Teses / dissertações sobre o tema "Singular stochastic partial differential equations"
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1
Liu, Xuan. "Some contribution to analysis and stochastic analysis". Thesis, University of Oxford, 2018. http://ora.ox.ac.uk/objects/uuid:485474c0-2501-4ef0-a0bc-492e5c6c9d62.
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The dissertation consists of two parts. The first part (Chapter 1 to 4) is on some contributions to the development of a non-linear analysis on the quintessential fractal set Sierpinski gasket and its probabilistic interpretation. The second part (Chapter 5) is on the asymptotic tail decays for suprema of stochastic processes satisfying certain conditional increment controls. Chapters 1, 2 and 3 are devoted to the establishment of a theory of backward problems for non-linear stochastic differential equations on the gasket, and to derive a probabilistic representation to some parabolic type partial differential equations on the gasket. In Chapter 2, using the theory of Markov processes, we derive the existence and uniqueness of solutions to backward stochastic differential equations driven by Brownian motion on the Sierpinski gasket, for which the major technical difficulty is the exponential integrability of quadratic processes of martingale additive functionals. A Feynman-Kac type representation is obtained as an application. In Chapter 3, we study the stochastic optimal control problems for which the system uncertainties come from Brownian motion on the gasket, and derive a stochastic maximum principle. It turns out that the necessary condition for optimal control problems on the gasket consists of two equations, in contrast to the classical result on ℝd, where the necessary condition is given by a single equation. The materials in Chapter 2 are based on a joint work with Zhongmin Qian (referenced in Chapter 2). Chapter 4 is devoted to the analytic study of some parabolic PDEs on the gasket. Using a new type of Sobolev inequality which involves singular measures developed in Section 4.2, we establish the existence and uniqueness of solutions to these PDEs, and derive the space-time regularity for solutions. As an interesting application of the results in Chapter 4 and the probabilistic representation developed in Chapter 2, we further study Burgers equations on the gasket, to which the space-time regularity for solutions is deduced. The materials in Chapter 4 are based on a joint work with Zhongmin Qian (referenced in Chapter 4). In Chapter 5, we consider a class of continuous stochastic processes which satisfy the conditional increment control condition. Typical examples include continuous martingales, fractional Brownian motions, and diffusions governed by SDEs. For such processes, we establish a Doob type maximal inequality. Under additional assumptions on the tail decays of their marginal distributions, we derive an estimate for the tail decay of the suprema (Theorem 5.3.2), which states that the suprema decays in a manner similar to the margins of the processes. In Section 5.4, as an application of Theorem 5.3.2, we derive the existence of strong solutions to a class of SDEs. The materials in this chapter is based on the work [44] by the author (Section 5.2 and Section 5.3) and an ongoing joint project with Guangyu Xi (Section 5.4).
2
Martin, Jörg. "Refinements of the Solution Theory for Singular SPDEs". Doctoral thesis, Humboldt-Universität zu Berlin, 2018. http://dx.doi.org/10.18452/19329.
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Diese Dissertation widmet sich der Untersuchung singulärer stochastischer partieller Differentialgleichungen (engl. SPDEs). Wir entwickeln Erweiterungen der bisherigen Lösungstheorien, zeigen fundamentale Beziehungen zwischen verschiedenen Ansätzen und
präsentieren Anwendungen in der Finanzmathematik und der mathematischen Physik.
Die Theorie parakontrollierter Systeme wird für diskrete Räume formuliert und eine schwache Universalität für das parabolische Anderson Modell bewiesen.
Eine fundamentale Relation zwischen Hairer's modellierten Distributionen und Paraprodukten wird bewiesen: Wir zeigen das sich der Raum modellierter Distributionen durch Paraprodukte beschreiben lässt. Dieses Resultat verallgemeinert die Fourierbeschreibung von Hölderräumen mittels Littlewood-Paley Theorie.
Schließlich wird die Existenz von Lösungen der stochastischen Schrödingergleichung auf dem ganzen Raum bewiesen und eine Anwendung Hairer's Theorie zur Preisermittlung von Optionen aufgezeigt.This thesis is concerned with the study of singular stochastic partial differential equations (SPDEs). We develop extensions to existing solution theories, present fundamental interconnections between different approaches and give applications in financial mathematics and mathematical physics. The theory of paracontrolled distribution is formulated for discrete systems, which allows us to prove a weak universality result for the parabolic Anderson model. This thesis further shows a fundamental relation between Hairer's modelled distributions and paraproducts: The space of modelled distributions can be characterized completely by using paraproducts. This can be seen a generalization of the Fourier description of Hölder spaces. Finally, we prove the existence of solutions to the stochastic Schrödinger equation on the full space and provide an application of Hairer's theory to option pricing.
3
Barrasso, Adrien. "Decoupled mild solutions of deterministic evolution problemswith singular or path-dependent coefficients, represented by backward SDEs". Thesis, Université Paris-Saclay (ComUE), 2018. http://www.theses.fr/2018SACLY009/document.
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Cette thèse introduit une nouvelle notion de solution pour des équationsd'évolution non-linéaires déterministes, appellées solutionsmild découplées.Nous revisitons les liens entre équations différentielles rétrogrades(EDSRs) markoviennes browniennes et EDPsparaboliques semilinéaires en montrant que, sous de très faibles hypothèses,les EDSRs produisent une unique solution mild découplée d'une EDP.Nous étendons ce résultat à de nombreuses autres équations déterministestelles que des Pseudo-EDPs, des Equations Intégrales aux Dérivées Partielles(EIDPs), des EDPs à drift distributionnel, ou des E(I)DPs à dépendancetrajectorielle. Les solutions de ces équations sont représentées via des EDSRs qui peuvent être sans martingale de référence, ou dirigées par des martingales cadlag. En particulier, cette thèse résout le problème d'identification,qui consiste, dans le cas classique d'une EDSR markovienne brownienne, à donner un sens analytique au processus Z, second membre de la solution (Y,Z) de l'EDSR. Dans la littérature, Y détermine en général une solution de viscosité de l'équation déterministe et ce problème d'identification n'est résolu que quand cette solution de viscosité a un minimum de régularité. Notre méthode permet de résoudre ce problème même dans le cas général d'EDSRs à sauts (non nécéssairement markoviennes)This thesis introduces a new notion of solution for deterministic non-linear evolution equations, called decoupled mild solution.We revisit the links between Markovian Brownian Backward stochastic differential equations (BSDEs) and parabolic semilinear PDEs showing that under very mild assumptions, the BSDEs produce a unique decoupled mild solution of some PDE.We extend this result to many other deterministic equations such asPseudo-PDEs, Integro-PDEs, PDEs with distributional drift or path-dependent(I)PDEs. The solutions of those equations are represented throughBSDEs which may either be without driving martingale, or drivenby cadlag martingales. In particular this thesis solves the so calledidentification problem, which consists, in the case of classical Markovian Brownian BSDEs, to give an analytical meaning to the second component Z ofthe solution (Y,Z) of the BSDE. In the literature, Y generally determinesa so called viscosity solution and the identification problem is only solved when this viscosity solution has a minimal regularity.Our method allows to treat this problem even in the case of general (even non-Markovian) BSDEs with jumps
4
Barrasso, Adrien. "Decoupled mild solutions of deterministic evolution problemswith singular or path-dependent coefficients, represented by backward SDEs". Electronic Thesis or Diss., Université Paris-Saclay (ComUE), 2018. http://www.theses.fr/2018SACLY009.
