Related papers: Numerical Solutions of Jump Diffusions with Markov…
In this paper, we focus on the statistical filtering problem in dynamical models with jumps. When a particular application relies on physical properties which are modeled by linear and Gaussian probability density functions with jumps, an…
In this paper, we focus on numerical approximations of Piecewise Diffusion Markov Processes (PDifMPs), particularly when the explicit flow maps are unavailable. Our approach is based on the thinning method for modelling the jump mechanism…
In this paper, we propose a direct solution method for optimal switching problems of one-dimensional diffusions. This method is free from conjectures about the form of the value function and switching strategies, or does not require the…
The problem of the construction of strong approximations with a given order of convergence for jump-diffusion equations is studied. General approximation schemes are constructed for L\'evy type stochastic differential equation. In…
In this paper we study jump-diffusion stochastic differential equations (SDEs) with a discontinuous drift coefficient and a possibly degenerate diffusion coefficient. Such SDEs appear in applications such as optimal control problems in…
In computational system biology, the mesoscopic model of reaction-diffusion kinetics is described by a continuous time, discrete space Markov process. To simulate diffusion stochastically, the jump coefficients are obtained by a…
Reflected diffusions in polyhedral domains are commonly used as approximate models for stochastic processing networks in heavy traffic. Stationary distributions of such models give useful information on the steady state performance of the…
In this paper we propose a new numerical scheme of relaxation type to approximate the Euler equations of isentropic gas dynamics on the arcs of a network. At the junction mass conservation and a jump transmission condition on the density…
We suggest and compare different methods for the numerical solution of Lyapunov like equations with application to control of Markovian jump linear systems. First, we consider fixed point iterations and associated Krylov subspace…
We consider the diffusive limit of a typical pure-jump Markovian control problem as the intensity of the driving Poisson process tends to infinity. We show that the convergence speed is provided by the H\"older constant of the Hessian of…
Several relaxation approximations to partial differential equations have been recently proposed. Examples include conservation laws, Hamilton-Jacobi equations, convection-diffusion problems, gas dynamics problems. The present paper focuses…
A finite difference numerical method is investigated for fractional order diffusion problems in one space dimension. For this, a mathematical model is developed to incorporate homogeneous Dirichlet and Neumann type boundary conditions. The…
Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are…
Focusing on hybrid diffusion dynamics involving continuous dynamics as well as discrete events, this article investigates the explicit approximations for nonlinear switching diffusion systems modulated by a Markov chain. Different kinds of…
This is the second part of study on the optimal convergence rate of the explicit Euler discretization in time for the convection-diffusion equations [Appl. Math. Lett. \textbf{131} (2022) 108048] which focuses on high-dimensional…
We propose a new scheme for the long time approximation of a diffusion when the drift vector field is not globally Lipschitz. Under this assumption, regular explicit Euler scheme --with constant or decreasing step-- may explode and implicit…
In this paper, we study probabilistic numerical methods based on optimal quantization algorithms for computing the solution to optimal multiple switching problems with regime-dependent state process. We first consider a discrete-time…
Using Malliavin calculus techniques, we derive an analytical formula for the price of European options, for any model including local volatility and Poisson jump process. We show that the accuracy of the formula depends on the smoothness of…
Statistical inference for discretely observed jump-diffusion processes is a complex problem which motivates new methodological challenges. Thus existing approaches invariably resort to time-discretisations which inevitably lead to…
Motivated by the design of fast reinforcement learning algorithms, we study the diffusive limit of a class of pure jump ergodic stochastic control problems. We show that, whenever the intensity of jumps is large enough, the approximation…