Related papers: Stochastic Solutions for Hyperbolic PDE
We construct a probabilistic representation of a system of fully coupled parabolic equations arising as a model describing spatial segregation of interacting population species. We derive a closed system of stochastic equations such that…
The solutions to a large class of semi-linear parabolic PDEs are given in terms of expectations of suitable functionals of a tree of branching particles. A sufficient, and in some cases necessary, condition is given for the integrability of…
We consider the characteristic problem for the ultrahyperbolic equation in the Euclidean space. The value of a solution is prescribed on the characteristic hyperplane. A well-posed set-up of the problem is discussed. We obtain a certain…
Parabolic partial differential equations (PDEs) appear in many disciplines to model the evolution of various mathematical objects, such as probability flows, value functions in control theory, and derivative prices in finance. It is often…
We study mild solutions of a class of stochastic partial differential equations, involving operators with polynomially bounded coefficients. We consider semilinear equations under suitable hyperbolicity hypotheses on the linear part. We…
A stochastic representation for the solutions of the Poisson-Vlasov equation, with several charged species, is obtained. The representation involves both an exponential and a branching process and it provides an intuitive characterization…
In this short paper, we are concerned with the blowup phenomenon of stochastic parabolic equations. By using comparison principle and the results of deterministic parabolic equations, we obtain blowup results of solutions for stochastic…
Our study is dedicated to the probabilistic representation and numerical approximation of solutions to coupled systems of variational inequalities. The dynamics of each component of the solution is driven by a different linear parabolic…
We provide a representation formula for viscosity solutions to a class of nonlinear second order parabolic PDE problem involving sublinear operators. This is done through a dynamic programming principle derived from [8]. The formula can be…
A stochastic representation for the solutions of the Poisson-Vlasov equation is obtained. The representation involves both an exponential and a branching process. The stochastic representation, besides providing an alternative existence…
We study and compare two concepts for weak solutions to semilinear parabolic path-dependent partial differential equations (PPDEs). The first is that of mild solutions as it appears, e.g., in the log-Laplace functionals of historical…
This paper is devoted to the study of hyperbolic systems of linear partial differential equations perturbed by a Brownian motion. The existence and uniqueness of solutions are proved by an energy method. The specific features of this class…
This paper deals with the existence of solutions for an elliptic system of partial differential equations. The solution method is based on the sub- and super-solutions approach. An application to a stochastic control problem is presented.…
Unlike the heat equation or the Laplace equation, solutions of the wave equation on general domains have no known stochastic representation. This short note gives a simple solution to this well known problem in arbitrary dimensions. The…
The paper concerns the problem for the ultrahyperbolic equation in the Euclidean space with data on a characteristic hyperplane. Smoothness and asymptotics of the solution along characteristic lines transversal to the initial hyperplane are…
We consider one-dimensional hyperbolic PDEs, linear and nonlinear, with random initial data. Our focus is the {\em pointwise statistics,} i.e., the probability measure of the solution at any fixed point in space and time. For linear…
Discrete-state stochastic models are a popular approach to describe the inherent stochasticity of gene expression in single cells. The analysis of such models is hindered by the fact that the underlying discrete state space is extremely…
We discuss solution concepts for linear hyperbolic equations with coefficients of regularity below Lipschitz continuity. Thereby our focus is on theories which are based either on a generalization of the method of characteristics or on…
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:…
Hyperbolic problems can at times be solved employing symbolic arguments. This is especially true for the construction of forward (and backward) fundamental solutions. We formulate a corresponding abstract scheme and illustrate its…