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This paper deals with the approximation of the spectrum of linear and nonautonomous delay differential equations through the reduction of the relevant evolution semigroup from infinite to finite dimension. The focus is placed on classic…
Models incorporating uncertain inputs, such as random forces or material parameters, have been of increasing interest in PDE-constrained optimization. In this paper, we focus on the efficient numerical minimization of a convex and smooth…
Compartmental ordinary differential equation (ODE) models are used extensively in mathematical biology. When transit between compartments occurs at a constant rate, the well-known linear chain trick can be used to show that the ODE model is…
We propose a neural network-based algorithm for solving forward and inverse problems for partial differential equations in unsupervised fashion. The solution is approximated by a deep neural network which is the minimizer of a cost…
Ordinary and stochastic differential equations (ODEs and SDEs) are widely used to model continuous-time processes across various scientific fields. While ODEs offer interpretability and simplicity, SDEs incorporate randomness, providing…
We introduce a novel numerical approach for a class of stochastic dynamic programs which arise as discretizations of backward stochastic differential equations or semi-linear partial differential equations. Solving such dynamic programs…
In this paper we study the dynamics of a fast-slow Fokker-Planck partial differential equation (PDE) viewed as the evolution equation for the density of a multiscale planar stochastic differential equation (SDE). Our key focus is on the…
The characteristic equation for a linear delay differential equation (DDE) has countably infinite roots on the complex plane. We deal with linear DDEs that are on the verge of instability, i.e. a pair of roots of the characteristic equation…
We develop a framework for estimating unknown partial differential equations from noisy data, using a deep learning approach. Given noisy samples of a solution to an unknown PDE, our method interpolates the samples using a neural network,…
Ordinary Differential Equations are a simple but powerful framework for modeling complex systems. Parameter estimation from times series can be done by Nonlinear Least Squares (or other classical approaches), but this can give…
In this study, we propose high-order implicit and semi-implicit schemes for solving ordinary differential equations (ODEs) based on Taylor series expansion. These methods are designed to handle stiff and non-stiff components within a…
Partial Differential Equations (PDEs) are central to science and engineering. Since solving them is computationally expensive, a lot of effort has been put into approximating their solution operator via both traditional and recently…
Ordinary differential equations (ODEs) are commonly used to model dynamic behavior of a system. Because many parameters are unknown and have to be estimated from the observed data, there is growing interest in statistics to develop…
We consider nonlinear delay differential and renewal equations with infinite delay. We extend the work of Gyllenberg et al, Appl. Math. Comput. (2018) by introducing a unifying abstract framework, and derive a finite-dimensional…
This paper deals with model-order reduction of parametric partial differential equations (PPDE). More specifically, we consider the problem of finding a good approximation subspace of the solution manifold of the PPDE when only partial…
High-dimensional partial differential equations (PDE) appear in a number of models from the financial industry, such as in derivative pricing models, credit valuation adjustment (CVA) models, or portfolio optimization models. The PDEs in…
In this work, we investigate the numerical approximation of the second order non-autonomous semilnear parabolic partial differential equation (PDE) using the finite element method. To the best of our knowledge, only the linear case is…
Irregular sampling intervals and missing values in real-world time series data present challenges for conventional methods that assume consistent intervals and complete data. Neural Ordinary Differential Equations (Neural ODEs) offer an…
This paper investigates a numerical probabilistic method for the solution of some semilinear stochastic partial differential equations (SPDEs in short). The numerical scheme is based on discrete time approximation for solutions of systems…
In this paper we propose a convex Sum-of-Squares optimization problem for finding outer approximations of forward reachable sets for nonlinear uncertain Ordinary Differential Equations (ODE's) with either (or both) L2 or point-wise bounded…