Let X be the solution of an Itô di erential equation with jumps over R. Under some auxiliary assumptions on the parameters of the equation, we characterize the support of the law of X in the Skorohod space D as the closure of the set of solutions to piecewise ordinary di erential equations. This gives an analogue in the Poisson space to the classical Stroock–Varadhan support theorem. c © 2000 P...

This paper is concerned with linear uniformly elliptic and par abolic partial di erential equations in divergence form It is assumed that the coe cients of the equations are random variables constant in time The Green s functions for the equations are then random variables Regularity properties for expectation values of Green s functions are obtained In par ticular it is shown that the expectat...

dae and pdae are systems of ordinary and partial di erential-algebraic equations with constraints. They occur frequently in applications such as constrained multibody mechanics, space-craft control and incompressible uid dynamics. A dae has di erential index r if a minimum of r+1 di erentiations of it are required before no new constraints are obtained. While dae of low di erential index (0 or ...

Herein, an averaging theory for the solutions to Cauchy initial value problems of arbitrary order, "-dependent parabolic partial di erential equations is developed. Indeed, by directly developing bounds between the derivatives of the fundamental solution to such an equation and derivatives of the fundamental solution of an \averaged" parabolic equation, we bring forth a novel approach to compar...

An approach for transforming systems of partial di erential equations in order to obtain new formulations which are more accessible to numerical solution is studied. An algorithm is developed for generating such transformations automatically, using symbolic computations employing Gr obner bases. The algorithm is implemented using freely available software. This approach, along with planned dev...

Under appropriate assumptions, it is shown that there is a di eomorphism that transforms solutions of the implicit di erential equation

In general, a comparison Lemma for the solutions of Forward-Backward Stochastic Di erential Equations (FBSDE) does not hold. Here we prove one for the backward component at the initial time, relying on certain monotonicity conditions on the coeÆcients of both components. Such a result is useful in applications. Indeed, one can use FBSDE's to de ne a utility functional able to capture the disapp...

| We consider di erential equations A(x) _ x = g(x), where A is an n n-matrix of C 1 functions and g is C 1 . We investigate the above di erential equation about singular points x 0 that are standard in the sense of Rabier. In particular, the null space of A(x 0 ) is of dimension 1. We show that there is a C 1 -di eomorphism that transforms the above equation about x 0 into x 1 _ x 1 = 1, _ x 2...

The Multiquadric Radial Basis Function (MQ) Method is a meshless collocation method with global basis functions. It is known to have exponentional convergence for interpolation problems. We descretize nonlinear elliptic PDEs by the MQ method. This results in modest size systems of nonlinear algebraic equations which can be eeciently continued by standard continuation software such as auto and c...