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Euler schemes and half-space approximation for the simulation of diffusion in a domain

Emmanuel Gobet (2001)

ESAIM: Probability and Statistics

This paper is concerned with the problem of simulation of ( X t ) 0 t T , the solution of a stochastic differential equation constrained by some boundary conditions in a smooth domain D : namely, we consider the case where the boundary D is killing, or where it is instantaneously reflecting in an oblique direction. Given N discretization times equally spaced on the interval [ 0 , T ] , we propose new discretization schemes: they are fully implementable and provide a weak error of order N - 1 under some conditions. The construction...

Euler schemes and half-space approximation for the simulation of diffusion in a domain

Emmanuel Gobet (2010)

ESAIM: Probability and Statistics

This paper is concerned with the problem of simulation of (Xt)0≤t≤T, the solution of a stochastic differential equation constrained by some boundary conditions in a smooth domain D: namely, we consider the case where the boundary ∂D is killing, or where it is instantaneously reflecting in an oblique direction. Given N discretization times equally spaced on the interval [0,T], we propose new discretization schemes: they are fully implementable and provide a weak error of order N-1 under some conditions....

Evolution equations governed by Lipschitz continuous non-autonomous forms

Ahmed Sani, Hafida Laasri (2015)

Czechoslovak Mathematical Journal

We prove L 2 -maximal regularity of the linear non-autonomous evolutionary Cauchy problem u ˙ ( t ) + A ( t ) u ( t ) = f ( t ) for a.e. t [ 0 , T ] , u ( 0 ) = u 0 , where the operator A ( t ) arises from a time depending sesquilinear form 𝔞 ( t , · , · ) on a Hilbert space H with constant domain V . We prove the maximal regularity in H when these forms are time Lipschitz continuous. We proceed by approximating the problem using the frozen coefficient method developed by El-Mennaoui, Keyantuo, Laasri (2011), El-Mennaoui, Laasri (2013), and Laasri (2012). As a consequence, we obtain an invariance...

Evolution equations in non-cylindrical domains

Piermarco Cannarsa, Giuseppe Da Prato, Jean-Paul Zolésio (1989)

Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni

We develolp a new method to solve an evolution equation in a non-cylindrical domain, by reduction to an abstract evolution equation..

Evolution of convex entire graphs by curvature flows

Roberta Alessandroni, Carlo Sinestrari (2015)

Geometric Flows

We consider the evolution of an entire convex graph in euclidean space with speed given by a symmetric function of the principal curvatures. Under suitable assumptions on the speed and on the initial data, we prove that the solution exists for all times and it remains a graph. In addition, after appropriate rescaling, it converges to a homothetically expanding solution of the flow. In this way, we extend to a class of nonlinear speeds the well known results of Ecker and Huisken for the mean curvature...

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