Numerical methods for a class of nonlocal diffusion problems with the use of backward SDEs
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Publication:2007289
superdiffusionbackward stochastic differential equation with jumpscompound Poisson process\(\theta\)-schemenonlocal diffusion equationsadaptive approximation
Initial value problems for second-order parabolic equations (35K15) Reaction-diffusion equations (35K57) Semilinear parabolic equations (35K58) PDEs with randomness, stochastic partial differential equations (35R60) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)
Abstract: We propose a novel numerical approach for nonlocal diffusion equations [8] with integrable kernels, based on the relationship between the backward Kolmogorov equation and backward stochastic differential equations (BSDEs) driven by L`{e}vy processes with jumps. The nonlocal diffusion problem under consideration is converted to a BSDE,for which numerical schemes are developed and applied directly. As a stochastic approach, the proposed method does not require the solution of linear systems, which allows for embarrassingly parallel implementations and also enables adaptive approximation techniques to be incorporated in a straightforward fashion. Moreover, our method is more accurate than classic stochastic approaches due to the use of high-order temporal and spatial discretization schemes. In addition, our approach can handle a broad class of problems with general nonlinear forcing terms as long as they are globally Lipchitz continuous. Rigorous error analysis of the new method is provided as several numerical examples that illustrate the effectiveness and efficiency of the proposed approach.
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Cited in
(6)- Sparse Monte Carlo method for nonlocal diffusion problems
- A deep learning method for solving multi-dimensional coupled forward-backward doubly SDEs
- A Feynman-Kac based numerical method for the exit time probability of a class of transport problems
- A Probabilistic Scheme for Semilinear Nonlocal Diffusion Equations with Volume Constraints
- Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps
- A wavelet-based approach for the simulation and optimal control of nonlocal operator equations
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