Results 21 to 30 of about 78 (46)

A local-time correspondence for stochastic partial differential equations [PDF]

, 2007
It is frequently the case that a white-noise-driven parabolic and/or hyperbolic stochastic partial differential equation (SPDE) can have random-field solutions only in spatial dimension one.
Mohammud Foondun, D. Khoshnevisan, E. Nualart   +2 more
semanticscholar   +1 more source

Analytical-Numerical Solution of a Parabolic Diffusion Equation Under Uncertainty Conditions Using DTM with Monte Carlo Simulations

Ingeniería y Ciencia, 2015
A numerical method to solve a general random linear parabolic equation where the diffusion coefficient, source term, boundary and initial conditions include uncertainty, is developed.
Gilberto González Parra, Abraham J Arenas, Miladys Cogollo   +2 more
doaj   +1 more source

Backward stochastic differential equations with Markov chains and related asymptotic properties

Advances in Differential Equations, 2013
This paper is concerned with the solvability of a new kind of backward stochastic differential equations whose generator f is affected by a finite-state Markov chain.
Huaibin Tang, Zhen Wu
semanticscholar   +1 more source

A CLASS OF GROWTH MODELS RESCALING TO KPZ

Forum of Mathematics, Pi, 2018
We consider a large class of $1+1$-dimensional continuous interface growth models and we show that, in both the weakly asymmetric and the intermediate disorder regimes, these models converge to Hopf–Cole solutions to the KPZ equation.
MARTIN HAIRER, JEREMY QUASTEL
doaj   +1 more source

HIGH ORDER PARACONTROLLED CALCULUS

Forum of Mathematics, Sigma, 2019
We develop in this work a general version of paracontrolled calculus that allows to treat analytically within this paradigm a whole class of singular partial differential equations with the same efficiency as regularity structures.
ISMAËL BAILLEUL, FRÉDÉRIC BERNICOT
doaj   +1 more source

Small noise asymptotic expansions for stochastic PDE's, I. The case of a dissipative polynomially bounded non linearity

, 2011
We study a reaction-diusion evolution equation perturbed by a Gaussian noise. Here the leading operator is the innitesimal generator of a C0-semigroup of strictly negative type, the nonlinear term has at most polynomial growth and is such that the whole ...
S. Albeverio, L. D. Persio, E. Mastrogiacomo   +2 more
semanticscholar   +1 more source

Optimizing the Fractional Power in a Model with Stochastic PDE Constraints

Advanced Nonlinear Studies, 2018
We study an optimization problem with SPDE constraints, which has the peculiarity that the control parameter s is the s-th power of the diffusion operator in the state equation.
Geldhauser Carina, Valdinoci Enrico
doaj   +1 more source

A reduced basis Kalman filter for parametrized partial differential equations

, 2016
The Kalman filter is a widely known tool in control theory for estimating the state of a linear system disturbed by noise. However, when applying the Kalman filter on systems described by parametrerized partial differential equations (PPDEs) the ...
Markus A. Dihlmann, B. Haasdonk
semanticscholar   +1 more source

Solution theory of fractional SDEs in complete subcritical regimes

Forum of Mathematics, Sigma
We consider stochastic differential equations (SDEs) driven by a fractional Brownian motion with a drift coefficient that is allowed to be arbitrarily close to criticality in a scaling sense.
Lucio Galeati, Máté Gerencsér
doaj   +1 more source

Elliptic equations of higher stochastic order

, 2010
This paper discusses analytical and numerical issues related to elliptic equations with random coefficients which are generally nonlinear functions of white noise.
S. Lototsky, B. Rozovskii, X. Wan
semanticscholar   +1 more source