This article investigates the exceptional set of the boundary for the following problem: \begin{equation*} \begin{aligned} -\frac{\partial u}{\partial t} + \mathcal{M}_{λ,Λ}^+(D^2u) + b(x,t)\cdot Du + c(x,t)u =0 \quad \rm{in} ~ Ω_{T}, \end{aligned} \end{equation*} We provide a sufficient condition on the exceptional set in terms of the bound of the Hausdorff measure of this boundary portion. This condition ensures that even if the boundary values are not nonnegative on this portion, the supersolution remains nonnegative.
We present an abstract framework for treating the theory of well-posedness of solutions to abstract parabolic partial differential equations on evolving Hilbert spaces. This theory is applicable to variational formulations of PDEs on evolving spatial domains including moving hypersurfaces. We formulate an appropriate time derivative on evolving spaces called the material derivative and define a weak material derivative in analogy with the usual time derivative in fixed domain problems; our setting is abstract and not restricted to evolving domains or surfaces. Then we show well-posedness to a …
We consider solutions of a quasi-linear parabolic PDE with zero oblique boundary data in a bounded domain. Our main result states that the solutions can be approximated by solutions of a PDE in the whole space with a penalizing drift term. The convergence is locally uniform and optimal error estimates are obtained.
We provide a representation formula for viscosity solutions to a class of nonlinear second order parabolic PDEs given as a sup--envelope function. This is done through a dynamic programming principle derived from Denis, Hu, Peng (2010). The formula can be seen as a nonlinear extension of the Feynman--Kac formula and is based on the backward stochastic differential equations theory.
In this paper, we introduce a weak maximum principle-based approach to input-to-state stability (ISS) analysis for certain nonlinear partial differential equations (PDEs) with boundary disturbances. Based on the weak maximum principle, a classical result on the maximum estimate of solutions to linear parabolic PDEs has been extended, which enables the ISS analysis for certain {}{nonlinear} parabolic PDEs with boundary disturbances. To illustrate the application of this method, we establish ISS estimates for a linear reaction-diffusion PDE and a generalized Ginzburg-Landau equation with {}{mixe…
In this work we consider viscosity solutions to second order parabolic PDEs $u_{t}+F(t,x,u,du,d^{2}u)=0$ defined on compact Riemannian manifolds with boundary conditions. We prove comparison, uniqueness and existence results for the solutions. Under the assumption that the manifold $M$ has nonnegative sectional curvature, we get the finest results. If one additionally requires $F$ to depend on $d^{2}u$ in a uniformly continuous manner, the assumptions on curvature can be thrown away.
We study an expansion method for high-dimensional parabolic PDEs which constructs accurate approximate solutions by decomposition into solutions to lower-dimensional PDEs, and which is particularly effective if there are a low number of dominant principal components. The focus of the present article is the derivation of sharp error bounds for the constant coefficient case and a first and second order approximation. We give a precise characterisation when these bounds hold for (non-smooth) option pricing applications and provide numerical results demonstrating that the practically observed conv…
In this paper, we present output feedback boundary stabilization for a class of semilinear parabolic PDEs with a boundary measurement and an actuation located at the same place. The method uses backstepping transformations, where the state and error systems are proved to be locally exponentially stable in the $\mathbb{H}^4$ norm. The stability of the transformed systems are obtained by constructing a strict Lyapunov function. A numerical example using the FitzHugh-Nagumo equation shows the proposed control law stabilizes the system into its equilibrium solution.
We provide a representation formula for viscosity solutions to a class of nonlinear second order parabolic PDE problem involving sublinear operators. This is done through a dynamic programming principle derived from [8]. The formula can be seen as a nonlinear extension of the Feynman--Kac formula and is based on the backward stochastic differential equations theory.
