اشترك بالحزمة الذهبية واحصل على وصول غير محدود شمرا أكاديميا
تسجيل مستخدم جديدA non-linear parabolic PDE with a distributional coefficient and its applications to stochastic analysis
98
0
0.0
(
0
)
تأليف
Elena Issoglio
اسأل ChatGPT حول البحث
ﻻ يوجد ملخص باللغة العربية
We consider a non-linear parabolic partial differential equation (PDE) on $mathbb R^d$ with a distributional coefficient in the non-linear term. The distribution is an element of a Besov space with negative regularity and the non-linearity is of quadratic type in the gradient of the unknown. Under suitable conditions on the parameters we prove local existence and uniqueness of a mild solution to the PDE, and investigate properties like continuity with respect to the initial condition and blow-up times. We prove a global existence and uniqueness result assuming further properties on the non-linearity. To conclude we consider an application of the PDE to stochastic analysis, in particular to a class of non-linear backward stochastic differential equations with distributional drivers.
قيم البحث
اقرأ أيضاً
This paper includes a proof of well-posedness of an initial-boundary value problem involving a system of degenerate non-local parabolic PDE which naturally arises in the study of derivative pricing in a generalized market model. In a semi-Markov modu
lated GBM model the locally risk minimizing price function satisfies a special case of this problem. We study the well-posedness of the problem via a Volterra integral equation of second kind. A probabilistic approach, in particular the method of conditioning on stopping times is used for showing uniqueness.
We consider a large family of integro-differential equations and establish a non-local counterpart of Hopfs lemma, directly expressed in terms of the symbol of the operator. As closely related problems, we also obtain a variety of maximum principles
for viscosity solutions. In our approach we combine direct analysis with functional integration, allowing a robust control around the boundary of the domain, and make use of the related ascending ladder height-processes. We then apply these results to a study of principal eigenvalue problems, the radial symmetry of the positive solutions, and the overdetermined non-local torsion equation.
In this paper, we consider the following non-local semi-linear parabolic equation with advection: for $1 le p<1+frac{2}{N}$, begin{equation*} begin{cases} u_t+v cdot abla u-Delta u=|u|^p-int_{mathbb T^N} |u|^p quad & textrm{on} quad mathbb T^N, u
textrm{periodic} quad & textrm{on} quad partial mathbb T^N end{cases} end{equation*} with initial data $u_0$ defined on $mathbb T^N$. Here $v$ is an incompressible flow, and $mathbb T^N=[0, 1]^N$ is the $N$-torus with $N$ being the dimension. We first prove the local existence of mild solutions to the above equation for arbitrary data in $L^2$. We then study the global existence of the solutions under the following two scenarios: (1). when $v$ is a mixing flow; (2). when $v$ is a shear flow. More precisely, we show that under these assumptions, there exists a global solution to the above equation in the sense of $L^2$.
In this paper we find viscosity solutions to a coupled system composed by two equations, the first one is parabolic and driven by the infinity Laplacian while the second one is elliptic and involves the usual Laplacian. We prove that there is a two-p
layer zero-sum game played in two different boards with different rules in each board (in the first one we play a Tug-of-War game taking the number of plays into consideration and in the second board we move at random) whose value functions converge uniformly to a viscosity solution to the PDE system.
We consider the integral definition of the fractional Laplacian and analyze a linear-quadratic optimal control problem for the so-called fractional heat equation; control constraints are also considered. We derive existence and uniqueness results, fi
rst order optimality conditions, and regularity estimates for the optimal variables. To discretize the state equation equation we propose a fully discrete scheme that relies on an implicit finite difference discretization in time combined with a piecewise linear finite element discretization in space. We derive stability results and a novel $L^2(0,T;L^2(Omega))$ a priori error estimate. On the basis of the aforementioned solution technique, we propose a fully discrete scheme for our optimal control problem that discretizes the control variable with piecewise constant functions and derive a priori error estimates for it. We illustrate the theory with one- and two-dimensional numerical experiments.
سجل دخول لتتمكن من نشر تعليقات
التعليقات
جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
