In this article, we study the homogeneous Dirichlet problem for a degenerate parabolic-hyperbolic PDE perturbed by Levy noise. In particular, we develop the well-posedness theory of entropy solution based on the Kružkov's semi-entropy formulation. In comparison to the pioneered work by Bauzet et al. (J. Funct. Anal. 266, (2014), 2503-2545), concerning the existence and uniqueness of entropy solution for the Dirichlet problem for conservation laws driven by Brownian noise, our present analysis involves a simpler approach to obtain the global Kato's inequality.
We analyze entropy solutions for a class of Levy mixed hyperbolicparabolic equations containing a non-local (or fractional) diffusion operator originating from a pure jump Levy process. For these solutions we establish uniqueness (L1 contraction property) and continuous dependence results.
In this article we deal with stochastic perturbation of degenerate parabolic partial differential equations (PDEs). The particular emphasise is on analysing the effect of multiplicative Lévy noise to such problems and establishing wellposedness by developing a suitable weak entropy solution framework. The proof of existence is based on the vanishing viscosity technique. The uniqueness is settled by interpreting Kruzkov's doubling technique in the presence noise.
In the article we address two issues related to the perturbation method introduced by Zhang and Lu, and applied to solving linear stochastic parabolic PDE. Those issues are: the construction of the perturbation series, and its convergence.
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.
Motivated by the study of conditional stability of traveling waves, we give an elementary $H^2$ center stable manifold construction for quasilinear parabolic PDE, sidestepping apparently delicate regularity issues by the combination of a carefully chosen implicit fixed-point scheme and "damping-type" $H^s$ energy estimates of a type familiar from the study of hyperbolic--parabolic and relaxation systems. An important feature of these methods is that they generalize to situations such as the hyperbolic--parabolic or relaxation case for which parabolic-type smoothing estimates are unavailable. A…
The asymptotic behavior of some semilinear parabolic PDEs is analyzed by means of a "mean value" property. This property allows us to determine, by means of appropriate {\em{a priori}} estimates, some exponential decay results for suitable global solutions. We also apply the method to investigate a well-known finite time blow-up result. An application is given to a one-dimensional semilinear parabolic PDE with boundary degeneracy. Our results shed further light onto the problem of determining initial data for which the corresponding solution is guaranteed to exponentially decay to zero or blow…
The aim of this article is to show the global existence of both martingale and pathwise solutions of stochastic equations with a monotone operator, of the Ladyzenskaya-Smagorinsky type, driven by a general Levy noise. The classical approach based on using directly the Galerkin approximation is not valid. Instead, our approach is based on using appropriate approximations for the monotone operator, Galerkin approximations and on the theory of martingale solutions.
We consider parabolic equations on bounded smooth open sets $\Om\subset \R^N$ ($N\ge 1$) with mixed Dirichlet type boundary-exterior conditions associated with the elliptic operator $\mathscr{L} \coloneqq - Δ+ (-Δ)^{s}$ ($0<s<1$). Firstly, we prove several well-posedness and regularity results of the associated elliptic and parabolic problems with smooth, and then with singular boundary-exterior data. Secondly, we show the existence of optimal solutions of associated optimal control problems, and we characterize the optimality conditions. This is the first time that such topics have been prese…
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…
We enumerate the local Petrovskii lacunas (that is, the domains of local regularity of the principal fundamental solutions) of strictly hyperbolic PDE's with constant coefficients in $R^N$ at the parabolic singular points of their wavefronts. These points form the next difficult family of classes of the natural classification of singular points after the so-called simple singularities, studied previously. Also we promote a computer program counting for topologically different morsifications of critical points of smooth functions, and hence also for local components of the complement of a gener…
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.
We study a modified version of an initial-boundary value problem describing the formation of colony patterns of bacteria \textit{Escherichia Coli}. The original system of three parabolic equations was studied numerically and analytically and gave insights into the underlying mechanisms of chemotaxis. We focus here on the parabolic-elliptic-parabolic approximation and the hyperbolic-elliptic-parabolic limiting system which describes the case of pure chemotactic movement without random diffusion. We first construct local-in-time solutions for the parabolic-elliptic-parabolic system. Then we prov…
$BV$-Estimates for Non-Linear Parabolic PDE with Linear Drift
Institut de recherche XLIM-DMI, UMR-CNRS 6172, Faculté des Sciences et Techniques, Université de Limoges（利摩日大学科学技术学院XLIM-DMI研究中心）；Laboratoire de Mathématique Informatique et modélisation des Systèmes Complèxes, EST Essaouira, Cadi Ayyad University Marrakesh（卡迪·阿亚德大学马拉喀什ESSAOUIRA信息数学与复杂系统建模实验室）
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.
