Related papers: Exact simulation for solutions of one-dimensional …
We describe a new, surprisingly simple algorithm, that simulates exact sample paths of a class of stochastic differential equations. It involves rejection sampling and, when applicable, returns the location of the path at a random…
In this article we extend the exact simulation methods of Beskos et al. to the solutions of one-dimensional stochastic differential equations involving the local time of the unknown process at point zero. In order to perform the method we…
We introduce a novel method for handling endpoint constraints in constrained differential dynamic programming (DDP). Unlike existing approaches, our method guarantees quadratic convergence and is exact, effectively managing rank…
We consider almost sure convergence of the SDE $dX_t=\alpha_t d t + \beta_t d W_t$ under the existence of a $C^2$-Lyapunov function $F:\mathbb R^d \to \mathbb R$. More explicitly, we show that on the event that the process stays local we…
Diffusion processes arise in many fields, and so simulating the path of a diffusion is an important problem. It is usually necessary to make some sort of approximation via model-discretization, but a recently introduced class of algorithms,…
In order to describe or estimate different quantities related to a specific random variable, it is of prime interest to numerically generate such a variate. In specific situations, the exact generation of random variables might be either…
We provide the first generic exact simulation algorithm for multivariate diffusions. Current exact sampling algorithms for diffusions require the existence of a transformation which can be used to reduce the sampling problem to the case of…
Consider an It\^{o} process $X$ satisfying the stochastic differential equation $dX=a(X)\,dt+b(X)\,dW$ where $a,b$ are smooth and $W$ is a multidimensional Brownian motion. Suppose that $W_n$ has smooth sample paths and that $W_n$ converges…
We study the convergence of a Douglas-Rachford type splitting algorithm for the infinite dimensional stochastic differential equation $$dX+A(t)(X)dt=X\,dW\mbox{ in }(0,T);\ X(0)=x,$$ where $A(t):V\to V'$ is a nonlinear, monotone, coercive…
This work presents two new algorithms for performing constraint satisfaction. The first algorithm presented, DMaxWalkSat, is a constraint solver specialized for solving dynamic, weighted constraint satisfaction problems. The second…
This paper considers an optimization problem for a dynamical system whose evolution depends on a collection of binary decision variables. We develop scalable approximation algorithms with provable suboptimality bounds to provide…
A new computational algorithm, the discrete singular convolution (DSC), is introduced for computational electromagnetics. The basic philosophy behind the DSC algorithm for the approximation of functions and their derivatives is studied.…
We consider the one-dimensional squared Bessel process given by the stochastic differential equation (SDE) \begin{align*} dX_t = 1\,dt + 2\sqrt{X_t}\,dW_t, \quad X_0=x_0, \quad t\in[0,1], \end{align*} and study strong (pathwise)…
We propose new sequential simulation-optimization algorithms for general convex optimization via simulation problems with high-dimensional discrete decision space. The performance of each choice of discrete decision variables is evaluated…
In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large…
In this paper, we study a class of nonconvex and nonsmooth structured difference-of-convex (DC) programs, which contain in the convex part the sum of a nonsmooth linearly composed convex function and a differentiable function, and in the…
An algorithm is proposed, analyzed, and tested experimentally for solving stochastic optimization problems in which the decision variables are constrained to satisfy equations defined by deterministic, smooth, and nonlinear functions. It is…
In this paper an exact rejection algorithm for simulating paths of the coupled Wright-Fisher diffusion is introduced. The coupled Wright-Fisher diffusion is a family of multidimensional Wright-Fisher diffusions that have drifts depending on…
In this paper we study different algorithms for backward stochastic differential equations (BSDE in short) basing on random walk framework for 1-dimensional Brownian motion. Implicit and explicit schemes for both BSDE and reflected BSDE are…
We consider the problem of learning Stochastic Differential Equations of the form $dX_t = f(X_t)dt+\sigma(X_t)dW_t $ from one sample trajectory. This problem is more challenging than learning deterministic dynamical systems because one…