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Cette thèse introduit une nouvelle notion de solution pour des équationsd'évolution non-linéaires déterministes, appellées solutionsmild découplées.Nous revisitons les liens entre équations différentielles rétrogrades(EDSRs) markoviennes browniennes et EDPsparaboliques semilinéaires en montrant que, sous de très faibles hypothèses,les EDSRs produisent une unique solution mild découplée d'une EDP.Nous étendons ce résultat à de nombreuses autres équations déterministestelles que des Pseudo-EDPs, des Equations Intégrales aux Dérivées Partielles(EIDPs), des EDPs à drift distributionnel, ou des E(I)DPs à dépendancetrajectorielle. Les solutions de ces équations sont représentées via des EDSRs qui peuvent être sans martingale de référence, ou dirigées par des martingales cadlag. En particulier, cette thèse résout le problème d'identification,qui consiste, dans le cas classique d'une EDSR markovienne brownienne, à donner un sens analytique au processus Z, second membre de la solution (Y,Z) de l'EDSR. Dans la littérature, Y détermine en général une solution de viscosité de l'équation déterministe et ce problème d'identification n'est résolu que quand cette solution de viscosité a un minimum de régularité. Notre méthode permet de résoudre ce problème même dans le cas général d'EDSRs à sauts (non nécéssairement markoviennes)This thesis introduces a new notion of solution for deterministic non-linear evolution equations, called decoupled mild solution.We revisit the links between Markovian Brownian Backward stochastic differential equations (BSDEs) and parabolic semilinear PDEs showing that under very mild assumptions, the BSDEs produce a unique decoupled mild solution of some PDE.We extend this result to many other deterministic equations such asPseudo-PDEs, Integro-PDEs, PDEs with distributional drift or path-dependent(I)PDEs. The solutions of those equations are represented throughBSDEs which may either be without driving martingale, or drivenby cadlag martingales. In particular this thesis solves the so calledidentification problem, which consists, in the case of classical Markovian Brownian BSDEs, to give an analytical meaning to the second component Z ofthe solution (Y,Z) of the BSDE. In the literature, Y generally determinesa so called viscosity solution and the identification problem is only solved when this viscosity solution has a minimal regularity.Our method allows to treat this problem even in the case of general (even non-Markovian) BSDEs with jumps
5
Hashemi, Seyed Naser. "Singular perturbations in coupled stochastic differential equations". Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2001. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp05/NQ65244.pdf.
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Dareiotis, Anastasios Constantinos. "Stochastic partial differential and integro-differential equations". Thesis, University of Edinburgh, 2015. http://hdl.handle.net/1842/14186.
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In this work we present some new results concerning stochastic partial differential and integro-differential equations (SPDEs and SPIDEs) that appear in non-linear filtering. We prove existence and uniqueness of solutions of SPIDEs, we give a comparison principle and we suggest an approximation scheme for the non-local integral operators. Regarding SPDEs, we use techniques motivated by the work of De Giorgi, Nash, and Moser, in order to derive global and local supremum estimates, and a weak Harnack inequality.
7
Elton, Daniel M. "Hyperbolic partial differential equations with singular coefficients". Thesis, University of Oxford, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.389210.
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Hofmanová, Martina. "Degenerate parabolic stochastic partial differential equations". Phd thesis, École normale supérieure de Cachan - ENS Cachan, 2013. http://tel.archives-ouvertes.fr/tel-00916580.
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In this thesis, we address several problems arising in the study of nondegenerate and degenerate parabolic SPDEs, stochastic hyperbolic conservation laws and SDEs with continues coefficients. In the first part, we are interested in degenerate parabolic SPDEs, adapt the notion of kinetic formulation and kinetic solution and establish existence, uniqueness as well as continuous dependence on initial data. As a preliminary result we obtain regularity of solutions in the nondegenerate case under the hypothesis that all the coefficients are sufficiently smooth and have bounded derivatives. In the second part, we consider hyperbolic conservation laws with stochastic forcing and study their approximations in the sense of Bhatnagar-Gross-Krook. In particular, we describe the conservation laws as a hydrodynamic limit of the stochastic BGK model as the microscopic scale vanishes. In the last part, we provide a new and fairly elementary proof of Skorkhod's classical theorem on existence of weak solutions to SDEs with continuous coefficients satisfying a suitable Lyapunov condition.
9
Matetski, Kanstantsin. "Discretisations of rough stochastic partial differential equations". Thesis, University of Warwick, 2016. http://wrap.warwick.ac.uk/81460/.
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This thesis consists of two parts, in both of which we consider approximations of rough stochastic PDEs and investigate convergence properties of the approximate solutions. In the first part we use the theory of (controlled) rough paths to define a solution for one-dimensional stochastic PDEs of Burgers type driven by an additive space-time white noise. We prove that natural numerical approximations of these equations converge to the solution of a corrected continuous equation and that their optimal convergence rate in the uniform topology (in probability) is arbitrarily close to 1/2 . In the second part of the thesis we develop a general framework for spatial discretisations of parabolic stochastic PDEs whose solutions are provided in the framework of the theory of regularity structures and which are functions in time. As an application, we show that the dynamical �43 model on the dyadic grid converges after renormalisation to its continuous counterpart. This result in particular implies that, as expected, the �43 measure is invariant for this equation and that the lifetime of its solutions is almost surely infinite for almost every initial condition.
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Spantini, Alessio. "Preconditioning techniques for stochastic partial differential equations". Thesis, Massachusetts Institute of Technology, 2013. http://hdl.handle.net/1721.1/82507.
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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Aeronautics and Astronautics, 2013.This thesis was scanned as part of an electronic thesis pilot project.
Cataloged from PDF version of thesis.
Includes bibliographical references (p. 149-155).
This thesis is about preconditioning techniques for time dependent stochastic Partial Differential Equations arising in the broader context of Uncertainty Quantification. State-of-the-art methods for an efficient integration of stochastic PDEs require the solution field to lie on a low dimensional linear manifold. In cases when there is not such an intrinsic low rank structure we must resort on expensive and time consuming simulations. We provide a preconditioning technique based on local time stretching capable to either push or keep the solution field on a low rank manifold with substantial reduction in the storage and the computational burden. As a by-product we end up addressing also classical issues related to long time integration of stochastic PDEs.
by Alessio Spantini.
S.M.
11
Prerapa, Surya Mohan. "Projection schemes for stochastic partial differential equations". Thesis, University of Southampton, 2009. https://eprints.soton.ac.uk/342800/.
