in this paper, we propose a new method for solving the stochastic advection-diffusion equation of ito type. in this work, we use a compact finite difference approximation for discretizing spatial derivatives of the mentioned equation and semi-implicit milstein scheme for the resulting linear stochastic system of differential equation. the main purpose of this paper is the stability investigatio...

in this paper, we present a method for solving the rst kind abel integral equation. in thismethod, the rst kind abel integral equation is transformed to the second kind volterraintegral equation with a continuous kernel and a smooth deriving term expressed by weaklysingular integrals. by using sidi's sinm - transformation and modied navot-simpson'sintegration rule, an algorithm for...

This paper concerns the random fluctuation theory of a one dimensional elliptic equation with highly oscillatory random coefficient. Theoretical studies show that the rescaled random corrector converges in distribution to a stochastic integral with respect to Brownian motion when the random coefficient has short-range correlation. When the random coefficient has long range correlation, it was s...

in this paper, existence theorems for the fuzzy volterra-fredholm integral equations of mixed type (fvfiemt) involving fuzzy number valued mappings have been investigated. then, by using banach's contraction principle, sufficient conditions for the existence of a unique solution of fvfiemt are given. finally, illustrative examples are presented to validate the obtained results.

This paper considers linear-quadratic control of a non-linear dynamical system subject to arbitrary cost. I show that for this class of stochastic control problems the non-linear Hamilton-Jacobi-Bellman equation can be transformed into a linear equation. The transformation is similar to the transformation used to relate the classical Hamilton-Jacobi equation to the Schrödinger equation. As a re...

This paper considers linear-quadratic control of a non-linear dynamical system subject to arbitrary cost. I show that for this class of stochastic control problems the non-linear Hamilton-Jacobi-Bellman equation can be transformed into a linear equation. The transformation is similar to the transformation used to relate the classical Hamilton-Jacobi equation to the Schrödinger equation. As a re...

We first prove the second order convergence of the Strang-type splitting scheme for the nonlinear Schrödinger equation. The proof does not require commutator estimates but crucially relies on an integral representation of the scheme. It reveals the connection between Strang-type splitting and the midpoint rule. We then show that the integral representation idea can also be used to study the sto...

This paper considers linear-quadratic control of a non-linear dynamical system subject to arbitrary cost. I show that for this class of stochastic control problems the non-linear Hamilton-Jacobi-Bellman equation can be transformed into a linear equation. The transformation is similar to the transformation used to relate the classical Hamilton-Jacobi equation to the Schrödinger equation. As a re...