Search results for "differentiaaliyhtälö"
showing 10 items of 150 documents
Uniform measure density condition and game regularity for tug-of-war games
2018
We show that a uniform measure density condition implies game regularity for all 2 < p < ∞ in a stochastic game called “tug-of-war with noise”. The proof utilizes suitable choices of strategies combined with estimates for the associated stopping times and density estimates for the sum of independent and identically distributed random vectors. peerReviewed
Donsker-Type Theorem for BSDEs: Rate of Convergence
2019
In this paper, we study in the Markovian case the rate of convergence in Wasserstein distance when the solution to a BSDE is approximated by a solution to a BSDE driven by a scaled random walk as introduced in Briand, Delyon and Mémin (Electron. Commun. Probab. 6 (2001) Art. ID 1). This is related to the approximation of solutions to semilinear second order parabolic PDEs by solutions to their associated finite difference schemes and the speed of convergence. peerReviewed
Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver
2019
We investigate conditions for solvability and Malliavin differentiability of backward stochastic differential equations driven by a L\'evy process. In particular, we are interested in generators which satisfy a locally Lipschitz condition in the $Z$ and $U$ variable. This includes settings of linear, quadratic and exponential growths in those variables. Extending an idea of Cheridito and Nam to the jump setting and applying comparison theorems for L\'evy-driven BSDEs, we show existence, uniqueness, boundedness and Malliavin differentiability of a solution. The pivotal assumption to obtain these results is a boundedness condition on the terminal value $\xi$ and its Malliavin derivative $D\xi…
Higher-order Hamilton–Jacobi perturbation theory for anisotropic heterogeneous media: dynamic ray tracing in Cartesian coordinates
2018
With a Hamilton–Jacobi equation in Cartesian coordinates as a starting point, it is common to use a system of ordinary differential equations describing the continuation of first-order derivatives of phase-space perturbations along a reference ray. Such derivatives can be exploited for calculating geometrical spreading on the reference ray and for establishing a framework for second-order extrapolation of traveltime to points outside the reference ray. The continuation of first-order derivatives of phase-space perturbations has historically been referred to as dynamic ray tracing. The reason for this is its importance in the process of calculating amplitudes along the reference ray. We exte…
On the a posteriori error analysis for linear Fokker-Planck models in convection-dominated diffusion problems
2018
This work is aimed at the derivation of reliable and efficient a posteriori error estimates for convection-dominated diffusion problems motivated by a linear Fokker-Planck problem appearing in computational neuroscience. We obtain computable error bounds of the functional type for the static and time-dependent case and for different boundary conditions (mixed and pure Neumann boundary conditions). Finally, we present a set of various numerical examples including discussions on mesh adaptivity and space-time discretisation. The numerical results confirm the reliability and efficiency of the error estimates derived.
Analysis of errors caused by incomplete knowledge of material data in mathematical models of elastic media
2011
Reliable numerical solution of a class of nonlinear elliptic problems generated by the Poisson-Boltzmann equation
2020
We consider a class of nonlinear elliptic problems associated with models in biophysics, which are described by the Poisson-Boltzmann equation (PBE). We prove mathematical correctness of the problem, study a suitable class of approximations, and deduce guaranteed and fully computable bounds of approximation errors. The latter goal is achieved by means of the approach suggested in [S. Repin, A posteriori error estimation for variational problems with uniformly convex functionals. Math. Comp., 69:481-500, 2000] for convex variational problems. Moreover, we establish the error identity, which defines the error measure natural for the considered class of problems and show that it yields computa…
Systematic derivation of partial differential equations for second order boundary value problems
2022
Software systems designed to solve second order boundary value problems are typically restricted to hardwired lists of partial differential equations. In order to come up with more flexible systems, we introduce a systematic approach to find partial differential equations that result in eligible boundary value problems. This enables one to construct and combine one's own partial differential equations instead of choosing those from a pre-given list. This expands significantly end users possibilities to employ boundary value problems in modeling. To introduce the main ideas we employ differential geometry to examine the mathematical structure involved in second order boundary value problems …