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The focus of the present work is to develop stochastic reduced basis methods (SRBMs) for solving partial differential equations (PDEs) defined on random domains and nonlinear stochastic PDEs (SPDEs). SRBMs have been extended in the following directions: Firstly, an h-refinement strategy referred to as Multi-Element-SRBMs (ME-SRBMs) is developed for local refinement of the solution process. The random space is decomposed into subdomains where SRBMs are employed in each subdomain resulting in local response statistics. These local statistics are subsequently assimilated to compute the global statistics. Two types of preconditioning strategies namely global and local preconditioning strategies are discussed due to their merits such as degree of parallelizability and better convergence trends. The improved accuracy and convergence trends of ME-SRBMs are demonstrated by numerical investigation of stochastic steady state elasticity and stochastic heat transfer applications. The second extension involves the development of a computational approach employing SRBMs for solving linear elliptic PDEs defined on random domains. The key idea is to carry out spatial discretization of the governing equations using finite element (FE) methods and mesh deformation strategies. This results in a linear random algebraic system of equations whose coefficients of expansion can be computed nonintrusively either at the element or the global level. SRBMs are subsequently applied to the linear random algebraic system of equations to obtain the response statistics. We establish conditions that the input uncertainty model must satisfy to ensure the well-posedness of the problem. The proposed formulation is demonstrated on two and three dimensional model problems with uncertain boundaries undergoing steady state heat transfer. A large scale study involving a three-dimensional gas turbine model with uncertain boundary, has been presented in this context. Finally, a numerical scheme that combines SRBMs with the Picard iteration scheme is proposed for solving nonlinear SPDEs. The governing equations are linearized using the response process from the previous iteration and spatially discretized. The resulting linear random algebraic system of equations are solved to obtain the new response process which acts as a guess for the next iteration. These steps of linearization, spatial discretization, solving the system of equations and updating the current guess are repeated until the desired accuracy is achieved. The effectiveness and the limitations of the formulation are demonstrated employing numerical studies in nonlinear heat transfer and the one-dimensional Burger’s equation.
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Zhang, Qi. "Stationary solutions of stochastic partial differential equations and infinite horizon backward doubly stochastic differential equations". Thesis, Loughborough University, 2008. https://dspace.lboro.ac.uk/2134/34040.
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In this thesis we study the existence of stationary solutions for stochastic partial differential equations. We establish a new connection between solutions of backward doubly stochastic differential equations (BDSDEs) on infinite horizon and the stationary solutions of the SPDEs. For this, we prove the existence and uniqueness of the L2ρ (Rd; R1) × L2ρ (Rd; Rd) valued solutions of BDSDEs with Lipschitz nonlinear term on both finite and infinite horizons, so obtain the solutions of initial value problems and the stationary weak solutions (independent of any initial value) of SPDEs. Also the L2ρ (Rd; R1) × L2ρ (Rd; Rd) valued BDSDE with non-Lipschitz term is considered. Moreover, we verify the time and space continuity of solutions of real-valued BDSDEs, so obtain the stationary stochastic viscosity solutions of real-valued SPDEs. The connection of the weak solutions of SPDEs and BDSDEs has independent interests in the areas of both SPDEs and BSDEs.
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Mu, Tingshu. "Backward stochastic differential equations and applications : optimal switching, stochastic games, partial differential equations and mean-field". Thesis, Le Mans, 2020. http://www.theses.fr/2020LEMA1023.
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Cette thèse est relative aux Equations Différentielles Stochastique Rétrogrades (EDSRs) réfléchies avec deux obstacles et leurs applications aux jeux de switching de somme nulle, aux systèmes d’équations aux dérivées partielles, aux problèmes de mean-field. Il y a deux parties dans cette thèse. La première partie porte sur le switching optimal stochastique et est composée de deux travaux. Dans le premier travail, nous montrons l’existence de la solution d’un système d’EDSR réfléchies à obstacles bilatéraux interconnectés dans le cadre probabiliste général. Ce problème est lié à un jeu de switching de somme nulle. Ensuite nous abordons la question de l’unicité de la solution. Et enfin nous appliquons les résultats obtenus pour montrer que le système d’EDP associé à une unique solution au sens viscosité, sans la condition de monotonie habituelle. Dans le second travail, nous considérons aussi un système d’EDSRs réfléchies à obstacles bilatéraux interconnectés dans le cadre markovien. La différence avec le premier travail réside dans le fait que le switching ne s’opère pas de la même manière. Cette fois-ci quand le switching est opéré, le système est mis dans l’état suivant importe peu lequel des joueurs décide de switcher. Cette différence est fondamentale et complique singulièrement le problème de l’existence de la solution du système. Néanmoins, dans le cadre markovien nous montrons cette existence et donnons un résultat d’unicité en utilisant principalement la méthode de Perron. Ensuite, le lien avec un jeu de switching spécifique est établi dans deux cadres. Dans la seconde partie nous étudions les EDSR réfléchies unidimensionnelles à deux obstacles de type mean-field. Par la méthode du point fixe, nous montrons l’existence et l’unicité de la solution dans deux cadres, en fonction de l’intégrabilité des donnéesThis thesis is related to Doubly Reflected Backward Stochastic Differential Equations (DRBSDEs) with two obstacles and their applications in zero-sum stochastic switching games, systems of partial differential equations, mean-field problems.There are two parts in this thesis. The first part deals with optimal stochastic switching and is composed of two works. In the first work we prove the existence of the solution of a system of DRBSDEs with bilateral interconnected obstacles in a probabilistic framework. This problem is related to a zero-sum switching game. Then we tackle the problem of the uniqueness of the solution. Finally, we apply the obtained results and prove that, without the usual monotonicity condition, the associated PDE system has a unique solution in viscosity sense. In the second work, we also consider a system of DRBSDEs with bilateral interconnected obstacles in the markovian framework. The difference between this work and the first one lies in the fact that switching does not work in the same way. In this second framework, when switching is operated, the system is put in the following state regardless of which player decides to switch. This difference is fundamental and largely complicates the problem of the existence of the solution of the system. Nevertheless, in the Markovian framework we show this existence and give a uniqueness result by the Perron’s method. Later on, two particular switching games are analyzed.In the second part we study a one-dimensional Reflected BSDE with two obstacles of mean-field type. By the fixed point method, we show the existence and uniqueness of the solution in connection with the integrality of the data
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Athreya, Siva. "Probability and semilinear partial differential equations /". Thesis, Connect to this title online; UW restricted, 1998. http://hdl.handle.net/1773/5799.
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Lattimer, Timothy Richard Bislig. "Singular partial integro-differential equations arising in thin aerofoil theory". Thesis, University of Southampton, 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.243192.
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Mphaka, Mphaka Joane Sankoela. "Partial singular integro-differential equations models for dryout in boilers". Thesis, University of Southampton, 2000. https://eprints.soton.ac.uk/50627/.
