comments on efficient robust constrained model predictive control with a time varying terminal constraint set by wan and kothare abstract we present an algorithm that modifies the original formulation proposed in wan and kothare efficient robust constrained model predictive control with a time varying terminal constraint set systems control lett 48 2003 375 383 the modified algorithm can be proved to be robustly stabilizing and preserves all the advantages of the original algorithm thereby overcoming the limitation pointed out recently by pluymers et al min max feedback mpc using a time varying terminal constraint set and comments on efficient robust constrained model predictive control with a time varying terminal constraint set systems control lett 54 2005 1143 1148

integration with respect to fractal functions and stochastic calculus i the classical lebesgue stieltjes integral b a fdg of real or complex valued functions on a finite interval a b is extended to a large class of integrands f and integrators g of unbounded variation the key is to use composition formulas and integration by part rules for fractional integrals and weyl derivatives in the special case of holder continuous functions f and g of summed order greater than 1 convergence of the corresponding riemann stieltjes sums is proved the results are applied to stochastic integrals where g is replaced by the wiener process and f by adapted as well as anticipating random functions in the anticipating case we work within slobodeckij spaces and introduce a stochastic integral for which the classical ito formula remains valid moreover this approach enables us to derive calculation rules for pathwise defined stochastic integrals with respect to fractional brownian motion

vector valued stochastic delay equations a weak solution and its markovian representation abstract a class of stochastic delay equations in a type 2 umd banach space e driven by the cylindrical wiener process is studied we investigate two concepts of solutions weak and generalised strong and give conditions under which they are equivalent we present an evolution equation approach in a banach space e p e l p 1 0 e proving that the solutions can be reformulated as e p valued markov processes based on the markovian representation we prove the existence and continuity of the solutions the results are applied to stochastic reaction diffusion equations with delays

evolution equations driven by a fractional brownian motion abstract in this paper we study nonlinear stochastic evolution equations in a hilbert space driven by a cylindrical fractional brownian motion with hurst parameter h 1 2 and nuclear covariance operator we establish the existence and uniqueness of a mild solution under some regularity and boundedness conditions on the coefficients and for some values of the parameter h this result is applied to stochastic parabolic equation perturbed by a fractional white noise in this case if the coefficients are lipschitz continuous and bounded the existence and uniqueness of a solution holds if h d 4 the proofs of our results combine techniques of fractional calculus with semigroup estimates

optimal schwarz waveform relaxation for the one dimensional wave equation we introduce a nonoverlapping variant of the schwarz waveform relaxation algorithm for wave propagation problems with variable coefficients in one spatial dimension we derive transmission conditions which lead to convergence of the algorithm in a number of iterations equal to the number of subdomains independently of the length of the time interval these optimal transmission conditions are in general nonlocal but we show that the nonlocality depends on the time interval under consideration and we introduce time windows to obtain optimal performance of the algorithm with local transmission conditions in the case of piecewise constant wave speed we show that convergence in two iterations can be achieved independently of the number of subdomains in that case the algorithm thus scales optimally with the number of subdomains provided the time windows are chosen appropriately for continuously varying coefficients we prove convergence of the algorithm with local transmission conditions using energy estimates we then introduce a finite volume discretization which permits computations on nonmatching grids and we prove convergence of the fully discrete schwarz waveform relaxation algorithm we finally illustrate our analysis with numerical experiments

variational solutions for partial differential equations driven by a fractional noise abstract in this article we develop an existence and uniqueness theory of variational solutions for a class of nonautonomous stochastic partial differential equations of parabolic type defined on a bounded open subset d r d and driven by an infinite dimensional multiplicative fractional noise we introduce two notions of such solutions for them and prove their existence and their indistinguishability by assuming that the noise is derived from an l 2 d valued fractional wiener process w h with hurst parameter h 1 1 1 whose covariance operator satisfies appropriate integrability conditions and where 0 1 denotes the holder exponent of the derivative of the nonlinearity in the stochastic term of the equations we also prove the uniqueness of solutions when the stochastic term is an affine function of the unknown random field our existence and uniqueness proofs rest upon the construction and the convergence of a suitable sequence of faedo galerkin approximations while our proof of indistinguishability is based on certain density arguments as well as on new continuity properties of the stochastic integral we define with respect to w h

error analysis for absorbing boundary conditions an estimate is derived for the error committed by the introduction of artificial boundaries and corresponding artificial boundary conditions when solving wave equations on unbounded domains the estimate has two terms one is proportional to the largest reflection coefficient for the artificial boundary condition the maximum taken only on those rays which appear in the computation the second term is proportional to 1 k wherek is a measure of the average frequency present in the solution

stochastic analysis rough path analysis and fractional brownian motions in this paper we show by using dyadic approximations the existence of a geometric rough path associated with a fractional brownian motion with hurst parameter greater than 1 4 using the integral representation of fractional brownian motions we furthermore obtain a skohorod integral representation of the geometric rough path we constructed by the results in ly1 a stochastic integration theory may be established for fractional brownian motions and strong solutions and a wong zakai type limit theorem for stochastic differential equations driven by fractional brownian motions can be deduced accordingly the method can actually be applied to a larger class of gaussian processes with covariance functions satisfying a simple decay condition