We study the Cauchy problem for fully nonlinear (stochastic) parabolic partial differential equations. We provide both in deterministic and stochastic case the existence of a maximal defined solution for the problem and we provide suitable blow-up criterion. The key idea is the use of the paradifferential operator calculus in order to reduce the fully nonlinear problem into an abstract quasilinear (stochastic) parabolic equation. This allows us to use some recent results on abstract quasilinear (stochastic) evolution equations in Banach spaces. To do so, we analyse the properties of the paradi…
This paper deals with the analysis of the internal control with constraint of positive kind of a parabolic PDE with nonlinear diffusion when the time horizon is large enough. The minimal controllability time will be strictly positive. We prove a global steady state constrained controllability result for a quasilinear parabolic with nonlinearity in the diffusion term. Then, under suitable dissipative assumption in the system and local controllability results, we conclude the result to any initial datum and any target trajectory.
We prove the existence of a fundamental solution of the Cauchy initial boundary value problem on the whole space for a parabolic partial differential equation with discontinuous unbounded first-order coefficient at the origin. We establish also non-asymptotic, rapidly decreasing at infinity, upper and lower estimates for the fundamental solution. We extend the classical parametrix method provided by E.E. Levi.
In this paper we present a weighted $L_p$-theory of second-order parabolic partial differential equations defined on $C^1$ domains. The leading coefficients are assumed to be measurable in time variable and have VMO (vanishing mean oscillation) or small BMO (bounded mean oscillation) with respect to space variables, and lower order coefficients are allowed to be unbounded and to blow up near the boundary. Our BMO condition is slightly relaxed than the others in the literature.
We provide a detailed proof of Proposition 3.1 in the paper titled ``Backstepping control of a class of space-time-varying linear parabolic PDEs via time invariant kernel functions''. In the paper titled ``Backstepping control of a class of space-time-varying linear parabolic PDEs via time invariant kernel functions'', we addressed the problem of exponential stabilization and continuous dependence of solutions on initial data in different norms for a class of $1$-D linear parabolic PDEs with space-time-varying coefficients under backstepping boundary control. In order to stabilize the system w…
We consider a second-order parabolic equation in $\bR^{d+1}$ with possibly unbounded lower order coefficients. All coefficients are assumed to be only measurable in the time variable and locally Hölder continuous in the space variables. We show that global Schauder estimates hold even in this case. The proof introduces a new localization procedure. Our results show that the constant appearing in the classical Schauder estimates is in fact independent of the $L_{\infty}$-norms of the lower order coefficients. We also give a proof of uniqueness which is of independent interest even in the case o…
In this manuscript we establish local Hölder regularity estimates for bounded solutions of a certain class of doubly degenerate evolution PDEs. By making use of intrinsic scaling techniques and geometric tangential methods, we derive sharp regularity estimates for such models, which depend only on universal and compatibility parameters of the problem. In such a scenario, our results are natural improvements for former ones in the context of nonlinear evolution PDEs with degenerate structure via a unified approach. As a consequence for our findings and approach, we address a Liouville type resu…
This paper is concerned with the regularity of solutions to linear and nonlinear evolution equations on nonsmooth domains. In particular, we study the smoothness in the specific scale $\ B^r_{τ,τ}, \ \frac{1}τ=\frac{r}{d}+\frac{1}{p}\ $ of Besov spaces. The regularity in these spaces determines the approximation order that can be achieved by adaptive and other nonlinear approximation schemes. We show that for all cases under consideration the Besov regularity is high enough to justify the use of adaptive algorithms.
We introduce a class of second order backward stochastic differential equations and show relations to fully non-linear parabolic PDEs. In particular, we provide a stochastic representation result for solutions of such PDEs and discuss Monte Carlo methods for their numerical treatment.
