Absolute and Convective Instability for Evolution PDEs on the Half-Line

We analyze evolution PDEs exhibiting absolute (temporal) as well as convective (spatial) instability. Let  ω( k )  be the associated symbol, i.e., let  exp[ ikx −ω( k ) t ]  be a solution of the PDE. We first study the problem on the infinite line with an arbitrary initial condition   q ₀( x )  , where   q ₀( x )  decays as  | x | → ∞  . By making use of a certain transformation in the complex k -plane, which leaves  ω( k )  invariant, we show that this problem can be analyzed in an elementary manner. We then study the problem on the half-line, a problem physically more realistic but mathematically more difficult. By making use of the above transformation, as well as by employing a general method recently introduced for the solution of initial-boundary value problems, we show that this problem can also be analyzed in a straightforward manner. The analysis is presented for a general PDE and is illustrated for two physically significant evolution PDEs with spatial derivatives up to second order and up to fourth order, respectively. The second-order equation is a linearized Ginzburg–Landau equation arising in Rayleigh–Bénard convection and in the stability of plane Poiseuille flow, while the fourth-order equation is a linearized Kuramoto–Sivashinsky equation, which includes dispersion and which models among other applications, interfacial phenomena in multifluid flows.     

Estimation of 1-dimensional nonlinear stochastic differential equations based on higher-order partial differential equation numerical scheme and its application

A method based on higher-order partial differential equation (PDE) numerical scheme are proposed to obtain the transition cumulative distribution function (CDF) of the diffusion process (numerical differentiation of the transition CDF follows the transition probability density function (PDF)), where a transformation is applied to the Kolmogorov PDEs first, then a new type of PDEs with step function initial conditions and 0, 1 boundary conditions can be obtained. The new PDEs are solved by a fourth-order compact difference scheme and a compact difference scheme with extrapolation algorithm. After extrapolation, the compact difference scheme is extended to a scheme with sixth-order accuracy in space, where the convergence is proved. The results of the numerical tests show that the CDF approach based on the compact difference scheme to be more accurate than the other estimation methods considered; however, the CDF approach is not time-consuming. Moreover, the CDF approach is used to fit monthly data of the Federal funds rate between 1983 and 2000 by CKLS model.     

Multitime dynamic programming for multiple integral actions

This paper introduces a new type of dynamic programming PDE for optimal control problems with performance criteria involving multiple integrals. The main novel feature of the multitime dynamic programming PDE, relative to the standard Hamilton-Jacobi-Bellman PDE, is that it is connected to the multitime maximum principle and is of divergence type. Introducing a generating vector field for the maximum value function, we present an interesting and useful connection between the multitime maximum principle and the multitime dynamic programming, characterizing the optimal control by means of a multitime Hamilton-Jacobi-Bellman (divergence) PDE that may be viewed as a feedback law. Section 1 recalls the multitime maximum principle. Section 2 shows how a multitime control dynamics determines the multitime Hamilton-Jacobi-Bellman PDE via a generating vector field of the value function. Section 3 gives an example of two-time dynamics with nine velocities proving that our theory works well. Section 4 shows that the Hamilton PDEs are characteristic PDEs of multitime Hamilton-Jacobi PDE and that the costates in the multitime maximum principle are in fact gradients of the components of the generating vector field.     

Iterated Stochastic Processes: Simulation and Relationship with High Order Partial Differential Equations

In this paper, we consider the composition of two independent processes: one process corresponds to position and the other one to time. Such processes will be called iterated processes. We first propose an algorithm based on the Euler scheme to simulate the trajectories of the corresponding iterated processes on a fixed time interval. This algorithm is natural and can be implemented easily. We show that it converges almost surely, uniformly in time, with a rate of convergence of order 1/4 and propose an estimation of the error. We then extend the well known Feynman-Kac formula which gives a probabilistic representation of partial differential equations (PDEs), to its higher order version using iterated processes. In particular we consider general position processes which are not necessarily Markovian or are indexed by the real line but real valued. We also weaken some assumptions from previous works. We show that intertwining diffusions are related to transformations of high order PDEs. Combining our numerical scheme with the Feynman-Kac formula, we simulate functionals of the trajectories and solutions to fourth order PDEs that are naturally associated to a general class of iterated processes.     

Reflected BSDEs with nonpositive jumps,and controller-and-stopper games

We study a class of reflected backward stochastic differential equations with nonpositive jumps and upper barrier. Existence and uniqueness of a minimal solution are proved by a double penalization approach under regularity assumptions on the obstacle. In a suitable regime switching diffusion framework, we show the connection between our class of BSDEs and fully nonlinear variational inequalities. Our BSDE representation provides in particular a Feynman–Kac type formula for PDEs associated to general zero-sum stochastic differential controller-and-stopper games, where control affects both drift and diffusion term, and the diffusion coefficient can be degenerate. Moreover, we state a dual game formula of this BSDE minimal solution involving equivalent change of probability measures, and discount processes. This gives in particular a new representation for zero-sum stochastic differential controller-and-stopper games.     