stochastic calculus with respect to gaussian processes in this paper we develop a stochastic calculus with respect to a gaussian process of the form b t int t 0 k t s dw s where w is a wiener process and k t s is a square integrable kernel using the techniques of the stochastic calculus of variations we deduce change of variable formulas for the indefinite integrals and we study the approximation by riemann sums the particular case of the fractional brownian motion is discussed

local mild solutions for rough stochastic partial differential equations abstract we investigate mild solutions for stochastic evolution equations driven by a fractional brownian motion fbm with hurst parameter h 1 3 1 2 in infinite dimensional banach spaces using elements from rough paths theory we introduce an appropriate integral with respect to the fbm this allows us to solve pathwise our stochastic evolution equation in a suitable function space

on the rate of convergence of schwarz waveform relaxation methods for the time dependent schrodinger equation this paper is dedicated to the analysis of the rate of convergence of the classical and quasi optimal schwarz waveform relaxation swr method for solving the linear schrodinger equation with space dependent potential the strategy is based on i the rewriting of the swr algorithm as a fixed point algorithm in frequency space and ii the explicit construction of contraction factors thanks to pseudo differential calculus some numerical experiments illustrating the analysis are also provided

stochastic heat equation driven by fractional noise and local time the aim of this paper is to study the d dimensional stochastic heat equation with a multiplicative gaussian noise which is white in space and has the covariance of a fractional brownian motion with hurst parameter h 0 1 in time two types of equations are considered first we consider the equation in the ito skorohod sense and later in the stratonovich sense an explicit chaos expansion for the solution is obtained on the other hand the moments of the solution are expressed in terms of the exponential moments of some weighted intersection local time of the brownian motion

an analysis of schwarz waveform relaxation domain decomposition methods for the imaginary time linear schrodinger and gross pitaevskii equations the aim of this paper is to derive and numerically validate some asymptotic estimates of the convergence rate of classical and quasi optimal schwarz waveform relaxation swr domain decomposition methods applied to the computation of the stationary states of the one dimensional linear and nonlinear schrodinger equations with a space dependent potential although swr methods are currently used for efficiently solving high dimensional partial differential equations their convergence analysis and most particularly obtaining expressions of their convergence rate remains largely open even in one dimension except in simple cases in this work we tackle this problem for linear and nonlinear one dimensional schrodinger equations by developing techniques which can be extended to higher dimensional problems and other types of pdes the approach combines the method developed in gander and halpern siam j num anal 45 2 666 697 2007 for the linear advection reaction diffusion equation and the theory of inhomogeneous pseudodifferential operators in conjunction with the associated symbolic asymptotic expansions for computing the stationary states we consider the imaginary time formulation of the schrodinger equation based on the normalized gradient flow ngf method and use a semi implicit euler scheme for the discretization some numerical results in the one dimensional case illustrate the analysis for both the linear schrodinger and gross pitaevskii equations

abstract fractional cauchy problems with almost sectorial operators abstract of concern are the cauchy problems for linear and semilinear time fractional evolution equations involving in the linear part a linear operator a whose resolvent satisfies the estimate of growth 1 0 in a sector of the complex plane which occurs when one considers for instance the partial differential operators in the limit domain of dumb bell with a thin handle or in the space of holder continuous functions by constructing a pair of families of operators in terms of the generalized mittag leffler type functions and the resolvent operators associated with a for the first time and a deep analysis on the properties for these families we obtain the existence and uniqueness of mild solutions and classical solutions to the cauchy problems moreover we present three examples to illustrate the feasibility of our results

the existence and exponential behavior of solutions to stochastic delay evolution equations with a fractional brownian motion abstract in this paper we investigate the existence uniqueness and exponential asymptotic behavior of mild solutions to stochastic delay evolution equations perturbed by a fractional brownian motion b q h t d x t a x t f t x t d t g t d b q h t with hurst parameter h 1 2 1 we also consider the existence of weak solutions

stochastic calculus for fractional brownian motion i theory in this paper a stochastic calculus is given for the fractional brownian motions that have the hurst parameter in 1 2 1 a stochastic integral of ito type is defined for a family of integrands so that the integral has zero mean and an explicit expression for the second moment this integral uses the wick product and a derivative in the path space some ito formulae or change of variables formulae are given for smooth functions of a fractional brownian motion or some processes related to a fractional brownian motion a stochastic integral of stratonovich type is defined and the two types of stochastic integrals are explicitly related a square integrable functional of a fractional brownian motion is expressed as an infinite series of orthogonal multiple integrals

