相关论文: Feynman-Kac formula under a finite entropy conditi…
We study the stochastic solution to a Cauchy problem for a degenerate parabolic equation arising from option pricing. When the diffusion coefficient of the underlying price process is locally H\"older continuous with exponent $\delta\in (0,…
We provide a representation formula for viscosity solutions to an elliptic Dirichlet problem involving Pucci's extremal operators. This is done through a dynamic programming principle derived from Denis, Hu and Peng (2010). The formula can…
Half-space boundary Kramers' problem about isothermal sliding of moderate dense gas with accomodation boundary conditions along a flat firm surface is solving. The new method of the solution of boundary problems of the kinetic theory is…
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…
In a three-dimensional bounded domain $\Omega$ we consider the compressible Navier-Stokes equations for a barotropic fluid with general non-linear density dependent viscosities and no-slip boundary conditions. A nonlinear drag term is added…
We present here some results for the PDE related to the logHeston model. We present different regularity results and prove a verification theorem that shows that the solution produced via the Feynman-Kac theorem is the unique viscosity…
We study a rather general class of optimal "ballistic" transport problems for matrix-valued measures. These problems naturally arise, in the spirit of \emph{Y. Brenier. Comm. Math. Phys. (2018) 364(2) 579-605}, from a certain dual…
In this paper we use the theory of viscosity solutions for Hamilton-Jacobi equations to study propagation phenomena in kinetic equations. We perform the hydrodynamic limit of some kinetic models thanks to an adapted WKB ansatz. Our models…
We prove the global existence of weak solutions to the isentropic compressible Navier-Stokes equations with ripped density in the half-plane under a slip boundary condition provided the bulk viscosity coefficient is properly large.…
The global existence of a solution of the semiconductor Boltzmann-Dirac-Benney equation \[ \partial_t f + \nabla\epsilon(p)\cdot\nabla_x f - \nabla \rho_f(x,t)\cdot\nabla_p f = \frac{\mathcal F_\lambda(p)-f}\tau, \quad x\in\mathbb{R}^d,\…
In one-dimensional unbounded domains, we prove global existence of strong solutions to the compressible Navier-Stokes system for a viscous and heat conducting ideal polytropic gas, when the viscosity is constant and the heat conductivity…
In this article, we consider fully nonlinear, possibly degenerate, parabolic equations associated with Ventcell boundary conditions in bounded or unbounded, smooth domains. We first analyze the exact form of such boundary conditions in…
The global existence of martingale solutions to the compressible Navier-Stokes equations driven by stochastic external forces, with density-dependent viscosity and vacuum, is established in this paper. This work can be regarded as a…
The paper is devoted to the construction of a probabilistic particle algorithm. This is related to nonlin-ear forward Feynman-Kac type equation, which represents the solution of a nonconservative semilinear parabolic Partial Differential…
We are interested in the study of parabolic equations on a multi-dimensional junction, i.e. the union of a finite number of copies of a half-hyperplane of dimension d + 1 whose boundaries are identified. The common boundary is referred to…
In this paper we study linear parabolic equations on a finite oriented starshaped network; the equations are coupled by transmission conditions set at the inner node, which do not impose continuity on the unknown. We consider this problem…
We consider the compressible Navier-Stokes system with variable entropy. The pressure is a nonlinear function of the density and the entropy/potential temperature which, unlike in the Navier-Stokes-Fourier system, satisfies only the…
We study a degenerate parabolic-hyperbolic equation with zero flux boundary condition. The aim of this paper is to prove convergence of numerical approximate solutions towards the unique entropy solution. We propose an implicit finite…
This paper concerns the macroscopic behavior of solutions to parabolic equations with large, highly oscillatory, random potential. When the correlation function of the random potential satisfies a specific integrability condition, we show…
The long-time regularity and asymptotic of weak solutions are studied for compressible Navier-Stokes equations with degenerate viscosity in a bounded periodic domain in two and three dimensions. It is shown that the density keeps strictly…