Optimized mean based second derivative-free families of Chebyshev–Halley type methods

In this paper, we present new interesting fourth-order optimal families of Chebyshev–Halley type methods free from second-order derivative. In terms of computational cost, eachmember of the families requires two functions and one first-order derivative evaluation per iteration, so that their efficiency indices are 1.587. It is found by way of illustration that the proposed methods are useful in high-precision computing environment. Moreover, it is also observed that larger basins of attraction belong to ourmethods although the othersmethods are slow and have darker basins while some of the methods are too sensitive upon the choice of the initial guess.     

PDE triangular Bézier surfaces: Harmonic, biharmonic and isotropic surfaces

We approach surface design by solving second-order and fourth-order Partial Differential Equations (PDEs). We present many methods for designing triangular Bézier PDE surfaces given different sets of prescribed control points and including the special cases of harmonic and biharmonic surfaces. Moreover, we introduce and study a second-order and a fourth-order symmetric operator to overcome the anisotropy drawback of the harmonic and biharmonic operators over triangular Bézier surfaces.     

Ibragimov-type invariants for a system of two linear parabolic equations

We obtain new semi-invariants for a system of two linear parabolic type partial differential equations (PDEs) in two independent variables under equivalence transformations of the dependent variables only. This is achieved for a class of systems of two linear parabolic type PDEs that correspond to a scalar complex linear (1 + 1) parabolic equation. The complex transformations of the dependent variables which map the complex scalar linear parabolic PDE to itself provide us with real transformations that map the corresponding system of linear parabolic type PDEs to itself with different coefficients in general. The semi-invariants deduced for this class of systems of two linear parabolic type equations correspond to the complex Ibragimov invariants of the complex scalar linear parabolic equation. We also look at particular cases of the system of parabolic type equations when they are uncoupled or coupled in a special manner. Moreover, we address the inverse problem of when systems of linear parabolic type equations arise from analytic continuation of a scalar linear parabolic PDE. Examples are given to illustrate the method implemented.     

On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case

We prove a result of existence and uniqueness of solutions to forward–backward stochastic differential equations, with non-degeneracy of the diffusion matrix and boundedness of the coefficients as functions of x as main assumptions.This result is proved in two steps. The first part studies the problem of existence and uniqueness over a small enough time duration, whereas the second one explains, by using the connection with quasi-linear parabolic system of PDEs, how we can deduce, from this local result, the existence and uniqueness of a solution over an arbitrarily prescribed time duration. Improving this method, we obtain a result of existence and uniqueness of classical solutions to non-degenerate quasi-linear parabolic systems of PDEs.This approach relaxes the regularity assumptions required on the coefficients by the Four-Step scheme.     

Stopping for two-dimensional stochastic processes

The aim of this paper is to introduce some techniques that can be used in the study of stochastic processes which have as parameter set the positive quadrant of the plane R²₊. We define stopping lines and derive an interesting property of measurability for them. The notion of predictability is developed, and we show the connection between predictable processes, fields associated with stopping lines, and predictable stopping lines. We also give a theorem of section for predictable sets. Extension to processes indexed by any partially ordered set with some regularity assumptions can be carried out quite easily with the same techniques.     

Domain of Attraction of the Quasi-Stationary Distribution for the Linear Birth and Death Process with Killing

The model of linear birth and death processes with killing has been studied by Karlin and Tavar (1982). This paper is concerned with three problems in connection with quasi-stationary distributions (QSDs) for linear birth-death process  with killing on a semi-infinite lattice of integers. The first problem is to determine the decay parameter  of . We have  where , ,  are the birth, death and killing rates in state , respectively. The second one is to prove the uniqueness of the QSD which is a geometric distribution. It is interesting to find that the unkilled process has a one-parameter family of QSDs while the killed process has precisely one QSD. The last one is to solve the domain of attraction problem, that is, we obtain that any initial distribution is in the domain of attraction of the unique QSD for . Our study is motivated by the population genetics problem.     

A deterministic‐control‐based approach to fully nonlinear parabolic and elliptic equations

We show that a broad class of fully nonlinear, second‐order parabolic or elliptic PDEs can be realized as the Hamilton‐Jacobi‐Bellman equations of deterministic two‐person games. More precisely: given the PDE, we identify a deterministic, discrete‐time, two‐person game whose value function converges in the continuous‐time limit to the viscosity solution of the desired equation. Our game is, roughly speaking, a deterministic analogue of the stochastic representation recently introduced by Cheridito, Soner, Touzi, and Victoir. In the parabolic setting with no u‐dependence, it amounts to a semidiscrete numerical scheme whose timestep is a min‐max. Our result is interesting, because the usual control‐based interpretations of second‐order PDEs involve stochastic rather than deterministic control. © 2009 Wiley Periodicals, Inc.     

Constructions for retransmission permutation arrays

Li et al. (Retransmission ≠ repeat: simple retransmission permutation can resolve overlapping channel collisions, 2009) introduced a technique for resolving overlapping channel transmissions that used an interesting new type of combinatorial structure. In connection with this problem, they provided an example of a 4 × 4 array having certain desirable properties. We define a class of combinatorial structures, which we term retrans mission permutation arrays, that generalise the example that Li et?al. provided. We show that these arrays exist for all possible orders. We also define some extensions having additional properties, for which we provide some partial results.     