frozen gaussian approximation based domain decomposition methods for the linear schrodinger equation beyond the semi classical regime the paper is devoted to develop efficient domain decomposition methods for the linear schrodinger equation beyond the semiclassical regime which does not carry a small enough rescaled planck constant for asymptotic methods e g geometric optics to produce a good accuracy but which is too computationally expensive if direct methods e g finite difference are applied this belongs to the category of computing middle frequency wave propagation where neither asymptotic nor direct methods can be directly used with both efficiency and accuracy motivated by recent works of the authors on absorbing boundary conditions antoine et al 2014 13 and yang and zhang 2014 43 we introduce semiclassical schwarz waveform relaxation methods sswr which are seamless integrations of semiclassical approximation to schwarz waveform relaxation methods two versions are proposed respectively based on herman kluk propagation and geometric optics and we prove the convergence and provide numerical evidence of efficiency and accuracy of these methods

absorbing boundary conditions for the two dimensional schrodinger equation with an exterior potential four families of abcs where built in antoine et al math models methods appl sci 22 10 2012 for the two dimensional linear schrodinger equation with time and space dependent potentials and for general smooth convex fictitious surfaces the aim of this paper is to propose some suitable discretization schemes of these abcs and to prove some semi discrete stability results furthermore the full numerical discretization of the corresponding initial boundary value problems is considered and simulations are provided to compare the accuracy of the different abcs

sample paths estimates for stochastic fast slow systems driven by fractional brownian motion we analyze the effect of additive fractional noise with hurst parameter h 1 2 on fast slow systems our strategy is based on sample paths estimates similar to the approach by berglund and gentz in the brownian motion case yet the setting of fractional brownian motion does not allow us to use the martingale methods from fast slow systems with brownian motion we thoroughly investigate the case where the deterministic system permits a uniformly hyperbolic stable slow manifold in this setting we provide a neighborhood tailored to the fast slow structure of the system that contains the process with high probability we prove this assertion by providing exponential error estimates on the probability that the system leaves this neighborhood we also illustrate our results in an example arising in climate modeling where time correlated noise processes have become of greater relevance recently

absorbing boundary conditions for the one dimensional schrodinger equation with an exterior repulsive potential mathematical constructions and comparisons of accurate absorbing boundary conditions for the one dimensional schrodinger equation with a general variable repulsive potential are developed stable semi discretization schemes are built for the associated initial boundary value problems finally some numerical simulations give a comparison of the various absorbing boundary conditions and show that they yield accurate computations

optimized schwarz methods optimized schwarz methods are a new class of schwarz methods with greatly enhanced convergence properties they converge uniformly faster than classical schwarz methods and their convergence rates dare asymptotically much better than the convergence rates of classical schwarz methods if the overlap is of the order of the mesh parameter which is often the case in practical applications they achieve this performance by using new transmission conditions between subdomains which greatly enhance the information exchange between subdomains and are motivated by the physics of the underlying problem we analyze in this paper these new methods for symmetric positive definite problems and show their relation to other modern domain decomposition methods like the new finite element tearing and interconnect feti variants

unconditionally stable discretization schemes of non reflecting boundary conditions for the one dimensional schrodinger equation this paper addresses the problem of the construction of stable approximation schemes for the one dimensional linear schrodinger equation set in an unbounded domain after a study of the initial boundary value problem in a bounded domain with a transparent boundary condition some unconditionally stable discretization schemes are developed for this kind of problem the main difficulty is linked to the involvement of a fractional integral operator defining the transparent operator the proposed semi discretization of this operator yields with a very different point of view the one proposed by yevick friese and schmidt j comput phys 168 2001 433 two possible choices of transparent boundary conditions based on the dirichlet neumann dn and neumann dirichlet nd operators are presented to preserve the stability of the fully discrete scheme conform galerkin finite element methods are employed for the spatial discretization finally some numerical tests are performed to study the respective accuracy of the different schemes

stochastic averaging for a class of two time scale systems of stochastic partial differential equations abstract this paper focuses on systems of stochastic partial differential equations that have a slow component driven by a fractional brownian motion and a fast component driven by a fast varying diffusion we establish an averaging principle in which the fast varying diffusion process acts as a noise and is averaged out in the limit the slow process is shown to have a limit in the l 2 sense which is characterized by the solution of a stochastic partial differential equation driven by a fractional brownian motion whose coefficients are averages of that of the original slow process with respect to the stationary measure of the fast varying diffusion this averaging principle paves a way for reduction of computational complexity the implication is that one can ignore the complex original systems and concentrate on the average systems instead

viability for stochastic functional differential equations with infinite memory driven by a fractional brownian motion abstract in this paper we prove a viability result for stochastic functional differential equation with infinite memory driven by a fractional brownian motion with hurst parameter 1 2 h 1 using pathwise approach

gradient type noises ii systems of stochastic partial differential equations abstract the present paper is the second and main part of a study of partial differential equations under the influence of noisy perturbations existence and uniqueness of function solutions in the mild sense are obtained for a class of deterministic linear and semilinear parabolic boundary initial value problems if the noise data are random the results may be seen as a pathwise approach to spde s for typical examples such as spatially one dimensional stochastic heat equations with additive or multiplicative perturbations of fractional brownian type we recover and extend known results in addition we propose to consider partial noises of low order