Second Order Parabolic Differential Equations


Author: Gary M. Lieberman
Publisher: World Scientific
ISBN: 9789810228835
Category: Mathematics
Page: 439
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Introduction. Maximum principles. Introduction to the theory of weak solutions. Hölder estimates. Existence, uniqueness, and regularity of solutions. Further theory of weak solutions. Strong solutions. Fixed point theorems and their applications. Comparison and maximum principles. Boundary gradient estimates. Global and local gradient bounds. Hölder gradient estimates and existence theorems. The oblique derivative problem for quasilinear parabolic equations. Fully nonlinear equations. Introduction. Monge-Ampère and Hessian equations.

Second Order Parabolic Differential Equations


Author: G M Lieberman
Publisher: World Scientific
ISBN: 9814498114
Category: Mathematics
Page: 452
View: 5621

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This book is an introduction to the general theory of second order parabolic differential equations, which model many important, time-dependent physical systems. It studies the existence, uniqueness, and regularity of solutions to a variety of problems with Dirichlet boundary conditions and general linear and nonlinear boundary conditions by means of a priori estimates. The first seven chapters give a description of the linear theory and are suitable for a graduate course on partial differential equations. The last eight chapters cover the nonlinear theory for smooth solutions. They include much of the author's research and are aimed at researchers in the field. A unique feature is the emphasis on time-varying domains. Contents:IntroductionMaximum PrinciplesIntroduction to the Theory of Weak SolutionsHölder EstimatesExistence, Uniqueness, and Regularity of SolutionsFurther Theory of Weak SolutionsStrong SolutionsFixed Point Theorems and Their ApplicationsComparison and Maximum PrinciplesBoundary Gradient EstimatesGlobal and Local Gradient BoundsHölder Gradient Estimates and Existence TheoremsThe Oblique Derivative Problem for Quasilinear Parabolic EquationsFully Nonlinear Equations I. IntroductionFully Nonlinear Equations II. Hessian Equations Readership: Graduate students and researchers in mathematics. keywords:Partial Differential Equations;A Priori Estimates;Initial-Boundary Value Problems;Maximum Principle;Existence;Uniqueness;Regularity;Linear Boundary Conditions;Nonlinear Boundary Conditions “In the reviewer's opinion the author of this nicely written book has succeeded very well in his goal that ‘this book was to create a companion volume to Elliptic Partial Differential Equations of Second Order by David Gilbarg and Neil S Trudinger’.” Mathematical Reviews “The book provides an essentially self-contained exposition of the theory of second order parabolic partial differential equations.” Mathematics Abstracts

Second Order Equations of Elliptic and Parabolic Type


Author: E. M. Landis
Publisher: American Mathematical Soc.
ISBN: 9780821897812
Category:
Page: N.A
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Most books on elliptic and parabolic equations emphasize existence and uniqueness of solutions. By contrast, this book focuses on the qualitative properties of solutions. In addition to the discussion of classical results for equations with smooth coefficients (Schauder estimates and the solvability of the Dirichlet problem for elliptic equations; the Dirichlet problem for the heat equation), the book describes properties of solutions to second order elliptic and parabolic equations with measurable coefficients near the boundary and at infinity. The book presents a fine elementary introduction to the theory of elliptic and parabolic equations of second order. The precise and clear exposition is suitable for graduate students as well as for research mathematicians who want to get acquainted with this area of the theory of partial differential equations.

Partial Differential Equations of Parabolic Type


Author: Avner Friedman
Publisher: Courier Corporation
ISBN: 0486318265
Category: Mathematics
Page: 368
View: 1157

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With this book, even readers unfamiliar with the field can acquire sufficient background to understand research literature related to the theory of parabolic and elliptic equations. 1964 edition.