This paper addresses the input-to-state stability (ISS) and integral input-to-state stability (iISS) for a class of nonlinear higher dimensional parabolic partial differential equations (PDEs) with different types of boundary disturbances (Robin or Neumann or Dirichlet) from different spaces by means of approximations of Lyapunov functions. Specifically, by constructing approximations of (coercive and non-coercive) ISS Lyapunov functions we establish: (i) the ISS and iISS in $L^1$-norm (and weighted $L^1$-norm) for PDEs with boundary disturbances from $L^q_{loc}(\mathbb{R}_+;L^1(\partialΩ))$-s…
We prove existence and uniqueness of global-in-time solutions in the $W^{-1,p}_D$-$W^{1,p}_D$-setting for abstract quasilinear parabolic PDEs with nonsmooth data and mixed boundary conditions, including a nonlinear source term with at most linear growth. Subsequently, we use a bootstrapping argument to achieve improved regularity of these global-in-time solutions within the functional-analytic setting of the interpolation scale of Bessel-potential dual spaces $H^{θ-1,p}_D = [W^{-1,p}_D,L^p]_θ$ with $θ\in [0,1]$ for the abstract equation under suitable additional assumptions. This is done by me…
We consider parabolic partial differential equations of Lotka-Volterra type, with a non-local nonlinear term. This models, at the population level, the darwinian evolution of a population; the Laplace term represents mutations and the nonlinear birth/death term represents competition leading to selection. Once rescaled with a small diffusion, we prove that the solutions converge to a moving Dirac mass. The velocity and weights cannot be obtained by a simple expression, e.g., an ordinary differential equation. We show that they are given by a constrained Hamilton-Jacobi equation. This extends s…
An integral formula is given representing the generalized principal Lyapunov estimate for random linear parabolic PDEs. As an application, an upper estimate of the exponent is obtained.
We consider existence and uniqueness for several examples of linear parabolic equations formulated on moving hypersurfaces. Specifically, we study in turn a surface heat equation, an equation posed on a bulk domain, a novel coupled bulk-surface system and an equation with a dynamic boundary condition. In order to prove the well-posedness, we make use of an abstract framework presented in a recent work by the authors which dealt with the formulation and well-posedness of linear parabolic equations on arbitrary evolving Hilbert spaces. Here, after recalling all of the necessary concepts and theo…
We obtain an existence and uniqueness theorem for fully coupled forward-backward SDEs (FBSDEs) with jumps via the classical solution to the associated quasilinear parabolic partial integro-differential equation (PIDE), and provide the explicit form of the FBSDE solution. Moreover, we embed the associated PIDE into a suitable class of non-local quasilinear parabolic PDEs which allows us to extend the methodology of Ladyzhenskaya et al (1968) to non-local PDEs of this class. Namely, we obtain the existence and uniqueness of a classical solution to both the Cauchy problem and the initial-boundary…
We investigate quasilinear discrete PDEs $\partial_t u = Δ^N φ(u)+ Kf(u)$ of reaction-diffusion type with nonlinear diffusion term defined on an $n$-dimensional unit torus discretized with mesh size $\tfrac1N$ for $N\in {\mathbb N}$, where $Δ^N$ is the discrete Laplacian, $φ$ is a strictly increasing $C^5$ function and $f$ is a $C^1$ function. We establish $L^\infty$ bounds and space-time Hölder estimates, both uniform in $N$, of the first and second spatial discrete derivatives of the solutions. In the equation, $K>0$ is a large constant and we show how these estimates depend on $K$. The moti…
We provide a broad overview on qualitative versus quantitative regularity estimates in the theory of degenerate parabolic pdes. The former relates to DiBenedetto's revolutionary method of intrinsic scaling, while the latter is achieved by means of what has been termed geometric tangential analysis. We discuss, in particular, sharp estimates for the parabolic p-Poisson equation, for the porous medium equation and for the doubly nonlinear equation.
This paper presents a maximum principle-based approach in the establishment of input-to-state stability (ISS) for a class of nonlinear parabolic partial differential equations (PDEs) over higher dimensional domains with variable coefficients and different types of nonlinear boundary conditions. Technical development on ISS analysis of the considered systems is detailed, and an example of establishing ISS estimates for a nonlinear parabolic equation with, respectively, a nonlinear Robin boundary condition and a nonlinear Dirichlet boundary condition is provided to illustrate the application of …
It is shown that, for the bi-harmonic equation, an optimal regularity criterion of the vertex of typical paraboloids can be expressed in terms of Osgood-Dini integral conditions of Petrovskii's type for the heat equation derived in 1934. Some extensions of the first Fourier coefficent method to other PDEs are discussed. A survey on boundary point regularity for elliptic and parabolic PDEs is enclosed.
