相关论文: Some PDE results in Heston model with applications

Ericksen and Leslie established a theory to model the flow of nematic liquid crystals. This paper is devoted to the Cauchy Problem of a simplified version of their system, which retains most of the properties of the original one. We…

In this paper, we establish a version of the Feynman-Kac formula for multidimensional stochastic heat equation driven by a general semimartingale. This Feynman-Kac formula is then applied to study some nonlinear stochastic heat equations…

We find Feynman-Kac type representation theorems for generalized diffusions. To do this we need to establish existence, uniqueness and regularity results for equations with measure-valued coefficients.

Accurately describing liquids and their mixtures beyond equilibrium remains a significant challenge in modern chemical physics and physical chemistry, especially regarding the calculation of transport properties in liquid-phase systems.…

In this paper, we show the existence and uniqueness of viscosity solution to the Cauchy-Dirichlet problem for a class of fully nonlinear parabolic equations. This extends recent results of Eyssidieux-Guedj-Zeriahi.

Although the \emph{residual method}, or \emph{constrained regularization}, is frequently used in applications, a detailed study of its properties is still missing. This sharply contrasts the progress of the theory of Tikhonov…

This paper is devoted to the study of fully nonlinear stochastic Hamilton-Jacobi (HJ) equations for the optimal stochastic control problem of ordinary differential equations with random coefficients. Under the standard Lipschitz continuity…

The aim of this paper is to develop a general method for constructing approximation schemes for viscosity solutions of fully nonlinear pathwise stochastic partial differential equations, and for proving their convergence. Our results apply…

We first establish the existence of an unbounded solution to a backward stochastic differential equation (BSDE) with generator $g$ allowing a general growth in the state variable $y$ and a sub-quadratic growth in the state variable $z$,…

We prove non-uniqueness and study the behaviour of viscosity solutions of a class of uniformly elliptic fully nonlinear equations of Hamilton-Jacobi-Bellman-Isaacs type, with quadratic growth in the gradient. The crucial a priori bound for…

In this article we present several results concerning uniqueness of $C$-viscosity and $L_{p}$-viscosity solutions for fully nonlinear parabolic equations. In case of the Isaacs equations we allow lower order terms to have just measurable…

We prove a large deviation principle result for solutions of abstract stochastic evolution equations perturbed by small Levy noise. We use general large deviations theorems of Varadhan and Bryc, viscosity solutions of integro-partial…

We derive the partial differential equation (PDE) to which the pseudo-potential lattice Boltzmann method (P-LBM) converges under diffusive scaling, providing a rigorous basis for its consistency analysis. By establishing a direct link…

We prove an analog of the Caffarelli-Kohn-Nirenberg theorem for weak solutions of a system of PDE that model a viscoelastic fluid in the presence of an energy damping mechanism. The system was recently introduced as a possible method of…

We perform simulations of the Kelvin-Helmholtz instability using smoothed particle hydrodynamics (SPH). The instability is studied both in the linear and strongly non-linear regimes. The smooth, well-posed initial conditions of Lecoanet et…

We consider a general family of nonlocal in space and time diffusion equations with space-time dependent diffusivity and prove convergence of finite difference schemes in the context of viscosity solutions under very mild conditions. The…

In this work, we prove existence and uniqueness of a bounded viscosity solution for the Cauchy problem of degenerate parabolic equations with variable exponent coefficients. We construct the solution directly using the stochastic…

We study a general class of quadratic BSDEs with terminal value in Lp for p > 1. First of all, we give an Lp-type estimate and existence result. Under the additional assumption of monotonicity and convexity, we derive the comparison…

We consider a diffuse interface model which describes the motion of an incompressible isothermal mixture of two immiscible fluids. This model consists of the Navier-Stokes equations coupled with a convective nonlocal Cahn-Hilliard equation.…

We consider a thermodynamically consistent model for thermoviscoplasticity. For the related PDE system, coupling the heat equation for the absolute temperature, the momentum balance with viscosity and inertia for the displacement variable,…