Finite time singularity formation in a fourth order nonlinear parabolic partial differential equation (PDE) is analyzed. The PDE is a variant of a ubiquitous model found in the field of Micro-Electro Mechanical Systems (MEMS) and is studied on a one-dimensional (1D) strip and the unit disc. The solution itself remains continuous at the point of singularity while its higher derivatives diverge, a phenomenon known as quenching. For certain parameter regimes it is shown numerically that the singularity will form at multiple isolated points in the 1D strip case and along a ring of points in the ra…
We introduce the notion of δ-viscosity solutions for fully nonlinear uniformly parabolic PDE on bounded domains. We prove that δ-viscosity solutions are uniformly close to the actual viscosity solution. As a consequence we obtain an error estimate for implicit monotone finite difference approximations of uniformly parabolic PDE.
Continuous dependence estimate for a degenerate parabolic-hyperbolic equation with Levy noise
Centre for Applicable Mathematics, Tata Institute of Fundamental Research（应用数学中心，塔塔基础研究所）；Mathematisches Institut, Universität Tübingen（蒂宾根大学数学研究所）；LMAP UMR- CNRS 5142（LMAP UMR-CNRS 5142）
Elliptic and parabolic integro-differential model problems are considered in the whole space. By verifying Hörmander condition, the existence and uniqueness is proved in L_{p}-spaces of functions whose regularity is defined by a scalable, possibly nonsymmetric, Levy measure. Some rough probability density function estimates of the associated Levy process are used as well.
We present an analytic approach to solve a degenerate parabolic problem associated to the Heston model, which is widely used in mathematical finance to derive the price of an European option on an risky asset with stochastic volatility. We give a variational formulation, involving weighted Sobolev spaces, of the second order degenerate elliptic operator of the parabolic PDE. We use this approach to prove, under appropriate assumptions on some involved unknown parameters, the existence and uniqueness of weak solutions to the parabolic problem on unbounded subdomains of the half-plane.
Stochastic parabolic integro-differential problem is considered in the whole space. By verifying Hörmander condition, the existence and uniqueness is proved in Lp-spaces of functions whose regularity is defined by a scalable Levy measure. Some rough probability density function estimates of the associated Levy process are used as well.
It is shown that globally positive solutions of a linear second order parabolic partial differential equation on a bounded domain, with Robin boundary conditions, are unique up to multiplication by a positive constant.
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.
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…
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 describe the asymptotic behavior, in the exponential time scale, of solutions to quasi-linear parabolic equations with a small parameter at the second order term and the long time behavior of corresponding diffusion processes. In particular, we discuss the exit problem and metastability for the processes corresponding to quasi-linear initial-boundary value problems.
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.
We consider a non-linear parabolic partial differential equation (PDE) on $\mathbb R^d$ with a distributional coefficient in the non-linear term. The distribution is an element of a Besov space with negative regularity and the non-linearity is of quadratic type in the gradient of the unknown. Under suitable conditions on the parameters we prove local existence and uniqueness of a mild solution to the PDE, and investigate properties like continuity with respect to the initial condition and blow-up times. We prove a global existence and uniqueness result assuming further properties on the non-li…
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 …
We consider an inverse problem of identifying the diffusion coefficient in matrix form in a parabolic PDE. In 2006, Cao and Pereverzev, used a \textit{natural linearisation} method for identifying a scalar valued diffusion coefficient in a parabolic PDE. In this paper, we make use of that idea for identifying a matrix valued coefficient, namely, using the notion of a weak solution for a parabolic PDE, we transform our non-linear inverse problem into a problem of solving an ill-posed operator equation where the operator depending on the data is linear. For the purpose of obtaining stable approx…
We derive conditions for the propagation of monotone ordering properties for a class of nonlinear parabolic partial differential equation (PDE) systems on metric graphs. For such systems, PDE equations with a general nonlinear dissipation term define evolution on each edge, and balance laws create Kirchhoff-Neumann boundary conditions at the vertices. Initial conditions, as well as time-varying parameters in the coupling conditions at vertices, provide an initial value problem (IVP). We first prove that ordering properties of the solution to the IVP are preserved when the initial conditions an…
The paper studies homogenization problem for a non-autonomous parabolic equation with a large random rapidly oscillating potential in the case of one dimensional spatial variable. We show that if the potential is a statistically homogeneous rapidly oscillating function of both temporal and spatial variables then, under proper mixing assumptions, the limit equation is deterministic and the convergence in probability holds. To the contrary, for the potential having a microstructure only in one of these variables, the limit problem is stochastic and we only prove the convergence in law.
This paper includes a proof of well-posedness of an initial-boundary value problem involving a system of degenerate non-local parabolic PDE which naturally arises in the study of derivative pricing in a generalized market model. In a semi-Markov modulated GBM model the locally risk minimizing price function satisfies a special case of this problem. We study the well-posedness of the problem via a Volterra integral equation of second kind. A probabilistic approach, in particular the method of conditioning on stopping times is used for showing uniqueness.
An integro-differential Kolmogorov equation is considered in Hölder-type spaces defined by a scalable Lévy measure. Some properties of those spaces and estimates of the solution are derived using probabilistic representations.
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.
This paper studies the structure of a parabolic partial differential equation on graphs and digital n-dimensional manifolds, which are digital models of continuous n-manifolds. Conditions for the existence of solutions of equations are determined and investigated. Numerical solutions of the equation on a Klein bottle, a projective plane, a 4D sphere and a Moebius strip are presented.