We prove a comparison result for viscosity solutions of (possibly degenerate) parabolic fully nonlinear path-dependent PDEs. In contrast with the previous result in Ekren, Touzi & Zhang, our conditions are easier to check and allow for the degenerate case, thus including first order path-dependent PDEs. Our argument follows the regularization method as introduced by Jensen, Lions & Souganidis in the corresponding finite-dimensional PDE setting. The present argument significantly simplifies the comparison proof in Ekren, Touzi & Zhang, but requires an $L^p-$type of continuity (with respect to t…
In this paper we prove the existence and uniqueness of the solution of a non-stationary problem that modelizes the behaviour of the concentrations and the temperature of gases going through a cylindrical passage of an automotive catalytic converter. This problem couples parabolic partial differential equations in a domain with one parabolic partial differential equation and some ordinary differential equations on a part of its boundary.
We obtain existence results for the solution u of nonlocal semilinear parabolic PDEs on $\mathbb{R}^d$ with polynomial nonlinearities in $(u, \nabla u)$, using a tree-based probabilistic representation. This probabilistic representation applies to the solution of the equation itself, as well as to its partial derivatives by associating one of d marks to the initial tree branch. Partial derivatives are dealt with by integration by parts and subordination of Brownian motion. Numerical illustrations are provided in examples for the fractional Laplacian in dimension up to 10, and for the fractiona…
In this paper, we consider a parabolic PDE on a torus of arbitrary dimension. The nonlinear term is a smooth function of polynomial growth of any degree. In this general setting, the corresponding Cauchy problem is not necessarily well posed. We show that the equation in question is approximately controllable by only a finite number of Fourier modes. This result is proved by using some ideas from the geometric control theory introduced by Agrachev and Sarychev.
We consider the Cauchy problem for semilinear parabolic equation in divergence form with obstacle. We show that under natural conditions on the right-hand side of the eqution and mild conditions on the obstacle a unique continuous solution of the problem admits a stochastic representation in terms of reflected backward stochastic differential equations. We derive also some regularity properties of so- lutions and prove useful approximation results.
A wide class of non-autonomous nonlinear parabolic partial differential equations with delay is studied. We allow in our investigations different types of delays such as constant, time-dependent, state-dependent (both discrete and distributed) to be presented simultaneously. The main difficulties arise due to the presence of discrete state-dependent delays since the nonlinear delay term is not Lipschitz on the space of continuous functions. We find conditions for the local existence, uniqueness and study the invariance principle.
In this paper a family of non-autonomous scalar parabolic PDEs over a general compact and connected flow is considered. The existence or not of a neighbourhood of zero where the problems are linear has an influence on the methods used and on the dynamics of the induced skew-product semiflow. That is why two cases are distinguished: linear-dissipative and purely dissipative problems. In both cases, the structure of the global and pullback attractors is studied using principal spectral theory. Besides, in the purely dissipative setting, a simple condition is given, involving both the underlying …
Optimal control of the singular nonlinear parabolic PDE which is a distributional formulation of multidimensional and multiphase Stefan-type free boundary problem is analyzed. Approximating sequence of finite-dimensional optimal control problems is introduced via finite differences. Existence of the optimal control and the convergence of the sequence of discrete optimal control problems both with respect to functional and control is proved. In particular, convergence of the method of finite differences, and existence, uniqueness and stability estimations are established for the singular PDE pr…
This paper considers optimal control of fractional parabolic PDEs with both state and control constraints. The key challenge is how to handle the state constraints. Similarly, to the elliptic case, in this paper, we establish several new mathematical tools in the parabolic setting that are of wider interest. For example, existence of solution to the fractional parabolic equation with measure data on the right-hand-side. We employ the Moreau-Yosida regularization to handle the state constraints. We establish convergence, with rate, of the regularized optimal control problem to the original one.…
This paper provides novel Input-to-State Stability (ISS)-style maximum principle estimates for classical solutions of highly nonlinear 1-D parabolic Partial Differential Equations (PDEs). The derivation of the ISS-style maximum principle estimates is performed by using an ISS Lyapunov Functional for the sup norm. The estimates provide fading memory ISS estimates in the sup norm of the state with respect to distributed and boundary inputs. The obtained results can handle parabolic PDEs with nonlinear and non-local in-domain terms/boundary conditions. Three illustrative examples show the efficie…
This paper is concerned with the regularity of solutions to parabolic evolution equations. Special attention is paid to the smoothness in the specific anisotropic scale $\ B^{r\mathbf{a}}_{τ,τ}, \ \frac{1}τ=\frac{r}{d}+\frac{1}{p}\ $ of Besov spaces where $\mathbf{a}$ measures the anisotropy. The regularity in these spaces determines the approximation order that can be achieved by fully space-time adaptive approximation schemes. In particular, we show that for the heat equation our results significantly improve previous results by Aimar and Gomez [3].