An ADMM algorithm for second-order TV-based MR image reconstruction

In this paper, we propose a new model for MR image reconstruction based on second order total variation ( \(\text {TV}^{2}\) ) regularization and wavelet, which can be considered as requiring the image to be sparse in both the spatial finite differences and wavelet transforms. Furthermore, by applying the variable splitting technique twice, augmented Lagrangian method and the Barzilai-Borwein step size selection scheme, an ADMM algorithm is designed to solve the proposed model. It reduces the reconstruction problem to several unconstrained minimization subproblems, which can be solved by shrinking operators and alternating minimization algorithms. The proposed algorithm needs not to solve a fourth-order PDE but to solve several second-order PDEs so as to improve calculation efficiency. Numerical results demonstrate the effectiveness of the presented algorithm and illustrate that the proposed model outperforms some reconstruction models in the quality of reconstructed images.     

A Kato-Yau inequality and decay estimate for eigenspinors

We show that harmonic spinors obey a strengthened version of the well-known pointwise Kato inequality for sections of a vector bundle with a connection. We then give two different proofs an interesting decay estimate for harmonic spinors, one using our Kato-Yau estimate and resulting differential inequality, and a second using known eigenvalue calculations for the Dirac operator on the three-sphere. As an example of the use of these estimates, we also describe some new applications to the problems of gluing and ungluing PU(2) monopoles.     

On the occurrence of the sine kernel in connection with the shifted moments of the Riemann zeta function

We point out an interesting occurrence of the sine kernel in connection with the shifted moments of the Riemann zeta function along the critical line. We discuss rigorous results in this direction for the shifted second moment and for the shifted fourth moment. Furthermore, we conjecture that the sine kernel also occurs in connection with the higher (even) shifted moments and show that this conjecture is closely related to a recent conjecture by Conrey, Farmer, Keating, Rubinstein, and Snaith (2003, 2005) [CFKRS1] and [CFKRS2].     

Multitime Dynamic Programming for Curvilinear Integral Actions

This paper justifies dynamic programming PDEs for optimal control problems with performance criteria involving curvilinear integrals. The main novel feature, relative to the known theory, is that the multitime dynamic programming PDEs are now connected to the multitime maximum principle. For the first time, an interesting and useful connection between the multitime maximum principle and the multitime dynamic programming is given, characterizing the optimal control by means of a PDE system that may be viewed as a multitime feedback law.     

Numerical pricing of options using high-order compact finite difference schemes

We consider high-order compact (HOC) schemes for quasilinear parabolic partial differential equations to discretise the Black–Scholes PDE for the numerical pricing of European and American options. We show that for the heat equation with smooth initial conditions, the HOC schemes attain clear fourth-order convergence but fail if non-smooth payoff conditions are used. To restore the fourth-order convergence, we use a grid stretching that concentrates grid nodes at the strike price for European options. For an American option, an efficient procedure is also described to compute the option price, Greeks and the optimal exercise curve. Comparisons with a fourth-order non-compact scheme are also done. However, fourth-order convergence is not experienced with this strategy. To improve the convergence rate for American options, we discuss the use of a front-fixing transformation with the HOC scheme. We also show that the HOC scheme with grid stretching along the asset price dimension gives accurate numerical solutions for European options under stochastic volatility.     

Adaptive cell-centered finite volume method for diffusion equations on a consistent quadtree grid

Models applied in image processing are often described by nonlinear PDEs in which a good approximation of gradient plays an important role especially in such cases where irregular finite volume grids are used. In image processing, such a situation can occur during a coarsening based on quadtree grids. We present a construction of a deformed quadtree grid in which the connection of representative points of two adjacent finite volumes is perpendicular to their common boundary enabling us to apply the classical finite volume methods. On the other hand, for such an adjusted grid, the intersection of representative points connection with a finite volume boundary is not a middle point of their common edge and standard methods cannot achieve a good accuracy. In this paper we present a new cell-centered finite volume method to evaluate solution gradients, which results into a solution of a simple linear algebraic system and we prove its unique solvability. Finally we present numerical experiments for the regularized Perona-Malik model in which we applied this new method.     

New solutions of the 2 + 1 dimensional BKP equation through symmetry analysis: source and sink solutions, creation and diffusion of breathers…

Making use of the theory of symmetry transformations in PDEs we construct new solutions of a 2 + 1 dimensional integrable model in the BKP hierarchy.

First, we analyze its reductions and we obtain a BKP equation independent on time. Starting with a solution of this equation we find a family of solutions of the 2 + 1 dimensional BKP equation. These solutions depend on three arbitrary functions on t.

On the other hand, new solutions can also be constructed by applying some elements of the symmetry group to known solutions of the model.

We observed that the solutions found by using both approaches describe interesting processes. Among these solutions we present source and sink solutions, solutions describing the creation or the diffusion (or both) of a breather, finite time blow-up processes, finite time source solutions, line solitons and coherent structures moving at arbitrary velocities.