Related papers: Cadlag Skorokhod problem driven by a maximal monot…
Submodular maximization generalizes many fundamental problems in discrete optimization, including Max-Cut in directed/undirected graphs, maximum coverage, maximum facility location and marketing over social networks. In this paper we…
The aim of the present paper is to study the regularity properties of the solution of a backward stochastic differential equation with a monotone generator in infinite dimension. We show some applications to the nonlinear Kolmogorov…
This paper proposes a novel constraint-handling mechanism named angle-based constrained dominance principle (ACDP) embedded in a decomposition-based multi-objective evolutionary algorithm (MOEA/D) to solve constrained multi-objective…
This paper focuses on martingale optimal transport problems when the martingales are assumed to have bounded quadratic variation. First, we give a result that characterizes the existence of a probability measure satisfying some convex…
If $L$ is a selfdual Lagrangian $L$ on a reflexive phase space $X\times X^*$, then the vector field $x\to \bar\partial L(x):=\{p\in X^*; (p,x)\in \partial L(x,p)\}$ is maximal monotone. Conversely, any maximal monotone operator $T$ on $X$…
In this paper, we study the well-posedness and regularity of non-autonomous stochastic differential algebraic equations (SDAEs) with nonlinear, locally Lipschitz and monotone (2) coefficients of the form (1). The main difficulty is the fact…
We construct a martingale solution of the stochastic nonlinear Schr\"odinger equation with a multiplicative noise of jump type in the Marcus canonical form. The problem is formulated in a general framework that covers the subcritical…
The purpose of this paper is to introduce a new numerical method to solve multi-marginal optimal transport problems with pairwise interaction costs. The complexity of multi-marginal optimal transport generally scales exponentially in the…
We propose a new monotone finite difference discretization for the variational $p$-Laplace operator, \[ \Delta_p u=\text{div}(|\nabla u|^{p-2}\nabla u), \] and present a convergent numerical scheme for related Dirichlet problems. The…
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we derive a complete characterisation of the solution to this…
For a mixed stochastic differential equation involving standard Brownian motion and an almost surely H\"older continuous process $Z$ with H\"older exponent $\gamma>1/2$, we establish a new result on its unique solvability. We also establish…
This work is devoted to the design of interior penalty discontinuous Galerkin (dG) schemes that preserve maximum principles at the discrete level for the steady transport and convection-diffusion problems and the respective transient…
We propose a forward-backward splitting dynamical system for solving inclusion problems of the form $0\in A(x)+B(x)$ in Hilbert spaces, where $A$ is a maximal operator and $B$ is a single-valued operator. Involved operators are assumed to…
We consider the smooth convex-concave bilinearly-coupled saddle-point problem, $\min_{\mathbf{x}}\max_{\mathbf{y}}~F(\mathbf{x}) + H(\mathbf{x},\mathbf{y}) - G(\mathbf{y})$, where one has access to stochastic first-order oracles for $F$,…
In this paper, a general stochastic optimization procedure is studied, unifying several variants of the stochastic gradient descent such as, among others, the stochastic heavy ball method, the Stochastic Nesterov Accelerated Gradient…
A version of the Dynamical Systems Gradient Method for solving ill-posed nonlinear monotone operator equations is studied in this paper. A discrepancy principle is proposed and justified. A numerical experiment was carried out with the new…
In this paper, we investigate the stochastic differential equation on $\mathbb{R}^d,d\geq2$: \begin{align*} \dif X_t&=v(t,X_t)\dif t+\sqrt{2} \dif W_t. \end{align*} For any finite collection of initial probability measures…
This paper continues the study of [11, 13] for stationary solutions of stochastic linear retarded functional differential equations with the emphasis on delays which appear in those terms including spatial partial derivatives. As a…
In this paper, we investigate the monotonicity of solutions for a nonlinear equations involving the fractional Laplacian with variable exponent. We first prove different maximum principles involving this operator. Then we employ the direct…
This paper discusses the computation of derivatives for optimization problems governed by linear hyperbolic systems of partial differential equations (PDEs) that are discretized by the discontinuous Galerkin (dG) method. An efficient and…