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We study the optimal stopping problem of maximizing the variance of an unkilled linear diffusion. Especially, we demonstrate how the problem can be solved as a convex two-player zero-sum game, and reveal quite surprising application of game…
The paper presents a novel method for designing an optimal controller for discrete-time switched linear systems. The problem is formulated as one of computing the discrete mode sequence and the continuous input sequence that jointly…
In the paper "Dynkin Games Via Dirichlet Forms and Singular Control of One-Dimensional Diffusion", the authors tried to show the existences of a smooth value function and an optimal policy to a one-dimensional stochastic singular control…
This paper studies the shallow Ritz method for solving one-dimensional diffusion-reaction problems. The method is capable of improving the order of approximation for non-smooth problems. By following a similar approach to the one presented…
We propose a novel direct transcription and solution method for solving nonlinear, continuous-time dynamic optimization problems. Instead of forcing the dynamic constraints to be satisfied only at a selected number of points as in direct…
We consider the optimal stopping problem consisting in, given a strong Markov process, a reward function and a discount rate, finding the stopping time such that the expected reward at the stopping time is maximum. The approach we follow,…
A variety of boundary value problems in linear transport theory are expressed as a diffusion equation of the two-way, or forward-backward, type. In such problems boundary data are specified only on part of the boundary, which introduces…
This paper studies the shallow Ritz method for solving the one-dimensional diffusion problem. It is shown that the shallow Ritz method improves the order of approximation dramatically for non-smooth problems. To realize this optimal or…
We propose an alternative method for one-dimensional continuum diffusion models with spatially variable (heterogeneous) diffusivity. Our method, which extends recent work on stochastic diffusion, assumes the constant-coefficient homogenized…
We employ the viscosity solution technique to analyze optimal stopping problems with regime switching. Specifically, we obtain the viscosity property of value functions, the uniqueness of viscosity solutions, the regularity of value…
Anomalous diffusion is a phenomenon that cannot be modeled accurately by second-order diffusion equations, but is better described by fractional diffusion models. The nonlocal nature of the fractional diffusion operators makes substantially…
In a recent paper (see [7]), a quasi-nonlocal coupling method was introduced to seamlessly bridge a nonlocal diffusion model with the classical local diffusion counterpart in a one-dimensional space. The proposed coupling framework removes…
Diffusion models have achieved remarkable success in generative modeling. Despite more stable training, the loss of diffusion models is not indicative of absolute data-fitting quality, since its optimal value is typically not zero but…
We describe an exact and highly efficient numerical algorithm for solving a special but important class of convection-diffusion equations. These equations occur in many problems in physics, chemistry, or biology, and they are usually hard…
In this paper we discuss the local discontinuous Galerkin methods coupled with two specific explicit-implicit-null time discretizations for solving one-dimensional nonlinear diffusion problems $U_t=(a(U)U_x)_x$. The basic idea is to add and…
We prove the convergence of a particle method for the approximation of diffusive gradient flows in one dimension. This method relies on the discretisation of the energy via non-overlapping balls centred at the particles and preserves the…
High-fidelity, high-resolution numerical simulations are crucial for studying complex multiscale phenomena in fluid dynamics, such as turbulent flows and ocean waves. However, direct numerical simulations with high-resolution solvers are…
This work examines a class of switching jump diffusion processes. The main effort is devoted to proving the maximum principle and obtaining the Harnack inequalities. Compared with the diffusions and switching diffusions, the associated…
Models of diffusive processes that occur on evolving domains are frequently employed to describe biological and physical phenomena, such as diffusion within expanding tissues or substrates. Previous investigations into these models either…
In this paper, we study the optimal control problem for a company whose surplus process evolves as an upward jump diffusion with random return on investment. Three types of practical optimization problems faced by a company that can control…