Related papers: Optimizing a variable-rate diffusion to hit an inf…
Let $X$ be a one-dimensional diffusion and let $g\colon[0,T]\times\mathbb{R}\to\mathbb{R}$ be a payoff function depending on time and the value of $X$. The paper analyzes the inverse optimal stopping problem of finding a time-dependent…
We consider the valuation problem of an (insurance) company under partial information. Therefore we use the concept of maximizing discounted future dividend payments. The firm value process is described by a diffusion model with constant…
We discuss the optimal Markovian coupling before an exponential time of the Kolmogorov diffusion, and a class of related stochastic control problems in which the aim is to hit the origin before an exponential time. We provide a scaling…
Inference-time controllable generation is essential for real-world applications of unconditional diffusion models. However, most existing techniques focus on individual samples, struggling in applications that require the sample population…
This paper mainly addresses the optimization of $p$-th moment of $\mathbb{R}^n$-valued random variable. Through an ingenious approximation mechanism, one transforms the maximization problem into a sequence of minimization problems, which…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
Certain biochemical reactions can only be triggered after binding of a sufficient number of particles to a specific target region such as an enzyme or a protein sensor. We investigate the distribution of the reaction time, i.e., the first…
We consider an adaptive finite element method with arbitrary but fixed polynomial degree $p \ge 1$, where adaptivity is driven by an edge-based residual error estimator. Based on the modified maximum criterion from [Diening et al, Found.…
We consider the problem of minimizing the asymptotic exit rate with which the controlled-diffusion process of a stochastically perturbed multi-channel dynamical system exits from a given bounded open domain. In particular, for a class of…
We study a Brownian particle diffusing under a time-modulated stochastic resetting mechanism to a fixed position. The rate of resetting r(t) is a function of the time t since the last reset event. We derive a sufficient condition on r(t)…
The nonparametric volatility estimation problem of a scalar diffusion process observed at equidistant time points is addressed. Using the spectral representation of the volatility in terms of the invariant density and an eigenpair of the…
For the sake of computational efficiency and for theoretical purposes, in mathematical modelling, the Dirac Delta distributions are often utilized as a replacement for cells or vesicles, since the size of cells or vesicles is much smaller…
We study a diffusion approximation for a model of stochastic motion of a particle in one spatial dimension. The velocity of the particle is constant but the direction of the motion undergoes random changes with a Poisson clock. Moreover,…
In this paper, we analyze the local convergence rate of optimistic mirror descent methods in stochastic variational inequalities, a class of optimization problems with important applications to learning theory and machine learning. Our…
This paper considers the problem of steering an arbitrary initial probability density function to an arbitrary terminal one, where the system dynamics is governed by a first-order linear stochastic difference equation. It is a…
A simple reaction-diffusion-advection equation is proposed in a dichotomous tree network to discuss an optimal network. An optimal size ratio r is evaluated by the principle of maximization of total reaction rate. In the case of…
In this article, the piecewise-linear finite element method (FEM) is applied to approximate the solution of time-fractional diffusion equations on bounded convex domains. Standard energy arguments do not provide satisfactory results for…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
We discuss the identification of a time-dependent potential in a time-fractional diffusion model from a boundary measurement taken at a single point. Theoretically, we establish a conditional Lipschitz stability for this inverse problem.…
In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of the stochastic factor is finite, we give a complete…