Related papers: Strong maximum principle for radiative tranfer typ…
The maximality principle has been a valuable tool in identifying the free-boundary functions that are associated with the solutions to several optimal stopping problems involving one-dimensional time-homogeneous diffusions and their running…
The stable principal component pursuit (SPCP) problem is a non-smooth convex optimization problem, the solution of which has been shown both in theory and in practice to enable one to recover the low rank and sparse components of a matrix…
A general stochastic maximum principle is proved for optimal controls of semilinear stochastic evolution equations. Stochastic evolution operators, and the control with values in a general set enter into both drift and diffusion terms.
Using the hyper-exponential recurrence criterion, a large deviation principle for the occupation measure is derived for a class of non-linear monotone stochastic partial differential equations. The main results are applied to many concrete…
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…
In this paper, we study numerical approximations for optimal control of a class of stochastic partial differential equations with partial observations. The system state evolves in a Hilbert space, whereas observations are given in…
We consider the problem of determining an upper bound for the value of a spectral risk measure of a loss that is a general nonlinear function of two factors whose marginal distributions are known, but whose joint distribution is unknown.…
We first prove De Giorgi type level estimates for functions in $W^{1,t}(\Omega)$, $\Omega\subset\mathbb{R}^N$, with $t>N\geq 2$. This augmented integrability enables us to establish a new Harnack type inequality for functions which do not…
The Large Deviations Principle (LDP) is verified for a homogeneous diffusion process with respect to a Brownian motion $B_t$, $$ X^\eps_t=x_0+\int_0^tb(X^\eps_s)ds+ \eps\int_0^t\sigma(X^\eps_s)dB_s, $$ where $b(x)$ and $\sigma(x)$ are are…
Predictive simulations are crucial for the success of many subsurface applications, and it is highly desirable to obtain accurate non-negative solutions for transport equations in these numerical simulations. In this paper, we propose a…
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…
In this paper we are concerned with the maximum principle for quasi-linear backward stochastic partial differential equations (BSPDEs for short) of parabolic type. We first prove the existence and uniqueness of the weak solution to…
We consider Dirichlet exterior value problems related to a class of non-local Schr\"odinger operators, whose kinetic terms are given in terms of Bernstein functions of the Laplacian. We prove elliptic and parabolic…
A large number of problems in optimization, machine learning, signal processing can be effectively addressed by suitable semidefinite programming (SDP) relaxations. Unfortunately, generic SDP solvers hardly scale beyond instances with a few…
Aleksandrov-Bakelman-Pucci maximum principles are studied for a class of fully nonlinear integro-differential equations of order $\sigma\in [2-\varepsilon_0,2)$, where $\varepsilon_0$ is a small constant depending only on given parameters.…
In this paper, a maximum principle for the one-dimensional sub-diffusion equation with Atangana-Baleanu fractional derivative is formulated and proved. The proof of the maximum principle is based on an extremum principle for the…
Turbulent relative dispersion is studied theoretically with a focus on the evolution of probability distribution of the relative separation of two passive particles. A finite separation speed and a finite correlation of relative velocity,…
We establish certain maximum principles for a class of strongly coupled elliptic (or cross diffusion) systems of $m\ge2$ equations. The reaction parts can be non cooperative. These new results will be crucial in obtaining coexistence and…
We consider a class of linear second order differential equations with damping and external force. We investigate the link between a uniform bound on the forcing term and the corresponding ultimate bound on the velocity of solutions, and we…
In this paper, we proved moderate deviation principles for a fully coupled two-time-scale stochastic systems, where the slow process is given by stochastic differential equations with small noise, while the fast process is a rapidly…