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A two-dimensional model for the annular two-phase flow of water and steam, along with the dryout, in steam generating pipes of a liquid metal fast breeder reactor is proposed. The model is based on thin-layer lubrication theory and thin aerofoil theory. The exchange of mass between the vapour core and the liquid film due to evaporation of the liquid film is accounted for in the model. The mass exchange rate depends on the details of the flow conditions and it is calculated using some simple thermodynamic models. The change of phase at the free surface between the liquid layer and the vapour core is modelled by proposing a suitable Stefan problem. Appropriate boundary conditions for the model, at the onset of the annular flow region and at the dryout point, are stated and discussed. The resulting unsteady nonlinear singular integro-differential equation for the liquid film free surface is solved asymptotically and numerically (using some regularisation techniques) in the steady state case, for a number of industrially relevant cases. Predictions for the length to the dryout point from the entry of the annular regime are made. The influence of the constant parameter values in the model (e.g. the traction r provided by the fast flowing vapour core on the liquid layer and the mass transfer parameter 77) on the length to the dryout point is investigated. The linear stability of the problem where the temperature of the pipe wall is assumed to be a constant is investigated numerically. It is found that steady state solutions to this problem are always unstable to small perturbations. From the linear stability results, the influence on the instability of the problem by each of the constant parameter values in the model is investigated. In order to provide a benchmark against which the results for this problem may be compared, the linear stability of some related but simpler problems is analysed. The results reinforce our conclusions for the full problem.
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Hsu, Yueh-Sheng. "On the random Schrödinger operators in the continuous setting". Electronic Thesis or Diss., Université Paris sciences et lettres, 2024. http://www.theses.fr/2024UPSLD009.
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Cette thèse porte sur les opérateurs de Schrödinger aléatoires dans un cadre continu, en particulier ceux avec un potentiel de bruit blanc gaussien. La définition de ces opérateurs différentiels est généralement non triviale et nécessite la renormalisation dans les dimensions d ≥ 2. Nous présentons d’abord un cadre général pour traduire le problème de construction de l’opérateur en EDP stochastiques. Cette approche nous permet de définir l’opérateur en question, d’établir son auto-adjonction et d’étudier son spectre.Par la suite, nous passons à l’étude de l’Hamiltonien d’Anderson continu dans deux configurations spatiales distinctes :d’abord dans une boîte bornée de longueur latérale L avec une condition de bord de Dirichlet nulle pour les dimensionsd ≤ 3, et ensuite dans l’espace Euclidien Rd, pour d ∈ {2, 3}. Dans le premier cas, l’opérateur admet des valeurs propres λn,L, pour lesquelles nous identifions l’asymptotique presque sûre lorsque L → ∞. Cet asymptotique est conforme aux résultats antérieurs dans la littérature pour les dimensions 1 et 2, tandis que notre résultat en dimension 3 est nouveau. Dans le second cas, nous proposons une nouvelle technique de construction en utilisant la théorie des solutions de l’équation parabolique associée, ce qui permet de prouver l’auto-adjonction et de montrer que le spectre est presque sûrement égal à R. Cette approche confirme le résultat récemment établi en dimension 2 dans la littérature, cependant notre construction semble plus élémentaire ; pour la dimension 3, notre résultat est nouveau.Enfin, nous présentons un projet en cours qui aborde le cas où un champ magnétique uniforme est appliqué au système : cela conduit à l’étude de l’Hamiltonien de Landau perturbé par le potentiel de bruit blanc. Notre objectif est de définir l’opérateur dans l’espace R² sans recourir à une théorie de renormalisation sophistiquée. Cependant, la non-bornitude du bruit blanc sur R²pose des défis techniques supplémentaires. Pour surmonter cela, l’utilisation du théorème de Faris-Lavine est discutéeThis thesis studies the random Schrödinger operators in continuous setting, particularly those with Gaussian white noise potential. The definition of such differential operators is generally non-trivial and necessitates renormalization in dimensions d ≥ 2. We first present a general framework to translate the problem of operator construction into stochastic PDEs. This approach enables us to define the operator at stake and establishes its self-adjointness, as well as to investigate its spectrum.Subsequently, we proceed to study the continuous Anderson Hamiltonian under two distinct spatial settings: first on a bounded box with side length L with zero Dirichlet boundary condition for dimensions d ≤ 3, and second on the full Euclidean space Rd, for d ∈ {2, 3}. In the former case, the operator admits eigenvalues λn,L, for which we identify the almost sure asymptotic as L → ∞. This asymptotic aligns with previous findings in the literature for dimension 1 and 2, while our result in dimension 3 is new. In the latter case, we propose a new construction technique employing the solution theory to the associated parabolic equation which allows to prove self-adjointness and show that the spectrum equals to R almost surely. This approach reconfirms the recently established result in dimension 2, but our construction seems to be more elementary; for dimension 3, our result is new.Lastly, we present an ongoing project addressing the case where a uniform magnetic field is applied to the system : this leads to the study of Landau Hamiltonian perturbed by the white noise potential. Our objective is to define the operator on full space R² without resorting to sophisticated renormalization theory. However, the unboundedness of white noise on R² poses additional technical challenges. To overcome this, the usage of Faris-Lavine theorem is discussed
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Pätz, Torben [Verfasser]. "Segmentation of Stochastic Images using Stochastic Partial Differential Equations / Torben Pätz". Bremen : IRC-Library, Information Resource Center der Jacobs University Bremen, 2012. http://d-nb.info/1035219735/34.
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Ling, Chengcheng [Verfasser]. "Stochastic differential equations with singular drifts and multiplicative noises / Chengcheng Ling". Bielefeld : Universitätsbibliothek Bielefeld, 2020. http://d-nb.info/1206592184/34.
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Aksoy, Umit. "Schwarz Problem For Complex Partial Differential Equations". Phd thesis, METU, 2006. http://etd.lib.metu.edu.tr/upload/3/12607977/index.pdf.
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This study consists of four chapters. In the first chapter we
give some historical background of the problem, basic definitions
and properties. Basic integral operators of complex analysis and
and Schwarz problem for model equations are presented in Chapter
2. Chapter 3 is devoted to the investigation of the properties of
a class of strongly singular integral operators. In the last
chapter we consider the Schwarz boundary value problem for the
general partial complex differential equations of higher order.
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Pak, Alexey. "Stochastic partial differential equations with coefficients depending on VaR". Thesis, University of Warwick, 2017. http://wrap.warwick.ac.uk/93458/.
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In this paper we prove the well-posedness for a stochastic partial differential equation (SPDE) whose solution is a probability-measure-valued process. We allow the coefficients to depend on the median or, more generally, on the γ-quantile (or some its useful extensions) of the underlying distribution. Such SPDEs arise in many applications, for example, in auction system described in [2]. The well-posedness of this SPDE does not follow by standard arguments because the γ-quantile is not a continuous function on the space of probability measures equipped with the weak convergence.
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RINALDI, PAOLO. "A Novel Perturbative Approach to Stochastic Partial Differential Equations". Doctoral thesis, Università degli studi di Pavia, 2022. http://hdl.handle.net/11571/1447824.
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The topic of this thesis is the application of techniques proper of algebraic quantum field theory
(AQFT) to the analysis of stochastic partial differential equations (SPDEs), in particular to non-
linear ones. Despite being apparently so far apart, these two frameworks have a lot in common
and, probably, the most unexpected shared feature is the need of invoking renormalization.
Chapter 1 is devoted to recollecting some basic material about stochastic partial differential
equations, starting from some motivating examples, presenting a brief survey of the theory
of regularity structures and highlighting some notable technical results. In this chapter also
some further results of the author are discussed, in particular concerning a microlocal version
of the Young's product theorem and the formulation on smooth manifolds of the reconstruction
theorem in the framework of coherent germs of distributions.