Finite Difference Methods in Financial Engineering

A Partial Differential Equation Approach
Author: Daniel J. Duffy
Publisher: John Wiley & Sons
ISBN: 1118856481
Category: Business & Economics
Page: 464
View: 8280

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The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method. In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature: Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor options Early exercise features and approximation using front-fixing, penalty and variational methods Modelling stochastic volatility models using Splitting methods Critique of ADI and Crank-Nicolson schemes; when they work and when they don't work Modelling jumps using Partial Integro Differential Equations (PIDE) Free and moving boundary value problems in QF Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor and two-factor models. We also provide source code so that you can customize the applications to suit your own needs.

Nonlinear Partial Differential Equations of Second Order


Author: Guangchang Dong,Kuang-chʻang Tung
Publisher: American Mathematical Soc.
ISBN: 9780821845547
Category: Mathematics
Page: 251
View: 8936

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Addresses a class of equations central to many areas of mathematics and its applications. This book addresses a general approach that consists of the following: choose an appropriate function space, define a family of mappings, prove this family has a fixed point, and study various properties of the solution.

Lectures on Elliptic and Parabolic Equations in Hölder Spaces


Author: Nikolaĭ Vladimirovich Krylov
Publisher: American Mathematical Soc.
ISBN: 082180569X
Category: Mathematics
Page: 164
View: 7643

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These lectures concentrate on fundamentals of the modern theory of linear elliptic and parabolic equations in H older spaces. Krylov shows that this theory - including some issues of the theory of nonlinear equations - is based on some general and extremely powerful ideas and some simple computations. The main object of study is the first boundary-value problems for elliptic and parabolic equations, with some guidelines concerning other boundary-value problems such as the Neumann or oblique derivative problems or problems involving higher-order elliptic operators acting on the boundary. Numerical approximations are also discussed. This book, containing 200 exercises, aims to provide a good understanding of what kind of results are available and what kinds of techniques are used to obtain them.

Second Order Partial Differential Equations in Hilbert Spaces


Author: Giuseppe Da Prato,Jerzy Zabczyk
Publisher: Cambridge University Press
ISBN: 9781139433433
Category: Mathematics
Page: N.A
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Second order linear parabolic and elliptic equations arise frequently in mathematics and other disciplines. For example parabolic equations are to be found in statistical mechanics and solid state theory, their infinite dimensional counterparts are important in fluid mechanics, mathematical finance and population biology, whereas nonlinear parabolic equations arise in control theory. Here the authors present a state of the art treatment of the subject from a new perspective. The main tools used are probability measures in Hilbert and Banach spaces and stochastic evolution equations. There is then a discussion of how the results in the book can be applied to control theory. This area is developing very rapidly and there are numerous notes and references that point the reader to more specialised results not covered in the book. Coverage of some essential background material will help make the book self-contained and increase its appeal to those entering the subject.

Optimal Control of Partial Differential Equations

Theory, Methods, and Applications
Author: Fredi Tröltzsch
Publisher: American Mathematical Soc.
ISBN: 0821849042
Category: Mathematics
Page: 399
View: 6073

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"Optimal control theory is concerned with finding control functions that minimize cost functions for systems described by differential equations. The methods have found widespread applications in aeronautics, mechanical engineering, the life sciences, and many other disciplines. This book focuses on optimal control problems where the state equation is an elliptic or parabolic partial differential equation. Included are topics such as the existence of optimal solutions, necessary optimality conditions and adjoint equations, second-order sufficient conditions, and main principles of selected numerical techniques. It also contains a survey on the Karush-Kuhn-Tucker theory of nonlinear programming in Banach spaces. The exposition begins with control problems with linear equations, quadratic cost functions and control constraints. To make the book self-contained, basic facts on weak solutions of elliptic and parabolic equations are introduced. Principles of functional analysis are introduced and explained as they are needed. Many simple examples illustrate the theory and its hidden difficulties. This start to the book makes it fairly self-contained and suitable for advanced undergraduates or beginning graduate students. Advanced control problems for nonlinear partial differential equations are also discussed. As prerequisites, results on boundedness and continuity of solutions to semilinear elliptic and parabolic equations are addressed. These topics are not yet readily available in books on PDEs, making the exposition also interesting for researchers. Alongside the main theme of the analysis of problems of optimal control, Tr'oltzsch also discusses numerical techniques. The exposition is confined to brief introductions into the basic ideas in order to give the reader an impression of how the theory can be realized numerically. After reading this book, the reader will be familiar with the main principles of the numerical analysis of PDE-constrained optimization."--Publisher's description.

