All Questions
Tagged with stochastic-processes elliptic-pde
11 questions
2
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0
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42
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Diffusions vs elliptic operators with dkp coefficients
I am wondering if there is any literature on the relationship between diffusions and elliptic equations. In particular I am interested in literature concerning operators with Dahlberg–Kenig–Pipher ...
- 121
1
vote
1
answer
67
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Combination of the Dirichlet and Cauchy problems, find the PDE by which $\mathbb{E}_x M(X_{\tau_D \wedge t})$ is met
$X_t$ is an Itô diffusion process with continuous version, $\mathbb{L}_X$ is its generator. $D$ is a closed set in $\mathbb{R}$. The stopping time $\tau_D$ is the first entry time of $D$, that is $\...
- 11
2
votes
1
answer
207
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Elliptic PDEs in BSDEs and in optimal control
This soft/reference question is related to this MO post of a similar nature.
What are some examples of elliptic PDEs appearing in control and BSDEs?
- 5,405
1
vote
0
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96
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Regularity of Feynman-Kac formula for a simple diffusion
Let consider the diffusion process given by:
$$dX_t = \alpha(X_t) dW_t$$
where $\alpha(x) = \alpha_1\mathbf{1}_{x\geq 0} + \alpha_2\mathbf{1}_{x< 0}$ ($\alpha_1,\alpha_2>0$) and $W$ a Wiener ...
- 393
3
votes
0
answers
189
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Regularity of harmonic functions for a degenerate elliptic operator
This is a question on a degenerate elliptic operator.
Let $E$ be a closed unit ball in $\mathbb{R}^d$ centered at the origin. For a positive number $c>0$ and $f \in C^2(E)(:=C^2(\mathbb{R}^d)|_E)$, ...
- 721
0
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0
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59
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How to find the PDE for the following transition density
Suppose I have the following two stochastic differential equations ($t\geq 0$)
$$dX_t = \mu(X_t)dt + \sigma(X_t)dW_t \ \ \text{ and } \ \ dZ_t =dt,$$
where $X = (X_t)$, $Z = (Z_t).$
Note that
$W=(...
- 345
1
vote
0
answers
357
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"Brownian motion" related to the $p$-Laplace operator
The link between the Brownian motion and the Laplace operator is well-known.
What stochastic process plays an analogous role with respect to the $p$-Laplace operator?
user124345
1
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0
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365
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Diagonal of Green's Function
I am looking to numerically calulate the diagonal of Green's function. I am interested in Green's functions of elliptic PDEs and in those that arise from stochastic processes (discrete and continuous)....
- 185
2
votes
2
answers
442
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Principal bundles and Subriemannian Geometry
In sub-Riemannian geometry, one considers manifolds $P$ equipped with a subbundle $\mathcal{H}$ of $TP$, the horizontal distribution. One then has a Riemannian metric only on this distribution $\...
- 9,853
3
votes
0
answers
164
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probabilistic interpretation of elliptic equation with mixed boundary condition
I would like to understand the probabilistic interpretation of the following elliptic problem with mixed Dirichlet-Neumann boundary conditions:
Let $B := \{ x \in \mathbb{R}^n, \quad \| x \|_2 \leq 1 ...
- 365
7
votes
0
answers
496
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planar mappings that preserve elliptic measure
Let $D_1$ and $D_2$ be two bounded simply connected Jordan domains in $\mathbb{R}^2$. By Carathéodory's Theorem there exists a homeomorphism $f:\bar{D}_1 \to \bar{D}_2$ such that the restriction $f:...
- 551