Related papers: Finite difference schemes for Hamilton--Jacobi equ…
In this paper, we show that the value functions of mean field control problems with common noise are the unique viscosity solutions to fully second-order Hamilton-Jacobi-Bellman equations, in a Crandall-Lions-like framework. We allow the…
In this article, we have developed a higher order compact numerical method for variable coefficient parabolic problems with mixed derivatives. The finite difference scheme, presented here for two-dimensional domains, is based on fourth…
We apply the Hamilton-Jacobi equation (HJE) formalism to solve the dynamics of the Chemical Master Equation (CME). We found exact analytical expressions (in large system-size limit) for the probability distribution, including explicit…
The Hamilton-Jacobi equation on metric spaces has been studied by several authors; following the approach of Gangbo and Swiech, we show that the final value problem for the Hamilton-Jacobi equation has a unique solution even if we add a…
We present a method for optimal coordination of multiple vehicle teams when multiple endpoint configurations are equally desirable, such as seen in the autonomous assembly of formation flight. The individual vehicles' positions in the…
We provide a simple $C^{1,1}$ approximation of the squared Wasserstein distance on R^d when one of the two measures is fixed. This approximation converges locally uniformly. More importantly, at points where the differential of the squared…
A numerical scheme is presented for approximating fractional order Poisson problems in two and three dimensions. The scheme is based on reformulating the original problem posed over $\Omega$ on the extruded domain…
In this article, a numerical scheme is introduced for solving the fractional partial differential equation (FPDE) arising from electromagnetic waves in dielectric media (EMWDM) by using an efficient class of finite difference methods. The…
Wasserstein gradient flow has emerged as a promising approach to solve optimization problems over the space of probability distributions. A recent trend is to use the well-known JKO scheme in combination with input convex neural networks to…
We consider the depth-integrated non-hydrostatic system derived by Yamazaki et al. An efficient formally second-order well-balanced hybrid finite volume finite difference numerical scheme is proposed. The scheme consists of a two-step…
This paper extends previous work on finitedifference schemes over staggered grids for infinite-dimensional port-Hamiltonian systems. In the one-dimensional setting, it generalizes the discretization approach originally developed for the…
We consider linear and nonlinear hyperbolic SPDEs with mixed derivatives with additive space-time Gaussian white noise of the form $Y_{xt}=F(Y) + \sigma W_{xt}.$ Such equations, which transform to linear and nonlinear wave equations,…
This paper investigates the structure preservation and convergence analysis of a class of fully discrete finite difference schemes for the stochastic heat equation driven by L\'evy space-time white noise. The novelty lies in the…
In this paper, we address the numerical homogenization approximation of a free-boundary dam problem posed in a heterogeneous media. More precisely, we propose a generalized multiscale finite element (GMsFEM) method for the heterogeneous dam…
We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton-Jacobi-Bellman (HJB) type associated to stochastic control problem, which is based on the Feynman-Kac representation in [12] by means of control…
We consider the design of structure-preserving discretization methods for the solution of systems of boundary controlled Partial Differential Equations (PDEs) thanks to the port-Hamiltonian formalism. We first provide a novel general…
We present a fully discrete finite element method for the interior null controllability problem subject to the wave equation. For the numerical scheme, piece-wise affine continuous elements in space and finite differences in time are…
Stochastic contact Hamiltonian systems are a class of important mathematical models, which can describe the dissipative properties with odd dimensions in the stochastic environment. In this article, we investigate the numerical dynamics of…
We provide a stochastic representation for a general class of viscous Hamilton-Jacobi (HJ) equations, which has convexity and superlinear nonlinearity in its gradient term, via a type of backward stochastic differential equation (BSDE) with…
Finite difference schemes for the simulation of elastic waves in materi- als with jump discontinuities are presented. The key feature is the highly accurate treatment of interfaces where media discontinuities arise. The schemes are…