Overcoming the Curse of Dimensionality in the Numerical Approximation of Parabolic Partial Differential Equations with Gradient-Dependent Nonlinearities

Partial differential equations (PDEs) are a fundamental tool in the modeling of many real-world phenomena. In a number of such real-world phenomena the PDEs under consideration contain gradient-dependent nonlinearities and are high-dimensional. Such high-dimensional nonlinear PDEs can in nearly all cases not be solved explicitly, and it is one of the most challenging tasks in applied mathematics to solve high-dimensional nonlinear PDEs approximately. It is especially very challenging to design approximation algorithms for nonlinear PDEs for which one can rigorously prove that they do overcome the so-called curse of dimensionality in the sense that the number of computational operations of the approximation algorithm needed to achieve an approximation precision of size $${\varepsilon }> 0$$ ε > 0 grows at most polynomially in both the PDE dimension $$d \in \mathbb {N}$$ d ∈ N and the reciprocal of the prescribed approximation accuracy $${\varepsilon }$$ ε . In particular, to the best of our knowledge there exists no approximation algorithm in the scientific literature which has been proven to overcome the curse of dimensionality in the case of a class of nonlinear PDEs with general time horizons and gradient-dependent nonlinearities. It is the key contribution of this article to overcome this difficulty. More specifically, it is the key contribution of this article (i) to propose a new full-history recursive multilevel Picard approximation algorithm for high-dimensional nonlinear heat equations with general time horizons and gradient-dependent nonlinearities and (ii) to rigorously prove that this full-history recursive multilevel Picard approximation algorithm does indeed overcome the curse of dimensionality in the case of such nonlinear heat equations with gradient-dependent nonlinearities.

Time analyticity of the biharmonic heat equation, the heat equation with potentials and some nonlinear heat equations

<p style='text-indent:20px;'>In this paper, we investigate the pointwise time analyticity of three differential equations. They are the biharmonic heat equation, the heat equation with potentials and some nonlinear heat equations with power nonlinearity of order <inline-formula><tex-math id="M1">\begin{document}$ p $\end{document}</tex-math></inline-formula>. The potentials include all the nonnegative ones. For the first two equations, we prove if <inline-formula><tex-math id="M2">\begin{document}$ u $\end{document}</tex-math></inline-formula> satisfies some growth conditions in <inline-formula><tex-math id="M3">\begin{document}$ (x,t)\in \mathrm{M}\times [0,1] $\end{document}</tex-math></inline-formula>, then <inline-formula><tex-math id="M4">\begin{document}$ u $\end{document}</tex-math></inline-formula> is analytic in time <inline-formula><tex-math id="M5">\begin{document}$ (0,1] $\end{document}</tex-math></inline-formula>. Here <inline-formula><tex-math id="M6">\begin{document}$ \mathrm{M} $\end{document}</tex-math></inline-formula> is <inline-formula><tex-math id="M7">\begin{document}$ R^d $\end{document}</tex-math></inline-formula> or a complete noncompact manifold with Ricci curvature bounded from below by a constant. Then we obtain a necessary and sufficient condition such that <inline-formula><tex-math id="M8">\begin{document}$ u(x,t) $\end{document}</tex-math></inline-formula> is analytic in time at <inline-formula><tex-math id="M9">\begin{document}$ t = 0 $\end{document}</tex-math></inline-formula>. Applying this method, we also obtain a necessary and sufficient condition for the solvability of the backward equations, which is ill-posed in general.</p><p style='text-indent:20px;'>For the nonlinear heat equation with power nonlinearity of order <inline-formula><tex-math id="M10">\begin{document}$ p $\end{document}</tex-math></inline-formula>, we prove that a solution is analytic in time <inline-formula><tex-math id="M11">\begin{document}$ t\in (0,1] $\end{document}</tex-math></inline-formula> if it is bounded in <inline-formula><tex-math id="M12">\begin{document}$ \mathrm{M}\times[0,1] $\end{document}</tex-math></inline-formula> and <inline-formula><tex-math id="M13">\begin{document}$ p $\end{document}</tex-math></inline-formula> is a positive integer. In addition, we investigate the case when <inline-formula><tex-math id="M14">\begin{document}$ p $\end{document}</tex-math></inline-formula> is a rational number with a stronger assumption <inline-formula><tex-math id="M15">\begin{document}$ 0&lt;C_3 \leq |u(x,t)| \leq C_4 $\end{document}</tex-math></inline-formula>. It is also shown that a solution may not be analytic in time if it is allowed to be <inline-formula><tex-math id="M16">\begin{document}$ 0 $\end{document}</tex-math></inline-formula>. As a lemma, we obtain an estimate of <inline-formula><tex-math id="M17">\begin{document}$ \partial_t^k \Gamma(x,t;y) $\end{document}</tex-math></inline-formula> where <inline-formula><tex-math id="M18">\begin{document}$ \Gamma(x,t;y) $\end{document}</tex-math></inline-formula> is the heat kernel on a manifold, with an explicit estimation of the coefficients.</p><p style='text-indent:20px;'>An interesting point is that a solution may be analytic in time even if it is not smooth in the space variable <inline-formula><tex-math id="M19">\begin{document}$ x $\end{document}</tex-math></inline-formula>, implying that the analyticity of space and time can be independent. Besides, for general manifolds, space analyticity may not hold since it requires certain bounds on curvature and its derivatives.</p>