相关论文: Multilevel Picard approximation algorithm for semi…
We introduce a discrete scheme for second order fully nonlinear parabolic PDEs with Caputo's time fractional derivatives. We prove the convergence of the scheme in the framework of the theory of viscosity solutions. The discrete scheme can…
We introduce a framework for solving a class of parabolic partial differential equations on triangle mesh surfaces, including the Hamilton-Jacobi equation and the Fokker-Planck equation. PDE in this class often have nonlinear or stiff terms…
The integral equation approach to partial differential equations (PDEs) provides significant advantages in the numerical solution of the incompressible Navier-Stokes equations. In particular, the divergence-free condition and boundary…
In this work, we study the numerical approximation of a class of singular fully coupled forward backward stochastic differential equations. These equations have a degenerate forward component and non-smooth terminal condition. They are…
We are interested in numerically approximating the solution ${\bf U}(t)$ of the large dimensional semilinear matrix differential equation $\dot{\bf U}(t) = { \bf A}{\bf U}(t) + {\bf U}(t){ \bf B} + {\cal F}({\bf U},t)$, with appropriate…
In the given paper we consider finite difference approximations to systems of polynomially-nonlinear partial differential equations whose coefficients are rational functions over rationals in the independent variables. The notion of strong…
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 this paper, we develop a fully discrete Galerkin method for solving initial value fractional integro-differential equations(FIDEs). We consider Generalized Jacobi polynomials(GJPs) with indexes corresponding to the number of homogeneous…
In this paper, we prove the stabilizability of abstract Parabolic Integro-Differential Equations (PIDE) in a Hilbert space with decay rate $e^{-\gamma t} $ for certain $\gamma > 0,$ by means of a finite dimensional controller in the…
In this work, an efficient approximation scheme has been proposed for getting accurate approximate solution of nonlinear partial differential equations with constant or variable coefficients satisfying initial conditions in a series of…
We introduce forward-backward stochastic differential equations, highlighting the connection between solutions of these and solutions of partial differential equations, related by the Feynman-Kac theorem. We review the technique of…
We consider the problem of estimating expectations with respect to a target distribution with an unknown normalizing constant, and where even the unnormalized target needs to be approximated at finite resolution. This setting is ubiquitous…
A numerical algorithm for solving mantle convection problems with strongly variable viscosity is presented. Equations for conservation of mass and momentum for highly viscous and incompressible fluids are solved iteratively by a multigrid…
The present work is focused on exploring convergence of Physics-informed Neural Networks (PINNs) when applied to a specific class of second-order fully nonlinear Partial Differential Equations (PDEs). It is well-known that as the number of…
Recently, fictitious identical particles have provided a promising way to overcome the fermion sign problem and have been used in path integral Monte Carlo (PIMC) to accurately simulate warm dense matter with up to 1000 electrons (T.…
We present an algorithm for the numerical solution of nonlinear parabolic partial differential equations. This algorithm extends the classical Feynman-Kac formula to fully nonlinear partial differential equations, by using random trees that…
In this work, we study physics-informed neural networks (PINNs) constrained by partial differential equations (PDEs) and their application in approximating PDEs with two characteristic scales. From a continuous perspective, our formulation…
This book encompasses both traditional and modern methods treating partial differential equation (PDE) of first order and second order. There is a balance in making a selfcontained mathematical text and introducing new subjects. The Lie…
This paper, is an attempt to extend the notion of stochastic viscosity solution to reflected semi-linear stochastic partial differential equations (RSPDEs, in short) with non-Lipschitz condition on the coefficients. Our method is fully…
This paper presents a universal numerical scheme tailored for tackling linear integral, integro-differential, and both initial and boundary value problems of ordinary differential equations. The numerical scheme is readily adapted for…