arXiv research

Solves second-order PDEs using quotients and differential invariants.

In this present paper, we study geometric structures of rank two prolongations of implicit second-order partial differential equations (PDEs) for two independent and one dependent variables and characterize the type of these PDEs by the topology of fibers of the rank two prolongations. Moreover, by using properties of …

For each simple Lie algebra $\mathfrak{g}$ (excluding, for trivial reasons, type ${\sf C}$) we find the lowest possible degree of an invariant second-order PDE over the adjoint variety in $\mathbb{P}\mathfrak{g}$, a homogeneous contact manifold. Here a PDE $F(x^i,u,u_i,u_{ij})=0$ has degree $\le d$ if $F$ is a polynomi…

New insights into 3D PDEs via Einstein-Weyl geometry.

We consider the problem of computing the integrable sub-distributions of the non-integrable Vessiot distribution of multi-dimensional second order partial differential equations (PDEs). We use Vessiot theory and solvable structures to find the largest integrable distributions contained in the Vessiot distribution assoc…

We study second-order PDEs in 4D for which the conformal structure defined by the characteristic variety of the equation is half-flat (self-dual or anti-self-dual) on every solution. We prove that this requirement implies the Monge-Ampere property. Since half-flatness of the conformal structure is equivalent to the exi…

This paper studies an unsupervised deep learning-based numerical approach for solving partial differential equations (PDEs). The approach makes use of the deep neural network to approximate solutions of PDEs through the compositional construction and employs least-squares functionals as loss functions to determine para…

For the purpose of understanding second-order scalar PDEs and their hydrodynamic integrability, we introduce G-structures that are induced on hypersurfaces of the space of symmetric matrices (interpreted as the fiber of second-order jet space) and are defined by non-degenerate scalar second-order-only (Hessian) PDEs in…

High-dimensional partial differential equations (PDE) appear in a number of models from the financial industry, such as in derivative pricing models, credit valuation adjustment (CVA) models, or portfolio optimization models. The PDEs in such applications are high-dimensional as the dimension corresponds to the number …

We present high-order compact schemes for a linear second-order parabolic partial differential equation (PDE) with mixed second-order derivative terms in two spatial dimensions. The schemes are applied to option pricing PDE for a family of stochastic volatility models. We use a non-uniform grid with more grid-points ar…

Novel IMEX scheme solves financial PDEs with mixed derivatives.

This paper contains a thorough introduction to the basic geometric properties of the manifold of Lagrangian subspaces of a linear symplectic space, known as the Lagrangian Grassmannian. It also reviews the important relationship between hypersurfaces in the Lagrangian Grassmannian and second-order PDEs.

Of all real Lagrangian--Grassmannians $LG(n,2n)$, only $LG(2,4)$ admits a distinguished (Lorentzian) conformal structure and hence is identified with the indefinite M\"obius space $S^{1,2}$. Using Cartan's method of moving frames, we study hyperbolic (timelike) surfaces in $LG(2,4)$ modulo the conformal symplectic gro…

D2SRM solves complex PDEs using deep learning.

All anti-self-dual Einstein metrics with non-zero cosmological constant arise from a single second-order PDE.

We show how the tangent bundle decomposition generated by a system of ordinary differential equations may be generalized to the case of a system of second order PDEs `of connection type'. Whereas for ODEs the decomposition is intrinsic, for PDEs it is necessary to specify a closed 1-form on the manifold of independent …

For several classes of second order dispersionless PDEs, we show that the symbols of their formal linearizations define conformal structures which must be Einstein-Weyl in 3D (or self-dual in 4D) if and only if the PDE is integrable by the method of hydrodynamic reductions. This demonstrates that the integrability of t…

Using the symmetry group theory of second order PDEs, one finds the symmetry group associated to Tzitzeica surfaces partial differential equation. One studies the inverse problem and one shows that the Tzitzeica surfaces PDE is an Euler-Lagrange equation. One determines the variational symmetry group of the associated …

In this paper we derive a second order approximation for an infinite dimensional limit order book model, in which the dynamics of the incoming order flow is allowed to depend on the current market price as well as on a volume indicator (e.g.~the volume standing at the top of the book). We study the fluctuations of the …

In this paper, we consider an equivalence problem of second order partially differential equations (PDE) and a duality of the flat differential equation. For the equivalence problem, explicit form of invariants (curvatures) are given. We also investigate a duality associated with the flat equation using double fibratio…

The paper solves PDEs from matrices with orthogonal columns, linking them to Hessian metrics and symmetric spaces.

We provide an asymptotic expansion of the value function of a multidimensional utility maximization problem from consumption with small non-linear price impact. In our model cross-impacts between assets are allowed. In the limit for small price impact, we determine the asymptotic expansion of the value function around …

Conservation laws vanishing along characteristic directions of a given system of PDEs are known as characteristic conservation laws, or characteristic integrals. In 2D, they play an important role in the theory of Darboux-integrable equations. In this paper we discuss characteristic integrals in 3D and demonstrate that…

This paper extends, to a class of systems of semi-linear hyperbolic second order PDEs in three variables, the geometric study of a single nonlinear hyperbolic PDE in the plane as presented in [Anderson I.M., Kamran N., Duke Math. J. 87 (1997), 265-319]. The constrained variational bi-complex is introduced and used to d…

New systems of linear PDEs discovered in 3D contact manifolds.

