相关论文: Classical solutions to reaction-diffusion systems …
The aim of the present work is the introduction of a viscosity type solution, called strong-viscosity solution to distinguish it from the classical one, with the following peculiarities: it is a purely analytic object; it can be easily…
We propose machine learning methods for solving fully nonlinear partial differential equations (PDEs) with convex Hamiltonian. Our algorithms are conducted in two steps. First the PDE is rewritten in its dual stochastic control…
We study the pricing and hedging of European spread options on correlated assets when, in contrast to the standard framework and consistent with imperfect liquidity markets, the trading in the stock market has a direct impact on stocks…
This work deals with the exponential stabilization of a system of three semilinear parabolic partial differential equations (PDEs), written in a strict feedforward form. The diffusion coefficients are considered distinct and the PDEs are…
One way of constructing explicit expressions of solutions of integrable systems of Partial Differential Equations (PDEs) goes via the Darboux method. This requires the construction of Darboux matrices. Here we introduce a novel algorithm to…
Construction of splitting-step methods and properties of related non-negativity and boundary preserving numerical algorithms for solving stochastic differential equations (SDEs) of Ito-type are discussed. We present convergence proofs for a…
In this paper, we develop an ensemble-based time-stepping algorithm to efficiently find numerical solutions to a group of linear, second-order parabolic partial differential equations (PDEs). Particularly, the PDE models in the group could…
We present new stochastic differential equations, that are more general and simpler than the existing Ito-based stochastic differential equations. As an example, we apply our approach to the investment (portfolio) model.
High-dimensional partial-differential equations (PDEs) arise in a number of fields of science and engineering, where they are used to describe the evolution of joint probability functions. Their examples include the Boltzmann and…
We consider parabolic PDEs with randomly switching boundary conditions. In order to analyze these random PDEs, we consider more general stochastic hybrid systems and prove convergence to, and properties of, a stationary distribution.…
High-dimensional partial differential equations (PDEs) are ubiquitous in economics, science and engineering. However, their numerical treatment poses formidable challenges since traditional grid-based methods tend to be frustrated by the…
Many equations that model fluid behaviour are derived from systems that encompass multiple physical forces. When the equations are written in non dimensional form appropriate to the physics of the situation, the resulting partial…
The master equation describing non-equilibrium one-dimensional problems like diffusion limited reactions or critical dynamics of classical spin systems can be written as a Schr\"odinger equation in which the wave function is the probability…
We study solution techniques for parabolic equations with fractional diffusion and Caputo fractional time derivative, the latter being discretized and analyzed in a general Hilbert space setting. The spatial fractional diffusion is realized…
The numerical solution methods for partial differential equation (PDE) solution allow obtaining a discrete field that converges towards the solution if the method is applied to the correct problem. Nevertheless, the numerical methods…
We develop an efficient method to calculate probabilities of large deviations from the typical behavior (rare events) in reaction--diffusion systems. The method is based on a semiclassical treatment of underlying "quantum" Hamiltonian,…
Explicit stabilized integrators are an efficient alternative to implicit or semi-implicit methods to avoid the severe timestep restriction faced by standard explicit integrators applied to stiff diffusion problems. In this paper, we provide…
Two types of second-order in time partial differential equations (PDEs), namely semilinear wave equations and semilinear beam equations are considered. To solve these equations with exponential integrators, we present an approach to compute…
In this paper, we present new techniques for solving a large variety of partial differential equations. The proposed method reduces the PDEs to first order differential equations known as classical equations such as Bernoulli, Ricatti and…
We investigate the connection between semilinear elliptic PDEs with isolated singularities and stationary nonlinear Schr\"odinger equations with point interactions. In dimensions $d=2,3$, we provide a detailed equivalence result between the…