相关论文: Viscosity Solutions of Path-dependent Integro-diff…

We prove pathwise nonuniqueness in the stochastic partial differential equations (SPDEs) for some one-dimensional super-Brownian motions with immigration. In contrast to a closely related case investigated by Mueller, Mytnik and Perkins…

This book aims to provide a self-contained introduction to the regularity theory for integro-differential elliptic equations, mostly developed in the 21st century. Such a class of equations often arises in analysis, probability theory,…

We study conditions for existence, uniqueness and invariance of the comprehensive nonlinear valuation equations first introduced in Pallavicini et al (2011). These equations take the form of semilinear PDEs and Forward-Backward Stochastic…

We develop a pathwise theory for scalar conservation laws with quasilinear multiplicative rough path dependence, a special case being stochastic conservation laws with quasilinear stochastic dependence. We introduce the notion of pathwise…

We provide a representation formula for viscosity solutions to a class of nonlinear second order parabolic PDE problem involving sublinear operators. This is done through a dynamic programming principle derived from [8]. The formula can be…

We present fast, spatially dispersionless and unconditionally stable high-order solvers for Partial Differential Equations (PDEs) with variable coefficients in general smooth domains. Our solvers, which are based on (i) A certain "Fourier…

For scalar fully nonlinear partial differential equations depending on the Hessian andspatial coordinates, we present a general theory for obtaining comparison principles and well posedness for the associated Dirichlet problem with…

We give a proof of existence and uniqueness of viscosity solutions to parabolic quasilinear equations for a fairly general class of nonconvex Hamiltonians with superlinear growth in the gradient variable. The approach is mainly based on…

We establish a consistency result by comparing two independent notions of generalised solutions to a large class of linear hyperbolic first order PDE systems with constant coefficients, showing that they eventually coincide. The first is…

The distribution-dependent stochastic differential equations (DDSDEs) describe stochastic systems whose evolution is determined by both the microcosmic site and the macrocosmic distribution of the particle. The density function associated…

The combination of Monte Carlo methods and deep learning has recently led to efficient algorithms for solving partial differential equations (PDEs) in high dimensions. Related learning problems are often stated as variational formulations…

We propose a thermodynamically consistent phase-field model for the flow of a mixture of two different viscous incompressible fluids of equal density in a bounded domain. We prove the well-posedness of local-in-time strong solutions by…

The paper is dedicated to studying the problem of existence and uniqueness of solutions as well as existence of and exponential convergence to invariant measures for McKean-Vlasov stochastic differential equations with Markovian switching.…

In the nonconvex case solutions of rate-independent systems may develop jumps as a function of time. To model such jumps, we adopt the philosophy that rate independence should be considered as limit of systems with smaller and smaller…

Usually Fokker-Planck type partial differential equations (PDEs) are well-posed if the initial condition is specified. In this paper, alternatively, we consider the inverse problem which consists in prescribing final data: in particular we…

In this paper we study the optimal stochastic control problem for a path-dependent stochastic system under a recursive path-dependent cost functional, whose associated Bellman equation from dynamic programming principle is a path-dependent…

This paper considers a family of non-diffusive active scalar equations where a viscosity type parameter enters the equations via the constitutive law that relates the drift velocity with the scalar field. The resulting operator is smooth…

Longstanding problems regarding the causality of the diffusion equation are resolved through a class of exact solutions. A universal differential solution for diffusive processes is derived that is causal and exact at any analytic point in…

We derive explicit pointwise bounds for the spatial derivative $\left| \frac{\partial V}{\partial x} \right|$ of solutions to linear parabolic PDEs with Neumann boundary conditions. The bound is fully explicit in the sense that it depends…

We formulate a new class of stochastic partial differential equations (SPDEs), named high-order vector backward SPDEs (B-SPDEs) with jumps, which allow the high-order integral-partial differential operators into both drift and diffusion…