The maximum principle for fully coupled forward-backward stochastic control system in the global form is proved, under the assumption that the forward diffusion coefficient does not contain the control variable, but t...The maximum principle for fully coupled forward-backward stochastic control system in the global form is proved, under the assumption that the forward diffusion coefficient does not contain the control variable, but the control domain is not necessarily convex.展开更多
It is known that the Allen-Chan equations satisfy the maximum principle. Is this true for numerical schemes？ To the best of our knowledge, the state-of-art stability framework is the nonlinear energy stability which ...It is known that the Allen-Chan equations satisfy the maximum principle. Is this true for numerical schemes？ To the best of our knowledge, the state-of-art stability framework is the nonlinear energy stability which has been studied extensively for the phase field type equations. In this work, we will show that a stronger stability under the infinity norm can be established for the implicit-explicit discretization in time and central finite difference in space. In other words, this commonly used numerical method for the Allen-Cahn equation preserves the maximum principle.展开更多
基金Supported by National Natural Science Foundation of P.R.China (10371067) the Youth Teacher Foundation of Fok Ying Tung Education Foundation (91064)New Century Excellent Young Teachers Foundation of P. R. China (NCEF-04-0633)
文摘The maximum principle for fully coupled forward-backward stochastic control system in the global form is proved, under the assumption that the forward diffusion coefficient does not contain the control variable, but the control domain is not necessarily convex.
文摘It is known that the Allen-Chan equations satisfy the maximum principle. Is this true for numerical schemes？ To the best of our knowledge, the state-of-art stability framework is the nonlinear energy stability which has been studied extensively for the phase field type equations. In this work, we will show that a stronger stability under the infinity norm can be established for the implicit-explicit discretization in time and central finite difference in space. In other words, this commonly used numerical method for the Allen-Cahn equation preserves the maximum principle.