The remaining Chapters are devoted to the main contribution of this Ph.D. thesis, namely
the microlocal approach to SPDEs. This provides a novel framework for the perturbative
analysis of a vast class of non-linear SPDEs. In particular, adapting techniques proper of
AQFT, such as microlocal analysis and the theory of the scaling degree, it allows to deal
with renormalization avoiding any regularization procedures and subtraction of in infinities. On
the contrary, it allows the explicit construction of finite renormalization constants and the
classification of the ambiguities arising as a consequence of the renormalization procedure.
The last chapter is devoted to the application of the general machinery discussed in the previous
two chapters to a specific example, namely the stochastic quantization equation. In this chapter we
make some explicit computations at first order in perturbation theory both for the expectation
value of the solution and for the two-point correlation function.
23
Cheung, Ka Chun. "Meshless algorithm for partial differential equations on open and singular surfaces". HKBU Institutional Repository, 2016. https://repository.hkbu.edu.hk/etd_oa/278.
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Radial Basis function (RBF) method for solving partial differential equation (PDE) has a lot of applications in many areas. One of the advantages of RBF method is meshless. The cost of mesh generation can be reduced by playing with scattered data. It can also allow adaptivity to solve some problems with special feature. In this thesis, RBF method will be considered to solve several problems. Firstly, we solve the PDEs on surface with singularity (folded surface) by a localized method. The localized method is a generalization of finite difference method. A priori error estimate for the discreitzation of Laplace operator is given for points selection. A stable solver (RBF-QR) is used to avoid ill-conditioning for the numerical simulation. Secondly, a {dollar}H^2{dollar} convergence study for the least-squares kernel collocation method, a.k.a. least-square Kansa's method will be discussed. This chapter can be separated into two main parts: constraint least-square method and weighted least-square method. For both methods, stability and consistency analysis are considered. Error estimate for both methods are also provided. For the case of weighted least-square Kansa's method, we figured out a suitable weighting for optimal error estimation. In Chapter two, we solve partial differential equation on smooth surface by an embedding method in the embedding space {dollar}\R^d{dollar}. Therefore, one can apply any numerical method in {dollar}\R^d{dollar} to solve the embedding problem. Thus, as an application of previous result, we solve embedding problem by least-squares kernel collocation. Moreover, we propose a new embedding condition in this chapter which has high order of convergence. As a result, we solve partial differential equation on smooth surface with a high order kernel collocation method. Similar to chapter two, we also provide error estimate for the numerical solution. Some applications such as pattern formation in the Brusselator system and excitable media in FitzHughNagumo model are also studied.
24
McKay, Steven M. "Brownian Motion Applied to Partial Differential Equations". DigitalCommons@USU, 1985. https://digitalcommons.usu.edu/etd/6992.
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This work is a study of the relationship between Brownian motion and elementary, linear partial differential equations. In the text, I have shown that Brownian motion is a Markov process, and that Brownian motion itself, and certain Stochastic processes involving Brownian motion are also martingales. In particular, Dynkin's formula for Brownian motion was shown. Using Dynkin's formula and Brownian motion, I then constructed solutions for the classical Dirichlet problem and the heat equation, given by Δu=0 and ut= 1/2Δu+g, respectively. I have shown that the bounded solution is unique if Brownian motion will always exit the domain of the function once it has started at a point in the domain. The heat equation also has a unique bounded solution.
25
Emereuwa, Chigoziem A. "Homogenization of stochastic partial differential equations in perforated porous media". Thesis, University of Pretoria, 2019. http://hdl.handle.net/2263/77812.
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In this thesis, we study the homogenization of a stochastic model of groundwater
pollution in periodic porous media and the homogenization of a stochastic model
of a single-phase
uid
ow in partially ssured media.
In the rst study, we investigated the
ow of a
uid carrying reacting substances
through a porous medium. We modeled this
ow using a coupled system of equations;
the velocity of the
uid is modeled using steady Stokes equations, the concentration
of the solute while being moved by the
uid under the action of random
forces is modeled by a stochastic convection-di usion equation driven by a
Wiener type random force and the concentration of the solute on the surface of
the pore skeleton is modeled using reaction-di usion equations. The homogenization
process was carried out using the multiple scale expansion, Tartar's method
of oscillating test functions and stochastic calculus together with deep probability
compactness results due to Prokhorov and Skorokhod. This part of the thesis is
the rst in the scienti c literature dealing with the important problem of groundwater
pollution using stochastic partial di erential equations. Our results in this
regard are original. Also as a by-product of our work, we establish the rst homogenization
result for stochastic convection-di usion equation
The second study is devoted to a single-phase
ow under the in
uence of external
random forces through partially ssured media arising in reservoir engineering (oil
and gas industries). We undertake to model this
ow using a system of nonlinear
stochastic di usion equations with monotone operators in the pore system and the
ssure system; on the interface of the pores and ssures, we prescribe transmission
boundary conditions. We carried out the homogenization process using the
two-scale convergence method, Prokhorov- Skorokhod compactness process and
Minty's monotonicity method. While some works have been undertaken in the
deterministic case and in the case of nonlinear di usion equations with randomly
oscillating coe cients, our work is novel in the sense that it uses the more advanced
tool of stochastic partial di erential equations driven by random forces to
investigate the in
uence of random
uctuations on the
ow. To the best of our
knowledge, our work also initiates the study of stochastic evolution transmission
problems by means of homogenization.Thesis (PhD)--University of Pretoria, 2019.
Mathematics and Applied Mathematics
PhD
Unrestricted
26
o, Perdomo Rafael Antonio. "Optimal control of stochastic partial differential equations in Banach spaces". Thesis, University of York, 2010. http://etheses.whiterose.ac.uk/1112/.
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In this thesis we study optimal control problems in Banach spaces for stochastic partial differential equations. We investigate two different approaches. In the first part we study Hamilton-Jacobi-Bellman equations (HJB) in Banach spaces associated with optimal feedback control of a class of non-autonomous semilinear stochastic evolution equations driven by additive noise. We prove the existence and uniqueness of mild solutions to HJB equations using the smoothing property of the transition evolution operator associated with the linearized stochastic equation. In the second part we study an optimal relaxed control problem for a class of autonomous semilinear stochastic stochastic PDEs on Banach spaces driven by multiplicative noise. The state equation is controlled through the nonlinear part of the drift coefficient and satisfies a dissipative-type condition with respect to the state variable. The main tools of our study are the factorization method for stochastic convolutions in UMD type-2 Banach spaces and certain compactness properties of the factorization operator and of the class of Young measures on Suslin metrisable control sets.
27
Ignatyev, Oleksiy. "The Compact Support Property for Hyperbolic SPDEs: Two Contrasting Equations". [Kent, Ohio] : Kent State University, 2008. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=kent1216323351.
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Thesis (Ph. D.)--Kent State University, 2008.Title from PDF t.p. (viewed Nov. 10, 2009). Advisor: Hassan Allouba. Keywords: stochastic partial differential equations; compact support property. Includes bibliographical references (p. 30).