We study and compare two concepts for weak solutions to semilinear parabolic path-dependent partial differential equations (PPDEs). The first is that of mild solutions as it appears, e.g., in the log-Laplace functionals of historical superprocesses. The aim of this paper is to show that mild solutions are also solutions in a viscosity sense. This result is motivated by the fact that mild solutions can provide value functions and optimal strategies for problems of stochastic optimal control. Since unique mild solutions exist under weak conditions, we obtain as a corollary a general existence re…
The classical Feynman-Kac identity builds a bridge between stochastic analysis and partial differential equations (PDEs) by providing stochastic representations for classical solutions of linear Kolmogorov PDEs. This opens the door for the derivation of sampling based Monte Carlo approximation methods, which can be meshfree and thereby stand a chance to approximate solutions of PDEs without suffering from the curse of dimensionality. In this article we extend the classical Feynman-Kac formula to certain semilinear Kolmogorov PDEs. More specifically, we identify suitable solutions of stochastic…
The tangential condition was introduced in [Hanke et al., 95] as a sufficient condition for convergence of the Landweber iteration for solving ill-posed problems. In this paper we present a series of time dependent benchmark inverse problems for which we can verify this condition.
We show the continuous dependence of solutions of linear nonautonomous second order parabolic partial differential equations (PDEs) with bounded delay on coefficients and delay. The assumptions are very weak: only convergence in the weak-* topology of delay coefficients is required. The results are important in the applications of the theory of Lyapunov exponents to the investigation of PDEs with delay.
For an arbitrary parameter $p\in [1,+\infty]$, we consider the problem of exponential stabilization in the spatial $L^{p}$-norm, and $W^{1,p}$-norm, respectively, for a class of anti-stable linear parabolic PDEs with space-time-varying coefficients in the absence of a Gevrey-like condition, which is often imposed on time-varying coefficients of PDEs and used to guarantee the existence of smooth (w.r.t. the time variable) kernel functions in the literature. Then, based on the obtained exponential stabilities, we show that the solution of the considered system depends continuously on the $L^{p}$…
We analyze the sensitivity of the extremal equations that arise from the first order necessary optimality conditions of nonlinear optimal control problems with respect to perturbations of the dynamics and of the initial data. To this end, we present an abstract implicit function approach with scaled spaces. We will apply this abstract approach to problems governed by semilinear PDEs. In that context, we prove an exponential turnpike result and show that perturbations of the extremal equation's dynamics, e.g., discretization errors decay exponentially in time. The latter can be used for very ef…
We give a survey of recent result regarding scaling limits of systems from statistical mechanics, as well as the universality of the behaviour of such systems in so-called cross-over regimes. It transpires that some of these universal objects are described by singular stochastic PDEs. We then give a survey of the recently developed theory of regularity structures which allows to build these objects and to describe some of their properties. We place particular emphasis on the renormalisation procedure required to give meaning to these equations. These are expanded notes of the 20th Takagi lectu…
