In this paper we propose a feasible numerical scheme for high-dimensional, fully nonlinear parabolic PDEs, which includes the quasi-linear PDE associated with a coupled FBSDE as a special case. Our paper is strongly motivated by the remarkable work Fahim, Touzi and Warin [Ann. Appl. Probab. 21 (2011) 1322–1364] and stays in the paradigm of monotone schemes initiated by Barles and Souganidis [As...

A simulation based method for the numerical solution of PDE with random coefficients is presented. By the Feynman-Kac formula, the solution can be represented as conditional expectation of a functional of a corresponding stochastic differential equation driven by independent noise. A time discretization of the SDE for a set of points in the domain and a subsequent Monte Carlo regression lead to...

We study the numerical solution of a PDE describing the relaxation of a crystal surface to a flat facet. The PDE is a singular, nonlinear, fourth order evolution equation, which can be viewed as the gradient flow of a convex but non-smooth energy with respect to the H per inner product. Our numerical scheme uses implicit discretization in time and a mixed finite-element approximation in space. ...

This paper is concerned with transparent boundary conditions for the one dimensional time–dependent Schrödinger equation. They are used to restrict the original PDE problem that is posed on an unbounded domain onto a finite interval in order to make this problem feasible for numerical simulations. The main focus of this article is on the appropriate discretization of such transparent boundary c...

This paper presents a lattice algorithm for pricing both Europeanand American-style moving average barrier options (MABOs). We develop a finite-dimensional partial differential equation (PDE) model for discretely monitored MABOs and solve it numerically by using a forward shooting grid method. The modeling PDE for continuously monitored MABOs has infinite dimensions and cannot be solved directl...

In applied sciences and engineering, partial differential equations (PDE) of integer non-integer order play a crucial role. It can be challenging to determine these equations’ exact solutions. As result, developing numerical approaches obtain precise solutions kinds takes time. The homotopy perturbation transform method (HPTM) Yang decomposition (YTDM) are the subjects several recent findings t...

A matrix form representation of discrete analogues of various forms of fractional differentiation and fractional integration is suggested. The approach, which is described in this paper, unifies the numerical differentiation of integer order and the n-fold integration, using the so-called triangular strip matrices. Applied to numerical solution of differential equations, it also unifies the sol...

The fast iterative solution of optimal control problems, and in particular PDE-constrained optimization problems, has become an active area of research in applied mathematics and numerical analysis. In this paper, we consider the solution of a class of time-dependent PDE-constrained optimization problems, specifically the distributed control of the heat equation. We develop a strategy to approx...

In this paper, we propose some recent works on data analysis and synthesis based on Empirical Mode Decomposition (EMD). Firstly, a direct 2D extension of original Huang EMD algorithm with application to texture analysis, and fractional Brownian motion synthesis. Secondly, an analytical version of EMD based on PDE in 1D-space is presented. We proposed an extension in 2D-case of the so-called “si...

Based on high order approximation of L-stable RungeKutta methods for the Riemann-Liouville fractional derivatives, several classes of high order fractional Runge-Kutta methods for solving nonlinear fractional differential equation are constructed. Consistency, convergence and stability analysis of the numerical methods are given. Numerical experiments show that the proposed methods are efficien...