Related papers: A Correction to "Dynkin Games Via Dirichlet Forms …
Solving statistical learning problems often involves nonconvex optimization. Despite the empirical success of nonconvex statistical optimization methods, their global dynamics, especially convergence to the desirable local minima, remain…
The value function of an optimal stopping problem for jump diffusions is known to be a generalized solution of a variational inequality. Assuming that the diffusion component of the process is nondegenerate and a mild assumption on the…
In this paper, a diffusion-aggregation equation with delta potential is introduced. Based on the global existence and uniform estimates of solutions to the diffusion-aggregation equation, we also provide the rigorous derivation from a…
A weak Galerkin discretization of the boundary value problem of a general anisotropic diffusion problem is studied for preservation of the maximum principle. It is shown that the direct application of the $M$-matrix theory to the stiffness…
Inverting real images into the noise space is essential for editing tasks using diffusion models, yet existing methods produce non-Gaussian noise with poor editability due to the inaccuracy in early noising steps. We identify the root…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…
We study a robust Dynkin game over a set of mutually singular probabilities. We first prove that for the conservative player of the game, her lower and upper value processes coincide (i.e. She has a value process $V $ in the game). Such a…
We present a novel simulation-free framework for training continuous-time diffusion processes over very general objective functions. Existing methods typically involve either prescribing the optimal diffusion process -- which only works for…
We present discrete-time approximation of optimal control policies for infinite horizon discounted/ergodic control problems for controlled diffusions in $\Rd$\,. In particular, our objective is to show near optimality of optimal policies…
We introduce a class of fully nonlinear mean field games posed in $[0,T]\times\mathbb{R}^d$. We justify that they are related to controlled local or nonlocal diffusions, and more generally in our setting, to a new control interpretation…
We investigate statistical properties of several classes of periodic billiard models which are diffusive. An introductory chapter gives motivation, and then a review of statistical properties of dynamical systems is given in chapter 2. In…
In the framework of stochastic zero-sum differential games, we establish a verification theorem, inspired by those existing in stochastic control, to provide sufficient conditions for a pair of feedback controls to form a Nash equilibrium.…
In this work we adopt a combination of probabilistic approach and analytic methods to study the fundamental solutions to variations of the Wright-Fisher equation in one dimension. To be specific, we consider a diffusion equation on…
We obtain a probabilistic solution to linear-quadratic optimal control problems with state constraints. Given a closed set $\mathcal{D}\subseteq [0,T]\times\mathbb{R}^d$, a diffusion $X$ in $\mathbb{R}^d$ must be linearly controlled in…
A review of solutions of solid-state diffusion problems in infinite and semi-infinite bodies is presented. Based on the identified solutions for the semi-infinite body a two-step diffusion problem is discussed in detail with the first step…
This paper studies a 2-players zero-sum Dynkin game arising from pricing an option on an asset whose rate of return is unknown to both players. Using filtering techniques we first reduce the problem to a zero-sum Dynkin game on a…
We prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a stochastic partial differential equation driven by a finite dimensional Wiener process. The equation is formulated in a semi-abstract form…
This article studies a dirichlet boundary value problem for singularly perturbed time delay convection diffusion equation with degenerate coefficient. A priori explicit bounds are established on the solution and its derivatives. For…
In this paper, we study the existence of an optimal strategy for the stochastic control of diffusion in general case and a saddle-point for zero-sum stochastic differential games. The problem is formulated as an extended BSDE with…
Diffusion in an evolving environment is studied by continuos-time Monte Carlo simulations. Diffusion is modelled by continuos-time random walkers on a lattice, in a dynamic environment provided by bubbles between two one-dimensional…