This paper studies first a result of existence and uniqueness of the solution to a backward stochastic differential equation driven by an infinite dimensional martingale. Then, we apply this result to find a unique solution to a backward stochastic partial differential equation in infinite dimensions. The filtration considered is an arbitrary rightcontinuous filtration, not necessarily the natu...

We define the Burgers superprocess to be the solution of the stochastic partial differential equation ∂ ∂t u(t, x) =∆u(t, x) − λu(t, x)∇u(t, x) + γ √ u(t, x) W (dt, dx), where t ≥ 0, x ∈ R, and W is space-time white noise. Taking γ = 0 gives the classic Burgers equation, an important, non-linear, partial differential equation. Taking λ = 0 gives the super Brownian motion, an important, measure ...

‎in this paper‎, ‎we present a novel approach for image selective smoothing by the evolution of two paired nonlinear‎ ‎partial differential equations‎. ‎the distribution coefficient in de-noising equation controls the speed of distribution‎, ‎and is‎ ‎determined by the edge-strength function‎. ‎in the previous works‎, ‎the edge-strength function depends on isotropic‎ ‎smoothing of the image‎...

this paper presents a new numerical method for solution of eikonal equation in two dimensions.in contrast to the previously developed methods which try to define the solution surface by its level sets(contour curves), the developed methodology identifies the solution surface by resorting to its characteristics. the suggested procedure is based on the geometric properties of the solution surface...

although there are many methods for image denoising, but partial differential equation (pde) based denoising attracted much attention in the field of medical image processing such as magnetic resonance imaging (mri). the main advantage of pde-based denoising approach is laid in its ability to smooth image in a nonlinear way, which effectively removes the noise, as well as preserving edge throug...

In many applications (engineering, management, economy) one is led to control problems for stochastic systems : more precisely the state of the system is assumed to be described by the solution of stochastic differential equations and the control enters the coefficients of the equation. Using the dynamic programming principle E. Bellman [6] explained why, at least heuristically, the optimal cos...

The purpose of this article is to giye an overview of some recent developments in optimal stochastic control theory. The field has expanded a great deal during the last 20 years. It is not possible in this overview to go deeply into any topic, and a number of interesting topics have been omitted entirely. The list of references includes several books, conference proceedings and survey articles....

A class of quasilinear stochastic partial differential equations (SPDEs), driven by spatially correlated Brownian noise, is shown to become macroscopic (i.e., deterministic), as the length of the correlations tends to 0. The limit is the solution of a quasilinear partial differential equation. The quasilinear SPDEs are obtained as a continuum limit from the empirical distribution of a large num...

in this paper, the chebyshev spectral collocation method(cscm) for one-dimensional linear hyperbolic telegraph equation is presented. chebyshev spectral collocation method have become very useful in providing highly accurate solutions to partial differential equations. a straightforward implementation of these methods involves the use of spectral differentiation matrices. firstly, we transform ...