Related papers: An inverse optimal stopping problem for diffusion …

In this chapter, we mainly review theoretical results on inverse source problems for diffusion equations with the Caputo time-fractional derivatives of order $\alpha\in(0,1)$. Our survey covers the following types of inverse problems: 1.…

This paper addresses reflected backward stochastic differential equations (RBSDE hereafter) that take the form of \begin{eqnarray*} \begin{cases} dY_t=f(t,Y_t, Z_t)d(t\wedge\tau)+Z_tdW_t^{\tau}+dM_t-dK_t,\quad Y_{\tau}=\xi, Y\geq…

Let $(B_t)_{0\leq t\leq T}$ be either a Bernoulli random walk or a Brownian motion with drift, and let $M_t:=\max\{B_s: 0\leq s\leq t\}$, $0\leq t\leq T$. This paper solves the general optimal prediction problem \sup_{0\leq\tau\leq…

We consider non-isochronous, nearly integrable, a-priori unstable Hamiltonian systems with a (trigonometric polynomial) $O(\mu)$-perturbation which does not preserve the unperturbed tori. We prove the existence of Arnold diffusion with…

In this paper, we obtain the sharp uniqueness for an inverse $x$-source problem for a one-dimensional time-fractional diffusion equation with a zeroth-order term by the minimum possible lateral Cauchy data. The key ingredient is the unique…

We present some new results on sample path optimality for the ergodic control problem of a class of non-degenerate diffusions controlled through the drift. The hypothesis most often used in the literature to ensure the existence of an a.s.…

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…

Diffusion generative models unlock new possibilities for inverse problems as they allow for the incorporation of strong empirical priors in scientific inference. Recently, diffusion models are repurposed for solving inverse problems using…

This paper investigates an inverse source problem for a multi-term time-fractional diffusion equation with Caputo derivatives. The source term is separable as \(f(x)g(t)\), with the unknown spatial component \(f(x)\) reconstructed from an…

Existing approaches to diffusion-based inverse problem solvers frame the signal recovery task as a probabilistic sampling episode, where the solution is drawn from the desired posterior distribution. This framework suffers from several…

In this paper, we study both the direct and inverse random source problems associated with the multi-term time-fractional diffusion-wave equation driven by a fractional Brownian motion. Regarding the direct problem, the well-posedness is…

In this paper, we consider an inverse space-dependent source problem for a time-fractional diffusion equation. To deal with the ill-posedness of the problem, we transform the problem into an optimal control problem with total variational…

In this article, it is proved that for any cumulative distribution function with compact support and a specified t > 0, there exists a diffusion martingale which has this law at time t. The article proves existence; no claims are made about…

The scaling invariance for chaotic orbits near a transition from unlimited to limited diffusion in a dissipative standard mapping is explained via the analytical solution of the diffusion equation. It gives the probability of observing a…

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…

We address the problem of making a managerial decision when the investment project is subsidized, which results in the resolution of an infinite-horizon optimal stopping problem of a switching diffusion driven by either an homogeneous or an…

This paper is concerned with the inverse random source problem for a stochastic time fractional diffusion equation, where the source is assumed to be driven by a Gaussian random field. The direct problem is shown to be well-posed by…

This article is devoted to the simultaneous resolution of three inverse problems, among the most important formulation of inverse problems for partial differential equations, stated for some class of diffusion equations from a single…

For a type of employee stock option (ESO) and an American put option with a barrier, we obtain closed-form formulae for the value functions and provide a complete characterization for optimal stopping/continuation regions. Some comparison…

This paper considers time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). We first formulate the timeinconsistent stopping control problems under…