相关论文: Enhanced Dissipation via the Malliavin Calculus
Numerical models of weather and climate critically depend on long-term stability of integrators for systems of hyperbolic conservation laws. While such stability is often obtained from (physical or numerical) dissipation terms, physical…
Using Malliavin calculus techniques, we derive an analytical formula for the price of European options, for any model including local volatility and Poisson jump process. We show that the accuracy of the formula depends on the smoothness of…
In this paper, by using Fourier splitting method and the expanded properties of decay character $r^*$, we establish the algebraic decay rate of higher order derivative of solutions to 2D dissipative quasi-geostrophic flows.
Explicit examples of scalar enhanced diffusion due to resonances between different transport mechanisms are presented. Their signature is provided by the sharp and narrow peaks observed in the effective diffusivity coefficients and, in the…
Enhanced diffusion, which describes the accelerated spread of passive scalars due to the interaction between advection and molecular diffusion, has been extensively studied in simplified geometries, such as uniform shear and radial flows.…
We construct first- and second-order time discretization schemes for the Cahn-Hilliard-Navier-Stokes system based on the multiple scalar auxiliary variables approach (MSAV) approach for gradient systems and (rotational) pressure-correction…
We extend previously developed two-level coarsening procedures for graph Laplacian problems written in a mixed saddle point form to the fully recursive multilevel case. The resulting hierarchy of discretizations gives rise to a hierarchy of…
In this paper, we develop a general mathematical framework for enhanced hydrodynamic near-cloaking of electro-osmotic flow for more complex shapes, which is obtained by simultaneously perturbing the inner and outer boundaries of the perfect…
We propose an extrapolation technique that allows accuracy improvement of the discrete dipole approximation computations. The performance of this technique was studied empirically based on extensive simulations for 5 test cases using many…
We propose a novel method to solve a chemical diffusion master equation of birth and death type. This is an infinite system of Fokker-Planck equations where the different components are coupled by reaction dynamics similar in form to a…
A novel discretization is presented for forward-backward stochastic differential equations (FBSDE) with differentiable coefficients, simultaneously solving the BSDE and its Malliavin sensitivity problem. The control process is estimated by…
We derive a hyperbolic system of equations approximating the two-layer dispersive shallow water model for shear flows recently proposed by Gavrilyuk, Liapidevskii \& Chesnokov (J. Fluid Mech., vol. 808, 2016, pp. 441--468). The use of this…
A space-discretization for the elastic flow of inextensible curves is devised and quasi-optimal convergence of the corresponding semi-discrete problem is proved for a suitable discretization of the nonlinear inextensibility constraint.…
Lubrication theory is broadly applicable to the flow characterization of thin fluid films and the motion of particles near surfaces. We offer an extension to lubrication theory by starting with Stokes equations and considering higher-order…
The shear misfit model for the highly viscous flow is based upon a theoretical prediction for its terminal stage in terms of irreversible Eshelby relaxations in the five-dimensional shear space. The model is shown to predict a small…
We focus on mean-variance hedging problem for models whose asset price follows an exponential additive process. Some representations of mean-variance hedging strategies for jump type models have already been suggested, but none is suited to…
In [8], asymptotic expansion of the martingale with mixed normal limit was provided. The expansion formula is expressed by the adjoint of a random symbol with coefficients described by the Malliavin calculus, differently from the standard…
Within a parton cascade approach we investigate the scaling of the differential elliptic flow $v_2(p_T)$ with eccentricity $\epsilon_x$ and system size and its sensitivity to finite shear viscosity. We present calculations for shear…
We propose a computationally efficient technique for extrapolating seismic waves in an arbitrary isotropic elastic medium. The method is based on factorizing the full elastic wave equation into a product of pseudo-differential operators.…
We provide a first-principles derivation of the Langevin equation with shear flow and its corresponding fluctuation-dissipation theorems. Shear flow of simple fluids has been widely investigated by numerical simulations. Most studies…