Related papers: A Non-compact Positivity-Preserving Scheme for Par…
We prove Feynman-Kac formulas for solutions to elliptic and parabolic boundary value and obstacle problems associated with a general Markov diffusion process. Our diffusion model covers several popular stochastic volatility models, such as…
We study solution techniques for parabolic equations with fractional diffusion and Caputo fractional time derivative, the latter being discretized and analyzed in a general Hilbert space setting. The spatial fractional diffusion is realized…
We present and analyze a structure-preserving method for the approximation of solutions to nonlinear cross-diffusion systems, which combines a Local Discontinuous Galerkin spatial discretization with the backward Euler time-stepping scheme.…
We present a time-splitting spectral scheme for the Maxwell-Dirac system and similar time-splitting methods for the corresponding asymptotic problems in the semi-classical and the non-relativistic regimes. The scheme for the Maxwell-Dirac…
We prove and implement stochastic solution (or Feynman-Kac) formulas for boundary value problems involving the spectral fractional Laplacian with nonzero Dirichlet boundary condition. The main tools used in the proofs are the abstract…
We propose a global convergent numerical method to reconstruct the initial condition of a nonlinear parabolic equation from the measurement of both Dirichlet and Neumann data on the boundary of a bounded domain. The first step in our method…
A three-level explicit time-split MacCormack scheme is proposed for solving the two-dimensional nonlinear reaction-diffusion equations. The computational cost is reduced thank to the splitting and the explicit MacCormack scheme. Under the…
In this paper, we present a class of nonuniform time-stepping, high-order linear stabilized schemes that can preserve both the discrete energy stability and maximum-bound principle (MBP) for the time-fractional Allen-Cahn equation. To this…
A linearized numerical scheme is proposed to solve the nonlinear time fractional parabolic problems with time delay. The scheme is based on the standard Galerkin finite element method in the spatial direction, the fractional Crank-Nicolson…
A parabolic-parabolic (Patlak-) Keller-Segel model in up to three space dimensions with nonlinear cell diffusion and an additional nonlinear cross-diffusion term is analyzed. The main feature of this model is that there exists a new entropy…
This article is concerned with the development of a theoretical framework of global measure-valued solutions for a class of hyperbolic-parabolic cross-diffusion systems, and its application to the convergence analysis of a fully discrete…
The stability and convergence analysis of high-order numerical approximations for the one- and two-dimensional nonlocal wave equations on unbounded spatial domains are considered. We first use the quadrature-based finite difference schemes…
In this work we consider an extension of a recently proposed structure preserving numerical scheme for nonlinear Fokker-Planck-type equations to the case of nonconstant full diffusion matrices. While in existing works the schemes are…
This paper is devoted to the analysis of non-negative solutions for a degenerate parabolic-elliptic Patlak-Keller-Segel system with critical nonlinear diffusion in a bounded domain with homogeneous Neumann boundary conditions. Our aim is to…
The paper focuses on positive solutions to a coupled system of parabolic equations with nonlocal initial conditions. Such equations arise as steady-state equations in an age-structured predator-prey model with diffusion. By using global…
We construct a new nonlinear finite volume (FV) scheme for highly anisotropic diffusion equations, that satisfies the discrete minimum-maximum principle. The construction relies on the linearized scheme satisfying less restrictive…
We introduce and study a notion of Asymptotic Preserving schemes, related to convergence in distribution, for a class of slow-fast Stochastic Differential Equations. In some examples, crude schemes fail to capture the correct limiting…
In this paper, we analyze the preservation of asymptotic properties of partially dissipative hyperbolic systems when switching to a discrete setting. We prove that one of the simplest consistent and unconditionally stable numerical methods…
Higher-order time integration methods that unconditionally preserve the positivity and linear invariants of the underlying differential equation system cannot belong to the class of general linear methods. This poses a major challenge for…
In this paper, we are interested in constructing a scheme solving compressible Navier--Stokes equations, with desired properties including high order spatial accuracy, conservation, and positivity-preserving of density and internal energy…