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In this paper, the stochastic verification theorems for stochastic control problems of reflected forward-backward stochastic differential equations are studied. We carry out the work within the frameworks of classical and viscosity…
We determine the large-time behavior of unbounded solutions for the so-called viscous Hamilton Jacobi equation, $u_t - \Delta u + |Du|^m = f(x)$, in the quadratic and subquadratic cases (i.e., for $1<m\leq 2$), with a particular focus on…
Given a strictly hyperbolic $n\times n$ system of conservation laws, it is well known that there exists a unique Lipschitz semigroup of weak solutions, defined on a domain of functions with small total variation, which are limits of…
A new approach to the construction of difference schemes of any order for the many-body problem that preserves all its algebraic integrals is proposed. We introduced additional variables, namely, distances and reciprocal distances between…
The solutions of the Wigner-transformed time-dependent Hartree--Fock--Bogoliubov equations are studied in the constant-$\Delta$ approximation. This approximation is known to violate particle-number conservation. As a consequence, the…
In this paper, we obtain some preliminary results on stochastic control theory for time-varying linear systems both continuous and discrete, and further apply to aperiod sample-data linear systems. The Ito's lemma is utilized in this…
A lattice Boltzmann scheme that is close to pure upwind, low diffusive and entropy satisfying Engquist-Osher scheme has been formulated for hyperbolic scalar conservation laws. A model for source terms, with scalar conservation laws, is…
In this paper, a high-order and fast numerical method is investigated for the time-fractional Black-Scholes equation. In order to deal with the typical weak initial singularities of the solution, we construct a finite difference scheme with…
We continue the development of the theory of pathwise stochastic entropy solutions for scalar conservation laws in $\R^N$ with quasilinear multiplicative ''rough path'' dependence by considering inhomogeneous fluxes and a single rough path…
Kinetics of metastable systems modeled by Hamiltonians containing nonlocal and nonconservative terms is reproduced by the Fokker-Planck and imaginary time Schrodinger equation scheme with subsequent symplectic integration. Example solutions…
We discuss the derivation and the solutions of integro-differential equations (variable-order time-fractional diffusion equations) following as continuous limits for lattice continuous time random walk schemes with power-law waiting-time…
In this paper, we consider the $n$-dimensional ($n=2,3$) Camassa-Holm equations with fractional Laplacian viscosity in the whole space. In stark contrast to the Camassa-Holm equations without any nonlocal effect, to our best knowledge,…
The scaling of the exact solution of a hyperbolic balance law generates a family of scaled problems in which the source term does not depend on the current solution. These problems are used to construct a sequence of solutions whose…
This paper presents symmetry reduction for material stochastic Lagrangian systems with advected quantities whose configuration space is a Lie group. Such variational principles yield deterministic as well as stochastic constrained…
In recent works it has been demonstrated that using an appropriate rescaling, linear Boltzmann-type equations give rise to a scalar fractional diffusion equation in the limit of a small mean free path. The equilibrium distributions are…
We present a novel implicit scheme for the numerical solution of time-dependent conservation laws. The core idea of the presented method is to exploit and approximate the mixed spatial-temporal derivative of the solution that occurs…
This paper is concerned with generalized polynomial chaos (gPC) approximation for a general system of quasilinear hyperbolic conservation laws with uncertainty. The one-dimensional (1D) hyperbolic system is first symmetrized with the aid of…
The concept of equilibrium is a general tool to fill the gap between macroscopic and mesoscopic information, both within kinetic systems and kinetic schemes. This work explores the use of equilibria to devise numerical boundary conditions…
We study the convergence of a finite volume method based on the method of bicharacteristics for multidimensional hyperbolic conservation laws. In particular, we concentrate on the linear wave equation system and nonlinear Euler equations of…
In the present article, we study the numerical approximation of a system of Hamilton-Jacobi and transport equations arising in geometrical optics. We consider a semi-Lagrangian scheme. We prove the well posedness of the discrete problem and…