Lectures on Elliptic and Parabolic Equations in Sobolev Spaces


Author: Nikolaĭ Vladimirovich Krylov
Publisher: American Mathematical Soc.
ISBN: 0821846841
Category: Mathematics
Page: 357
View: 9455

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This book concentrates on the basic facts and ideas of the modern theory of linear elliptic and parabolic equations in Sobolev spaces. The main areas covered in this book are the first boundary-value problem for elliptic equations and the Cauchy problem for parabolic equations. In addition, other boundary-value problems such as the Neumann or oblique derivative problems are briefly covered. As is natural for a textbook, the main emphasis is on organizing well-known ideas in a self-contained exposition. Among the topics included that are not usually covered in a textbook are a relatively recent development concerning equations with $\mathsf{VMO}$ coefficients and the study of parabolic equations with coefficients measurable only with respect to the time variable. There are numerous exercises which help the reader better understand the material. After going through the book, the reader will have a good understanding of results available in the modern theory of partial differential equations and the technique used to obtain them. Prerequisites are basics of measure theory, the theory of $L_p$ spaces, and the Fourier transform.

Blow-up for Higher-Order Parabolic, Hyperbolic, Dispersion and Schrodinger Equations


Author: Victor A. Galaktionov,Enzo L. Mitidieri,Stanislav I. Pohozaev
Publisher: CRC Press
ISBN: 1482251736
Category: Mathematics
Page: 569
View: 9695

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Blow-up for Higher-Order Parabolic, Hyperbolic, Dispersion and Schrödinger Equations shows how four types of higher-order nonlinear evolution partial differential equations (PDEs) have many commonalities through their special quasilinear degenerate representations. The authors present a unified approach to deal with these quasilinear PDEs. The book first studies the particular self-similar singularity solutions (patterns) of the equations. This approach allows four different classes of nonlinear PDEs to be treated simultaneously to establish their striking common features. The book describes many properties of the equations and examines traditional questions of existence/nonexistence, uniqueness/nonuniqueness, global asymptotics, regularizations, shock-wave theory, and various blow-up singularities. Preparing readers for more advanced mathematical PDE analysis, the book demonstrates that quasilinear degenerate higher-order PDEs, even exotic and awkward ones, are not as daunting as they first appear. It also illustrates the deep features shared by several types of nonlinear PDEs and encourages readers to develop further this unifying PDE approach from other viewpoints.

A Basic Course in Partial Differential Equations


Author: Qing Han
Publisher: American Mathematical Soc.
ISBN: 0821852558
Category: Mathematics
Page: 293
View: 9667

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This is a textbook for an introductory graduate course on partial differential equations. Han focuses on linear equations of first and second order. An important feature of his treatment is that the majority of the techniques are applicable more generally. In particular, Han emphasizes a priori estimates throughout the text, even for those equations that can be solved explicitly. Such estimates are indispensable tools for proving the existence and uniqueness of solutions to PDEs, being especially important for nonlinear equations. The estimates are also crucial to establishing properties of the solutions, such as the continuous dependence on parameters. Han's book is suitable for students interested in the mathematical theory of partial differential equations, either as an overview of the subject or as an introduction leading to further study.

Equations of the Mixed Type


Author: A. V. Bitsadze
Publisher: Elsevier
ISBN: 1483164861
Category: Mathematics
Page: 174
View: 4673

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Equations of the Mixed Type compiles a series of lectures on certain fundamental questions in the theory of equations of mixed type. This book investigates the series of problems concerning linear partial differential equations of the second order in two variables, and possessing the property that the type of the equation changes either on the boundary of or inside the considered domain. Topics covered include general remarks on linear partial differential equations of mixed type; study of the solutions of second order hyperbolic equations with initial conditions given along the lines of parabolicity; and study of the solutions of second order elliptic equations for a domain, the boundary of which includes a segment of the curve of parabolic degeneracy. The problem of Tricomi and other mixed problems are also deliberated in this text. This publication is a good reference for students and researchers conducting work on the theory of equations of mixed type.