In this paper we study elliptic PDEs on compact Gromov-Hausdorff limit spaces of Riemannian manifolds with lower Ricci curvature bounds. In particular we establish continuities of geometric quantities, which include solutions of Poisson's equations, eigenvalues of Schrodinger operators, generalized Yamabe constants and…

We study integrable non-degenerate Monge-Ampere equations of Hirota type in 4D and demonstrate that their symmetry algebras have a distinguished graded structure, uniquely determining the equations. This is used to deform these heavenly type equations into new integrable PDE of the second order with large symmetry pseu…

This paper presents a geometric-variational approach to continuous and discrete {\it second-order} field theories following the methodology of \cite{MPS}. Staying entirely in the Lagrangian framework and letting $Y$ denote the configuration fiber bundle, we show that both the multisymplectic structure on $J^3Y$ as well…

The paper explores how multiway data from PDEs can be accurately tracked using EnKF with specific covariance and precision estimators.

New methods solve complex PDEs with mixed boundary conditions.

Study shows rate of convergence for particle approximation of PDEs in Wasserstein space.

We analyse the singularity formation of congruences of solutions of systems of second order PDEs via the construction of \emph{shape maps}. The trace of such maps represents a congruence volume whose collapse we study through an appropriate evolution equation, akin to Raychaudhuri's equation. We develop the necessary g…

Many processes in science and engineering can be described by partial differential equations (PDEs). Traditionally, PDEs are derived by considering first principles of physics to derive the relations between the involved physical quantities of interest. A different approach is to measure the quantities of interest and …

In this paper we construct some multi-time geometrical extensions of the KCC-invariants, which characterize a given second-order system of PDEs on the 1-jet space $J^1(T,M)$. A theorem of characterization of these multi-time geometrical KCC-invariants is given.

We propose a neural network-based algorithm for solving forward and inverse problems for partial differential equations in unsupervised fashion. The solution is approximated by a deep neural network which is the minimizer of a cost function, and satisfies the PDE, boundary conditions, and additional regularizations. Th…

We prove that the existence of a dispersionless Lax pair with spectral parameter for a nondegenerate hyperbolic second order partial differential equation (PDE) is equivalent to the canonical conformal structure defined by the symbol being Einstein-Weyl on any solution in 3D, and self-dual on any solution in 4D. The fi…

A quadratic line complex is a three-parameter family of lines in projective space P^3 specified by a single quadratic relation in the Plucker coordinates. Fixing a point p in P^3 and taking all lines of the complex passing through p we obtain a quadratic cone with vertex at p. This family of cones supplies P^3 with a c…

We study the conformal plate buckling equation (Laplace--Beltrami)^2 u =1, where the L-B operator is for the metric g = e^{2u}g_0, with $g_0$ the standard Euclidean metric on R^2. This conformal elliptic PDE of fourth order is equivalent to the nonlinear system of elliptic PDEs of second order, Delta u +K_g e^(2u)=0, D…

These are lecture notes for the mini-course \textit{PDE and hypersurfaces with prescribed mean curvature} held in Federal University of São Carlos at the Workshop on Submanifold Theory and Geometric Analysis, August 05 -- 09, 2019. The aim of these notes is to introduce to the geometers useful tools from the \textit{Th…

We present an analytic approach to solve a degenerate parabolic problem associated to the Heston model, which is widely used in mathematical finance to derive the price of an European option on an risky asset with stochastic volatility. We give a variational formulation, involving weighted Sobolev spaces, of the second…

We consider four (real or complex) dimensional hyper-Kähler metrics with a conformal symmetry K. The three-dimensional space of orbits of K is shown to have an Einstein-Weyl structure which admits a shear-free geodesics congruence for which the twist is a constant multiple of the divergence. In this case the Einstein-W…

Classifies scalar second-order PDEs with low-dimensional symmetry groups.

In this review paper we discuss the different interpretations of the concept of connection in a fiber bundle and in a jet bundle, and relate it with first and second-order systems of partial differential equations (PDE's) and multivector fields. As particular cases we analyze the concepts of linear connections and conn…

In this paper we prove a version of Lie-Bäcklund theorem for overdetermined systems of scalar PDEs, whose general solution depends on 1 function of 1 variable. This generalizes the case of involutive system of the second order on the plane treated by E.Cartan in 1910. Many examples are provided.

We develop a second-order model for limit order books in a single scaling regime.

The comparison principle for scalar second order parabolic PDEs on functions $u(t,x)$ admits a topological interpretation: pairs of solutions, $u^1(t,\cdot)$ and $u^2(t,\cdot)$, evolve so as to not increase the intersection number of their graphs. We generalize to the case of multiple solutions $\{u^α(t,\cdot)\}_{α=1}^…

This paper is dedicated to the construction of high-order (in both space and time) finite-difference schemes for both forward and backward PDEs and PIDEs, such that option prices obtained by solving both the forward and backward equations are consistent. This approach is partly inspired by Andreasen & Huge, 2011 who re…

In this paper we study a general framework of American put option with stochastic volatility whose value function is associated with a 2-dimensional parabolic variational inequality with degenerate boundaries. We apply PDE methods to analyze the existences of the strong solution and the properties of the 2-dimensional …