28
Mai, Thanh Tan [Verfasser]. "Stochastic partial differential equations corresponding to time-inhomogeneous evolution equations / Thanh Tan Mai". München : Verlag Dr. Hut, 2012. http://d-nb.info/1029399719/34.
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Terrone, Gabriele. "Singular Perturbation and Homogenization Problems in Control Theory, Differential Games and fully nonlinear Partial Differential Equations". Doctoral thesis, Università degli studi di Padova, 2008. http://hdl.handle.net/11577/3426271.
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In this thesis we address different topics related to homogenization of first and second order fully nonlinear PDEs, essentially of Hamilton--Jacobi type, and more generally to singular perturbation in optimal control problems and differential games, in the light of the viscosity solution theory.
We take into account a singularly perturbed control systems (i.e. a system where the state variables evolve with two different time scales), both in the deterministic and in the stochastic setting, and the related first and second order Hamilton-Jacobi equations. A first part of the work is devoted to order reduction procedures: the goal of such procedures is to obtain, as the perturbation parameter tends to zero, a system where only the slow variables appear. The construction of the limit dynamics relies on the asymptotic behavior of the fast variables of the original system.
We use limiting relaxed controls, i.e. suitably defined Radon probability measures to average the fast part of the controlled dynamics. We give - both in the deterministic and in the stochastic framework - representation formulae for the effective Hamiltonian in terms of limiting relaxed controls. This allow a control interpretation of the limiting dynamics. As an application of these reduction procedures, we study the propagation of fronts moving with normal velocity depending on the position and undergoing fast oscillations.
In the second part of the work we study asymptotic controllability properties of a deterministic singularly perturbed systems and of the limit system. We prove first that, under suitable assumptions, the weak lower semilimit of Lyapunov functions of a singularly perturbed system is a lower semicontinuous Lyapunov function for the limiting system.
Furthermore, we also prove that the asymptotic controllability to the origin of the (smaller) limit system is enough to infer asymptotic controllability of the slow part of the (larger) perturbed system. More precisely, perturbing a Lyapunov pair for the limit dynamics, we construct a Lyapunov pair for the original system.
The third and last part of the thesis concerns homogenization of non-coercive Hamilton-Jacobi equations with oscillating Hamiltonian and initial data. We take into account a rather general class of Hamiltonians convex in some gradient variables and concave with respect to the others. In particular it is shown that for some of these equations homogenization does not take place, in contrast with the usual coercive case. Sufficient conditions for homogenization are provided involving the structure of the running cost and the initial data.
30
von, Schwerin Erik. "Convergence rates of adaptive algorithms for stochastic and partial differential equations". Licentiate thesis, KTH, Numerical Analysis and Computer Science, NADA, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-302.
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31
Schwerin, Erik von. "Convergence rates of adaptive algorithms for stochastic and partial differential equations /". Stockholm, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-302.
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32
Leonhard, Claudine [Verfasser]. "Derivative-free numerical schemes for stochastic partial differential equations / Claudine Leonhard". Lübeck : Zentrale Hochschulbibliothek Lübeck, 2017. http://d-nb.info/1135168091/34.
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33
Neuß, Marius [Verfasser]. "Stochastic partial differential equations arising in self-organized criticality / Marius Neuß". Bielefeld : Universitätsbibliothek Bielefeld, 2021. http://d-nb.info/1231994762/34.
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34
Luo, Wuan Hou Thomas Y. "Wiener chaos expansion and numerical solutions of stochastic partial differential equations /". Diss., Pasadena, Calif. : Caltech, 2006. http://resolver.caltech.edu/CaltechETD:etd-05182006-173710.
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35
Cartwright, Madeleine Clare. "Collective coordinates approach for travelling waves in stochastic partial differential equations". Thesis, The University of Sydney, 2021. https://hdl.handle.net/2123/25942.
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We propose a formal framework based on collective coordinates to reduce infinite-dimensional stochastic partial differential equations (SPDEs) with symmetry to a set of finite-dimensional stochastic differential equations which describe the shape of the solution and the dynamics along the symmetry group. We study dissipative and non-dissipative SPDEs that support travelling wave solutions. We find that the collective coordinate approach provides a remarkably good quantitative description of the shape and the position of the travelling wave. We corroborate our analytical results with numerical simulations of the full SPDEs.
36
Yang, Juan. "Invariant measures for stochastic partial differential equations and splitting-up method for stochastic flows". Thesis, University of Manchester, 2012. https://www.research.manchester.ac.uk/portal/en/theses/invariant-measures-for-stochastic-partial-differential-equations-and-splittingup-method-for-stochastic-flows(36b3d40a-5094-4364-8732-12324ef3a72f).html.
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This thesis consists of two parts. We start with some background theory that will be used throughout the thesis. Then, in the first part, we investigate the existence and uniqueness of the solution of the stochastic partial differential equation with two reflecting walls. Then we establish the existence and uniqueness of invariant measure of this equation under some reasonable conditions. In the second part, we study the splitting-up method for approximating the solu- tions of stochastic Stokes equations using resolvent method.
37
Wang, Xince. "Quasilinear PDEs and forward-backward stochastic differential equations". Thesis, Loughborough University, 2015. https://dspace.lboro.ac.uk/2134/17383.
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In this thesis, first we study the unique classical solution of quasi-linear second order parabolic partial differential equations (PDEs). For this, we study the existence and uniqueness of the $L^2_{\rho}( \mathbb{R}^{d}; \mathbb{R}^{d}) \otimes L^2_{\rho}( \mathbb{R}^{d}; \mathbb{R}^{k})\otimes L^2_{\rho}( \mathbb{R}^{d}; \mathbb{R}^{k\times d})$ valued solution of forward backward stochastic differential equations (FBSDEs) with finite horizon, the regularity property of the solution of FBSDEs and the connection between the solution of FBSDEs and the solution of quasi-linear parabolic PDEs. Then we establish their connection in the Sobolev weak sense, in order to give the weak solution of the quasi-linear parabolic PDEs. Finally, we study the unique weak solution of quasi-linear second order elliptic PDEs through the stationary solution of the FBSDEs with infinite horizon.
38
Jin, Chao. "Parallel domain decomposition methods for stochastic partial differential equations and analysis of nonlinear integral equations". Connect to online resource, 2007. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3256468.
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39
Philipowski, Robert. "Stochastic interacting particle systems and nonlinear partial differential equations from fluid mechanics". [S.l.] : [s.n.], 2007. http://deposit.ddb.de/cgi-bin/dokserv?idn=986005622.
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40
von, Schwerin Erik. "Adaptivity for Stochastic and Partial Differential Equations with Applications to Phase Transformations". Doctoral thesis, KTH, Numerisk Analys och Datalogi, NADA, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-4477.
