Related papers: Penalty Method for Reflected Diffusions on the Hal…
Take a multidimensional normally or obliquely reflected diffusion in a smooth domain. Approximate it by solutions of stochastic differential equations without reflection using the penalty method. That is, we approximate the reflection term…
We study approximations of reflected It\^o diffusions on convex subsets $D$ of $\Rd$ by solutions of stochastic differential equations with penalization terms. We assume that the diffusion coefficients are merely measurable (possibly…
In this paper we first study the penalization approximation of stochastic differential equations reflected in a domain which satisfies conditions (A) and (B) and prove that the sequence of solutions of the penalizing equations converges in…
In this paper we prove an approximation result for the viscosity solution of a system of semi-linear partial differential equations with continuous coefficients and nonlinear Neumann boundary condition. The approximation we use is based on…
Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…
In this paper, we investigate the construction of a diffusion process whose time-marginal densities are constrained to belong to a given set at all time. The construction is obtained from a penalization approximation to the constraint set,…
In this paper we solve real-valued rough differential equations (RDEs) reflected on an irregular boundary. The solution $Y$ is constructed as the limit of a sequence $(Y^n)_{n\in\mathbb{N}}$ of solutions to RDEs with unbounded drifts…
In this work, first we employ a penalization technique to analyze a Dirichlet boundary feedback control problem pertaining to reaction-diffusion equation. We establish the stabilization result of the equivalent Robin problem in the…
In this paper we study reflected backward stochastic differential equations with a continuous, linear growth coefficient and two barriers which belong to L^2. We prove that there exists at least by penalization method.
Score-based diffusion models learn to reverse a stochastic differential equation that maps data to noise. However, for complex tasks, numerical error can compound and result in highly unnatural samples. Previous work mitigates this drift…
We devise a stabilized method to weakly enforce bound constraints in the discrete solution of advection-dominated diffusion problems. This method combines a nonlinear penalty formulation with a discontinuous Galerkin-based residual…
We propose a new method for calculating reflection and transmission coefficients for an arbitrarily polarized electromagnetic plane wave incident on a one-dimensional dielectric medium of finite thickness and with dielectric permittivity…
A new approach for reducing error of the volume penalization method is proposed. The mask function is modified by shifting the interface between solid and fluid by ({\nu}{\eta})^0.5 toward the fluid region, where {\nu} and {\eta} are the…
Consider a one-dimensional diffusion process which has state-dependent drift and deviation and is reflected at the origin, which is called a one-side reflected diffusion or simply reflected diffusion. We are particularly interested in the…
We consider an optimization problem with strongly convex objective and linear inequalities constraints. To be able to deal with a large number of constraints we provide a penalty reformulation of the problem. As penalty functions we use a…
The purpose of this paper consists in proposing a generalized solution for a porous media type equation on a half-line with Neumann boundary condition and prove a probabilistic representation of this solution in terms of an associated…
In this work, we study the task of distributed optimization over a network of learners in which each learner possesses a convex cost function, a set of affine equality constraints, and a set of convex inequality constraints. We propose a…
Two frameworks that have been used to characterize reflected diffusions include stochastic differential equations with reflection and the so-called submartingale problem. We introduce a general formulation of the submartingale problem for…
In numerical simulations a smooth domain occupied by a fluid has to be approximated by a computational domain that typically does not coincide with a physical domain. Consequently, in order to study convergence and error estimates of a…
We present a novel artificial diffusion method to circumvent the instabilities associated with the standard finite element approximation of convection-diffusion equations. Motivated by the micromorphic approach, we introduce an auxiliary…