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In the 2nd version of this note we introduce the notion of viscosity solution for a type of fully nonlinear parabolic path-dependent partial differential equations (P-PDE). We then prove the comparison theorem (or maximum principle) of this…
We introduce a new numerical method to approximate the solution of a finite horizon deterministic optimal control problem. We exploit two Hamilton-Jacobi-Bellman PDE, arising by considering the dynamics in forward and backward time. This…
We study the numerical approximation of a class of degenerate parabolic stochastic partial differential equations on non-compact metric graphs, which naturally arise in the asymptotic analysis of Hamiltonian flows under small noise…
We consider the problem of numerically approximating the solutions to a partial differential equation (PDE) when there is insufficient information to determine a unique solution. Our main example is the Poisson boundary value problem, when…
We provide regularity results at the boundary for continuous viscosity solutions to nonconvex fully nonlinear uniformly elliptic equations and inequalities in Euclidian domains. We show that (i) any solution of two sided inequalities with…
This paper is devoted to the numerical resolution of an anisotropic non-linear diffusion problem involving a small parameter \varepsilon, defined as the anisotropy strength reciprocal. In this work, the anisotropy is carried by a variable…
We consider the study of a numerical scheme for an initial- and Dirichlet boundary- value problem for a nonlinear Schr\"odinger equation. We approximate the solution using a, local (non-uniform) two level scheme in time (see C. Besse [6]…
We propose numerical schemes for the approximate solution of problems defined on the edges of a one-dimensional graph. In particular, we consider linear transport and a drift-diffusion equations, and discretize them by extending Finite…
We develop a new variational formulation of the inverse Stefan problem, where information on the heat flux on the fixed boundary is missing and must be found along with the temperature and free boundary. We employ optimal control framework,…
The elliptic 2-Hessian equation is a fully nonlinear partial differential equation (PDE) that is related to intrinsic curvature for three dimensional manifolds. We introduce two numerical methods for this PDE: the first is provably…
In density-based topology optimization, design variables associated to the boundaries of the design domain require unique treatment to negate boundary effects arising from the filtering technique. An effective approach to deal with…
In this paper, a class of nonlinear option pricing models involving transaction costs is considered. The diffusion coefficient of the nonlinear parabolic equation for the price $V$ is assumed to be a linear function of the option's…
In this paper, we study superlinear systems that give rise to free boundaries. Such systems appear for example from the minimization of the energy functional $$ \int_{\Omega}\left(|\nabla\mathbf{u}|^2+\frac2p|\mathbf{u}|^p\right),\quad…
In this paper, we prove the pointwise boundary differentiability for viscosity solutions of fully nonlinear elliptic equations. This generalizes the previous related results for linear equations. The geometrical conditions in this paper are…
We propose a nonlinear Discrete Duality Finite Volume scheme to approximate the solutions of drift diffusion equations. The scheme is built to preserve at the discrete level even on severely distorted meshes the energy / energy dissipation…
We show strong uniform convergence of monotone P1 finite element methods to the viscosity solution of isotropic parabolic Hamilton-Jacobi-Bellman equations with mixed boundary conditions on unstructured meshes and for possibly degenerate…
We develop a new variational formulation of the inverse Stefan problem, where information on the heat flux on the fixed boundary is missing and must be found along with the temperature and free boundary. We employ optimal control framework,…
In this paper we analyze a fully discrete numerical scheme for solving a parabolic PDE on a moving surface. The method is based on a diffuse interface approach that involves a level set description of the moving surface. Under suitable…
This paper introduces a fast and numerically stable algorithm for the solution of fourth-order linear boundary value problems on an interval. This type of equation arises in a variety of settings in physics and signal processing. Our method…
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…