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his work is concentrated on efforts to efficiently compute properties of systems, modelled by differential equations, involving multiple scales. Goal oriented adaptivity is the common approach to all the treated problems. Here the goal of a numerical computation is to approximate a functional of the solution to the differential equation and the numerical method is adapted to this task. The thesis consists of four papers. The first three papers concern the convergence of adaptive algorithms for numerical solution of differential equations; based on a posteriori expansions of global errors in the sought functional, the discretisations used in a numerical solution of the differential equiation are adaptively refined. The fourth paper uses expansion of the adaptive modelling error to compute a stochastic differential equation for a phase-field by coarse-graining molecular dynamics. An adaptive algorithm aims to minimise the number of degrees of freedom to make the error in the functional less than a given tolerance. The number of degrees of freedom provides the convergence rate of the adaptive algorithm as the tolerance tends to zero. Provided that the computational work is proportional to the degrees of freedom this gives an estimate of the efficiency of the algorithm. The first paper treats approximation of functionals of solutions to second order elliptic partial differential equations in bounded domains of ℝd, using isoparametric $d$-linear quadrilateral finite elements. For an adaptive algorithm, an error expansion with computable leading order term is derived %. and used in a computable error density, which is proved to converge uniformly as the mesh size tends to zero. For each element an error indicator is defined by the computed error density multiplying the local mesh size to the power of 2+d. The adaptive algorithm is based on successive subdivisions of elements, where it uses the error indicators. It is proved, using the uniform convergence of the error density, that the algorithm either reduces the maximal error indicator with a factor or stops; if it stops, then the error is asymptotically bounded by the tolerance using the optimal number of elements for an adaptive isotropic mesh, up to a problem independent factor. Here the optimal number of elements is proportional to the d/2 power of the Ldd+2 quasi-norm of the error density, whereas a uniform mesh requires a number of elements proportional to the d/2 power of the larger L1 norm of the same error density to obtain the same accuracy. For problems with multiple scales, in particular, these convergence rates may differ much, even though the convergence order may be the same. The second paper presents an adaptive algorithm for Monte Carlo Euler approximation of the expected value E[g(X(τ),\τ)] of a given function g depending on the solution X of an \Ito\ stochastic differential equation and on the first exit time τ from a given domain. An error expansion with computable leading order term for the approximation of E[g(X(T))] with a fixed final time T>0 was given in~[Szepessy, Tempone, and Zouraris, Comm. Pure and Appl. Math., 54, 1169-1214, 2001]. This error expansion is now extended to the case with stopped diffusion. In the extension conditional probabilities are used to estimate the first exit time error, and difference quotients are used to approximate the initial data of the dual solutions. For the stopped diffusion problem the time discretisation error is of order N-1/2 for a method with N uniform time steps. Numerical results show that the adaptive algorithm improves the time discretisation error to the order N-1, with N adaptive time steps. The third paper gives an overview of the application of the adaptive algorithm in the first two papers to ordinary, stochastic, and partial differential equation. The fourth paper investigates the possibility of computing some of the model functions in an Allen--Cahn type phase-field equation from a microscale model, where the material is described by stochastic, Smoluchowski, molecular dynamics. A local average of contributions to the potential energy in the micro model is used to determine the local phase, and a stochastic phase-field model is computed by coarse-graining the molecular dynamics. Molecular dynamics simulations on a two phase system at the melting point are used to compute a double-well reaction term in the Allen--Cahn equation and a diffusion matrix describing the noise in the coarse-grained phase-field.QC 20100823
41
Schwerin, Erik von. "Adaptivity for stochastic and partial differential equations with applications to phase transformations /". Stockholm : Numerisk analys och datalogi, Kungliga Tekniska högskolan, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-4477.
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42
Wieland, Bernhard [Verfasser]. "Reduced basis methods for partial differential equations with stochastic influences / Bernhard Wieland". Ulm : Universität Ulm. Fakultät für Mathematik und Wirtschaftswissenschaften, 2013. http://d-nb.info/1038004780/34.
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43
Sturm, Anja Karin. "On spatially structured population processes and relations to stochastic partial differential equations". Thesis, University of Oxford, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.249618.
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44
Stanciulescu, Vasile Nicolae. "Selected topics in Dirichlet problems for linear parabolic stochastic partial differential equations". Thesis, University of Leicester, 2010. http://hdl.handle.net/2381/8271.
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This thesis is devoted to the study of Dirichlet problems for some linear parabolic SPDEs. Our aim in it is twofold. First, we consider SPDEs with deterministic coefficients which are smooth up to some order of regularity. We establish some theoretical results in terms of existence, uniqueness and regularity of the classical solution to the considered problem. Then, we provide the probabilistic representations (the averaging-over-characteristic formulas of its solution. We, thereafter, construct numerical methods for it. The methods are based on the averaging-over-characteristic formula and the weak-sense numerical integration of ordinary stochastic differential equations in bounded domains. Their orders of convergence in the mean-square sense and in the sense of almost sure convergence are obtained. The Monte Carlo technique is used for practical realization of the methods. Results of some numerical experiments are presented. These results are in agreement with the theoretical findings. Second, we construct the solution of a class of one dimensional stochastic linear heat equations with drift in the first Wiener chaos, deterministic initial condition and which are driven by a space-time white noise and the white noise. This is done by giving explicitly its Wiener chaos decomposition. We also prove its uniqueness in the weak sense. Then we use the chaos expansion in order to show that the unique weak solution is an analytic functional with finite moments of all orders. The chaos decomposition is also utilized as a very useful tool for obtaining a continuity property of the solution.
45
Yeadon, Cyrus. "Approximating solutions of backward doubly stochastic differential equations with measurable coefficients using a time discretization scheme". Thesis, Loughborough University, 2015. https://dspace.lboro.ac.uk/2134/20643.
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It has been shown that backward doubly stochastic differential equations (BDSDEs) provide a probabilistic representation for a certain class of nonlinear parabolic stochastic partial differential equations (SPDEs). It has also been shown that the solution of a BDSDE with Lipschitz coefficients can be approximated by first discretizing time and then calculating a sequence of conditional expectations. Given fixed points in time and space, this approximation has been shown to converge in mean square. In this thesis, we investigate the approximation of solutions of BDSDEs with coefficients that are measurable in time and space using a time discretization scheme with a view towards applications to SPDEs. To achieve this, we require the underlying forward diffusion to have smooth coefficients and we consider convergence in a norm which includes a weighted spatial integral. This combination of smoother forward coefficients and weaker norm allows the use of an equivalence of norms result which is key to our approach. We additionally take a brief look at the approximation of solutions of a class of infinite horizon BDSDEs with a view towards approximating stationary solutions of SPDEs. Whilst we remain agnostic with regards to the implementation of our discretization scheme, our scheme should be amenable to a Monte Carlo simulation based approach. If this is the case, we propose that in addition to being attractive from a performance perspective in higher dimensions, such an approach has a potential advantage when considering measurable coefficients. Specifically, since we only discretize time and effectively rely on simulations of the underlying forward diffusion to explore space, we are potentially less vulnerable to systematically overestimating or underestimating the effects of coefficients with spatial discontinuities than alternative approaches such as finite difference or finite element schemes that do discretize space. Another advantage of the BDSDE approach is that it is possible to derive an upper bound on the error of our method for a fairly broad class of conditions in a single analysis. Furthermore, our conditions seem more general in some respects than is typically considered in the SPDE literature.
46
Leahy, James-Michael. "On parabolic stochastic integro-differential equations : existence, regularity and numerics". Thesis, University of Edinburgh, 2015. http://hdl.handle.net/1842/10569.
