Related papers: Penalty Method for Obliquely Reflected Diffusions
Consider a reflecting diffusion in a domain in $R^d$ that acquires drift in proportion to the amount of local time spent on the boundary of the domain. We show that the stationary distribution for the joint law of the position of the…
For a multidimensional driftless diffusion in an unbounded, smooth, sub-linear generalized parabolic domain, with oblique reflection from the boundary, we give natural conditions under which either explosion occurs, if the domain narrows…
We consider a diffusion equation with highly oscillatory coefficients that admits a homogenized limit. As an alternative to standard corrector problems, we introduce here an embedded corrector problem, written as a diffusion equation in the…
We describe a new, surprisingly simple algorithm, that simulates exact sample paths of a class of stochastic differential equations. It involves rejection sampling and, when applicable, returns the location of the path at a random…
A system of interacting Brownian particles subject to short-range repulsive potentials is considered. A continuum description in the form of a nonlinear diffusion equation is derived systematically in the dilute limit using the method of…
Multiple scattering of polarised electromagnetic waves in diffusive media is investigated by means of radiative transfer theory. The method becomes exact in several situations of interest, such as a thick-slab experiment (slab thickness L…
Diffusive representations of fractional derivatives have proven to be useful tools in the construction of fast and memory efficient numerical methods for solving fractional differential equations. A common challenge in many of the known…
An approximation is elaborated for the paraxial propagation of diffracted beams, with both one- and two-dimensional cross sections, which are released from apertures with sharp boundaries. The approximation applies to any beam under the…
We consider the dividend maximization problem including a ruin penalty in a diffusion environment. The additional penalty term is motivated by a constraint on dividend strategies. Intentionally, we use different discount rates for the…
For a class of stochastic differential equations with reflection for which a certain ${\mathbb{L}}^p$ continuity condition holds with $p>1$, it is shown that any weak solution that is a strong Markov process can be decomposed into the sum…
In this article, we consider non-smooth time-dependent domains and single-valued, smoothly varying directions of reflection at the boundary. In this setting, we first prove existence and uniqueness of strong solutions to stochastic…
Penalized spline regression is a popular method for scatterplot smoothing, but there has long been a debate on how to construct confidence intervals for penalized spline fits. Due to the penalty, the fitted smooth curve is a biased estimate…
In this paper, we develop a self-adaptive ADMM that updates the penalty parameter adaptively. When one part of the objective function is strongly convex i.e., the problem is semi-strongly convex, our algorithm can update the penalty…
We prove the convergence of a particle method for the approximation of diffusive gradient flows in one dimension. This method relies on the discretisation of the energy via non-overlapping balls centred at the particles and preserves the…
In this article, we consider diffusion approximations for a general class of stochastic recursions. Such recursions arise as models for population growth, genetics, financial securities, multiplicative time series, numerical schemes and…
Stochastic diffusion equations are crucial for modeling a range of physical phenomena influenced by uncertainties. We introduce the generalized finite difference method for solving these equations. Then, we examine its consistency,…
A finite element approach to the elastic flow of a curve coupled with a diffusion equation on the curve is analysed. Considering the graph case, the problem is weakly formulated and approximated with continuous linear finite elements, which…
In this paper, we study the discrete-time approximation of multidimensional reflected BSDEs of the type of those presented by Hu and Tang [Probab. Theory Related Fields 147 (2010) 89-121] and generalized by Hamad\`ene and Zhang [Stochastic…
This paper considers stochastic optimization problems with weakly convex objective and constraint functions. We propose Prox-PEP, a proximal method equipped with quadratic subproblems. To handle nonlinear equality constraints, we employ an…
We address an original approach for the convergence analysis of a finite-volume scheme for the approximation of a stochastic diffusion-convection equation with multiplicative noise in a bounded domain of $\mathbb{R}^d$ (with $d=2$ or $3$)…