Partial Differential Equations


Author: Lawrence C. Evans
Publisher: American Mathematical Soc.
ISBN: 0821849743
Category: Mathematics
Page: 749
View: 6343

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This is the second edition of the now definitive text on partial differential equations (PDE). It offers a comprehensive survey of modern techniques in the theoretical study of PDE with particular emphasis on nonlinear equations. Its wide scope and clear exposition make it a great text for a graduate course in PDE. For this edition, the author has made numerous changes, including a new chapter on nonlinear wave equations, more than 80 new exercises, several new sections, a significantly expanded bibliography. About the First Edition: I have used this book for both regular PDE and topics courses. It has a wonderful combination of insight and technical detail. ... Evans' book is evidence of his mastering of the field and the clarity of presentation. --Luis Caffarelli, University of Texas It is fun to teach from Evans' book. It explains many of the essential ideas and techniques of partial differential equations ... Every graduate student in analysis should read it. --David Jerison, MIT I use Partial Differential Equations to prepare my students for their Topic exam, which is a requirement before starting working on their dissertation. The book provides an excellent account of PDE's ... I am very happy with the preparation it provides my students. --Carlos Kenig, University of Chicago Evans' book has already attained the status of a classic. It is a clear choice for students just learning the subject, as well as for experts who wish to broaden their knowledge ... An outstanding reference for many aspects of the field. --Rafe Mazzeo, Stanford University

Numerical Methods for Partial Differential Equations


Author: William F. Ames
Publisher: Academic Press
ISBN: 1483262421
Category: Mathematics
Page: 380
View: 5897

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Numerical Methods for Partial Differential Equations, Second Edition deals with the use of numerical methods to solve partial differential equations. In addition to numerical fluid mechanics, hopscotch and other explicit-implicit methods are also considered, along with Monte Carlo techniques, lines, fast Fourier transform, and fractional steps methods. Comprised of six chapters, this volume begins with an introduction to numerical calculation, paying particular attention to the classification of equations and physical problems, asymptotics, discrete methods, and dimensionless forms. Subsequent chapters focus on parabolic and hyperbolic equations, elliptic equations, and special topics ranging from singularities and shocks to Navier-Stokes equations and Monte Carlo methods. The final chapter discuss the general concepts of weighted residuals, with emphasis on orthogonal collocation and the Bubnov-Galerkin method. The latter procedure is used to introduce finite elements. This book should be a valuable resource for students and practitioners in the fields of computer science and applied mathematics.

Nonlinear Elliptic and Parabolic Equations of the Second Order


Author: N.V. Krylov
Publisher: Springer
ISBN: 9781402003349
Category: Mathematics
Page: 480
View: 9899

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Approach your problems from the It isn't that they can't see the right end and begin with the solution. It is that they can't see answers. Then one day, perhaps the problem. you will find the final question. G.K. Chesterton. The Scandal of 'The Hermit Clad in Crane Father Brown 'The Point of a Pin'. Feathers' in R. van Gulik's The Chinese Maze Murders. Growing specialization and diversification have brought a host of mono graphs and textbooks on increasingly specialized topics. However, the "tree" of knowledge of mathematics and related fields does not grow only by putting forth new branches. It also happens, quite often in fact, that branches which were thought to be completely disparate are suddenly seen to be related. Further, the kind and level of sophistication of mathematics applied in various sciences has changed drastically in recent years: measure theory is used (non-trivially) in regional and theor.etical economics; algebraic geometry interacts with physics; the Minkowsky lemma, coding theory and the structure of water meet one another in packing and covering theory; quantum fields, crystal defects and mathematical programming profit from homotopy theory; Lie algebras are relevant to filtering; and prediction and electrical engineering can use Stein spaces.