diffusion equations. The model involves…
In the present work, we explore homogenization techniques for a class of switching diffusion processes whose drift and diffusion coefficients, and jump intensities are smooth, spatially periodic functions; we assume full coupling between…
A finite difference method is constructed to solve singularly perturbed convection-diffusion problems posed on smooth domains. Constraints are imposed on the data so that only regular exponential boundary layers appear in the solution. A…
Convection-diffusion equations arise in a variety of applications such as particle transport, electromagnetics, and magnetohydrodynamics. Simulation of the convection-dominated regime for these problems, even with high-fidelity techniques,…
We introduce meshfree finite difference methods for approximating nonlinear elliptic operators that depend on second directional derivatives or the eigenvalues of the Hessian. Approximations are defined on unstructured point clouds, which…
We propose a novel non-compact, positivity-preserving scheme for linear non-divergence form elliptic equations. Based on the Feynman--Kac formula, the solution is represented as a conditional expectation associated with a diffusion…
We define a new finite element method for a steady state elliptic problem with discontinuous diffusion coefficients where the meshes are not aligned with the interface. We prove optimal error estimates in the $L^2$ norm and $H^1$ weighted…
We propose a multiscale approach for an elliptic multiscale setting with general unstructured diffusion coefficients that is able to achieve high-order convergence rates with respect to the mesh parameter and the polynomial degree. The…
We develop a recursive approach for deriving closed-form solutions to both conditional and unconditional moments of affine jump diffusions with state-independent jump intensities. Using these moment solutions, we construct closed-form…
In this paper, we study a system of second order integro-partial differential equations with interconnected obstacles with non-local terms, related to an optimal switching problem with the jump-diffusion model. Getting rid of the…
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.…
In this paper we consider scalar parabolic equations in a general non-smooth setting with emphasis on mixed interface and boundary conditions. In particular, we allow for dynamics and diffusion on a Lipschitz interface and on the boundary,…
We introduce a meshless method for solving both continuous and discrete variational formulations of a volume constrained, nonlocal diffusion problem. We use the discrete solution to approximate the continuous solution. Our method is…
A finite difference numerical method is investigated for fractional order diffusion problems in one space dimension. For this, a mathematical model is developed to incorporate homogeneous Dirichlet and Neumann type boundary conditions. The…
In magnetized plasma, the magnetic field confines the particles around the field lines. The anisotropy intensity in the viscosity and heat conduction may reach the order of $10^{12}$. When the boundary conditions are periodic or Neumann,…
This paper develops a method for solving free boundary problems for time-homogeneous diffusions. We combine the complete exponential system of solutions for the heat equation, transmutation operators and recently discovered Neumann series…
As a simplified model for subsurface flows elliptic equations may be utilized. Insufficient measurements or uncertainty in those are commonly modeled by a random coefficient, which then accounts for the uncertain permeability of a given…
We develop a numerical strategy to solve multi-dimensional Poisson equations on dynamically adapted grids for evolutionary problems disclosing propagating fronts. The method is an extension of the multiresolution finite volume scheme used…
This paper introduces improved numerical techniques for addressing numerical boundary and interface coupling conditions in the context of diffusion equations in cellular biophysics or heat conduction problems in fluid-structure…