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In this thesis, we study the existence, uniqueness, and regularity of systems of degenerate linear stochastic integro-differential equations (SIDEs) of parabolic type with adapted coefficients in the whole space. We also investigate explicit and implicit finite difference schemes for SIDEs with non-degenerate diffusion. The class of equations we consider arise in non-linear filtering of semimartingales with jumps. In Chapter 2, we derive moment estimates and a strong limit theorem for space inverses of stochastic flows generated by Lévy driven stochastic differential equations (SDEs) with adapted coefficients in weighted Hölder norms using the Sobolev embedding theorem and the change of variable formula. As an application of some basic properties of flows of Weiner driven SDEs, we prove the existence and uniqueness of classical solutions of linear parabolic second order stochastic partial differential equations (SPDEs) by partitioning the time interval and passing to the limit. The methods we use allow us to improve on previously known results in the continuous case and to derive new ones in the jump case. Chapter 3 is dedicated to the proof of existence and uniqueness of classical solutions of degenerate SIDEs using the method of stochastic characteristics. More precisely, we use Feynman-Kac transformations, conditioning, and the interlacing of space inverses of stochastic flows generated by SDEs with jumps to construct solutions. In Chapter 4, we prove the existence and uniqueness of solutions of degenerate linear stochastic evolution equations driven by jump processes in a Hilbert scale using the variational framework of stochastic evolution equations and the method of vanishing viscosity. As an application, we establish the existence and uniqueness of solutions of degenerate linear stochastic integro-differential equations in the L2-Sobolev scale. Finite difference schemes for non-degenerate SIDEs are considered in Chapter 5. Specifically, we study the rate of convergence of an explicit and an implicit-explicit finite difference scheme for linear SIDEs and show that the rate is of order one in space and order one-half in time.
47
Yang, Weiye. "Stochastic analysis and stochastic PDEs on fractals". Thesis, University of Oxford, 2018. http://ora.ox.ac.uk/objects/uuid:43a7af74-c531-424a-9f3d-4277138affbb.
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Stochastic analysis on fractals is, as one might expect, a subfield of analysis on fractals. An intuitive starting point is to observe that on many fractals, one can define diffusion processes whose law is in some sense invariant with respect to the symmetries and self-similarities of the fractal. These can be interpreted as fractal-valued counterparts of standard Brownian motion on Rd. One can study these diffusions directly, for example by computing heat kernel and hitting time estimates. On the other hand, by associating the infinitesimal generator of the fractal-valued diffusion with the Laplacian on Rd, it is possible to pose stochastic partial differential equations on the fractal such as the stochastic heat equation and stochastic wave equation. In this thesis we investigate a variety of questions concerning the properties of diffusions on fractals and the parabolic and hyperbolic SPDEs associated with them. Key results include an extension of Kolmogorov's continuity theorem to stochastic processes indexed by fractals, and existence and uniqueness of solutions to parabolic SPDEs on fractals with Lipschitz data.
48
Yang, Jie. "Solving Partial Differential Equations by Taylor Meshless Method". Thesis, Université de Lorraine, 2018. http://www.theses.fr/2018LORR0032/document.
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Le but de cette thèse est de développer une méthode numérique simple, robuste, efficace et précise pour résoudre des problèmes d'ingénierie de grande taille à partir de la méthode Taylor Meshless (TMM) et fournir de nouvelles idées principales de TMM est d'utiliser comme fonctions de forme des polynômes d'ordre élevé qui sont des solutions approchées de l'EDP. Ainsi la discrétisation ne concerne que la frontière. Les coefficients de ces fonctions de forme sont obtenus en discrétisant les conditions aux limites par des procédures de collocation associées à la méthode des moindres carrés. TMM est alors une véritable méthode sans maillage sans processus d'intégration, les conditions aux limites étant obtenues par collocation. Les principales contributions de cette thèse sont les suivantes: 1) Basé sur TMM, un algorithme général et efficace a été développé pour résoudre des EDP elliptiques tridimensionnelles; 2) Trois techniques de couplage pour des résolutions par morceaux ont été discutées dans des cas de problèmes à grande échelle: la méthode de collocation par les moindres carrés et deux méthodes de couplage basées sur les multiplicateurs de Lagrange; 3) Une méthode numérique générale pour résoudre les EDP non-linéaires a été proposée en combinant la méthode de Newton, la TMM et la technique de différentiation automatique. 4) Pour résoudre des problèmes avec un bord non régulier, des solutions singulières satisfaisant l'équation de contrôle sont introduites comme des fonctions de forme complémentaires, ce qui fournit une base théorique pour la résolution de problèmes singuliersBased on Taylor Meshless Method (TMM), the aim of this thesis is to develop a simple, robust, efficient and accurate numerical method which is capable of solving large scale engineering problems and to provide a new idea for the follow-up study on meshless methods. To this end, the influence of the key factors in TMM has been studied by solving three-dimensional and non-linear Partial Differential Equations (PDEs). The main idea of TMM is to use high order polynomials as shape functions which are approximated solutions of the PDE and the discretization concerns only the boundary. To solve the unknown coefficients, boundary conditions are accounted by collocation procedures associated with least-square method. TMM that needs only boundary collocation without integration process, is a true meshless method. The main contributions of this thesis are as following: 1) Based on TMM, a general and efficient algorithm has been developed for solving three-dimensional PDEs; 2) Three coupling techniques in piecewise resolutions have been discussed and tested in cases of large-scale problems, including least-square collocation method and two coupling methods based on Lagrange multipliers; 3) A general numerical method for solving non-linear PDEs has been proposed by combining Newton Method, TMM and Automatic Differentiation technique; 4) To apply TMM for solving problems with singularities, the singular solutions satisfying the control equation are introduced as complementary shape functions, which provides a theoretical basis for solving singular problems
49
Ali, Zakaria Idriss. "Existence result for a class of stochastic quasilinear partial differential equations with non-standard growth". Diss., University of Pretoria, 2010. http://hdl.handle.net/2263/29519.
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In this dissertation, we investigate a very interesting class of quasi-linear stochastic partial differential equations. The main purpose of this article is to prove an existence result for such type of stochastic differential equations with non-standard growth conditions. The main difficulty in the present problem is that the existence cannot be easily retrieved from the well known results under Lipschitz type of growth conditions [42].Dissertation (MSc)--University of Pretoria, 2010.
Mathematics and Applied Mathematics
unrestricted
50
Soomro, Inayatullah. "Mathematical and computational modelling of stochastic partial differential equations applied to advanced methods". Thesis, University of Central Lancashire, 2016. http://clok.uclan.ac.uk/20422/.
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Mathematical modelling and simulations were carried to study diblock copolymer system confined in circular annular pores, cylindrical pores and spherical pores using Cell Dynamics simulation (CDS) method employed in physically motivated discretization. The lamella, cylindrical and spherical forming systems were studied in the neutral surfaces and the wetting surfaces. To employ CDS method in polar, cylindrical and spherical coordinates, the Laplacian operators were discretized and isotropised in polar, cylindrical and spherical coordinate systems.