相关论文: Localization errors in solving stochastic partial …

We consider the Cauchy problem associated with a general parabolic partial differential equation in $d$ dimensions. We find a family of closed-form asymptotic approximations for the unique classical solution of this equation as well as…

Motivated by problems arising in decentralized control problems and non-cooperative Nash games, we consider a class of strongly monotone Cartesian variational inequality (VI) problems, where the mappings either contain expectations or their…

The localization problem in a wireless sensor network is to determine the coordination of sensor nodes using the known positions of some nodes (called anchors) and corresponding noisy distance measurements. There is a variety of different…

This paper establishes the well-posedness of stochastic partial differential equations with reflection in an infinite-dimensional ball, within the fully local monotone framework. Our result is very general, including many important models…

The purpose is to study the Cauchy problem for non-linear in time and space pseudo-differential equations. These include the fractional in time versions of HJB equations governing the controlled scaled CTRW. As a preliminary step which is…

Existing fundamental theorems for mean-square convergence of numerical methods for stochastic differential equations (SDEs) require globally or one-sided Lipschitz continuous coefficients, while strong convergence results under merely local…

The first order by time partial differential equations are used as models in applications such as fluid flow, heat transfer, solid deformation, electromagnetic waves, and others. In this paper we propose the new numerical method to solve a…

In this work, we propose a novel two-level discretization for solving semilinear elliptic equations with random coefficients. Motivated by the two-grid method for deterministic partial differential equations (PDEs) introduced by Xu…

Semilinear hyperbolic stochastic partial differential equations (SPDEs) find widespread applications in the natural and engineering sciences. However, the traditional Gaussian setting may prove too restrictive, as phenomena in mathematical…

In this paper we revisit the classical Cauchy problem for Laplace's equation as well as two further related problems in the light of regularisation of this highly ill-conditioned problem by replacing integer derivatives with fractional…

We investigate the inverse Cauchy and data completion problems for elliptic partial differential equations in a bounded domain $D \subset \mathbb{R}^d$, $d \ge 2$, with a special emphasis on the steady-state heat conduction in anisotropic…

The Cauchy problem for the Kadomtsev-Petviashvili-II equation (u_t+u_{xxx}+uu_x)_x+u_{yy}=0 is considered. A small data global well-posedness and scattering result in the scale invariant, non-isotropic, homogeneous Sobolev space \dot…

We present a novel solution method for It\^o stochastic differential equations (SDEs). We subdivide the time interval into sub-intervals, then we use the quadratic polynomials for the approximation between two successive intervals. The main…

This paper studies global solvability of the Cauchy problem for a generalized time-fractional Kuramoto-Sivashinsky equation in the Shwartz space, which is a complete topological space generated by a family of semi-norms. The main approach…

In this paper, we investigate the well-posedness of the martingale problem associated to non-linear stochastic differential equations (SDEs) in the sense of McKean-Vlasov under mild assumptions on the coefficients as well as classical…

In this paper we investigate the numerical solution of stochastic partial differential equations (SPDEs) for a wider class of stochastic equations. We focus on non-diagonal colored noise instead of the usual space-time white noise. By…

Numerical resolution of high-dimensional nonlinear PDEs remains a huge challenge due to the curse of dimensionality. Starting from the weak formulation of the Lawson-Euler scheme, this paper proposes a stochastic particle method (SPM) by…

In this paper we study local and global well-posedness of the following Cauchy problem: $$ \bigg \{ \begin{array}{rl} i\partial_t\Psi+\frac{1}{2}\Delta_{x}\Psi = A_0\Psi +\alpha |\Psi|^{\gamma-1}\Psi, & (t,x)\in\R\times\R,\\…

This work is concerned with the quantification of the epistemic uncertainties induced the discretization of partial differential equations. Following the paradigm of probabilistic numerics, we quantify this uncertainty probabilistically.…

In this paper, we study two types of inverse problems for space semi-discrete stochastic parabolic equations in arbitrary dimensions. The first problem concerns a semi-discrete inverse source problem, which involves determining the random…