Related papers: Viscosity methods for large deviations estimates f…
We consider the stationary Hamilton-Jacobi equation where the dynamics can vanish at some points, the cost function is strictly positive and is allowed to be discontinuous. More precisely, we consider special class of discontinuities for…
Large-scale nonconvex and nonsmooth problems have attracted considerable attention in the fields of compress sensing, big data optimization and machine learning. Exploring effective methods is still the main challenge of today's research.…
We investigate the behavior of systems of interacting diffusion processes, known as volatility-stabilized market models in the mathematical finance literature, when the number of diffusions tends to infinity. We show that, after an…
This paper deals with the filtering problem for a class of discrete time stochastic volatility models in which the disturbances have rational probability density functions. This includes the Cauchy distributions and Student t-distributions…
The theory of large deviations is concerned with the exponential decay of probabilities of large fluctuations in random systems. These probabilities are important in many fields of study, including statistics, finance, and engineering, as…
We provide a simple method to estimate the parameters of multivariate stochastic volatility models with latent factor structures. These models are very useful as they alleviate the standard curse of dimensionality, allowing the number of…
This paper is concerned with monotone (time-explicit) finite difference schemes associated with first order Hamilton-Jacobi equations posed on a junction. They extend the schemes recently introduced by Costeseque, Lebacque and Monneau…
We describe a method to show short time uniqueness results for viscosity solutions of general nonlocal and non-monotone second-order geometric equations arising in front propagation problems. Our method is based on some lower gradient…
Many natural and engineering systems involve the mixing of two fluid streams, in which the effects of density and viscosity gradients play important roles in determining flow stability. We perform linear stability calculations for a jet…
Stochastic processes find applications in modelling systems in a variety of disciplines. A large number of stochastic models considered are Markovian in nature. It is often observed that higher order Markov processes can model the data…
Kinetic equations play a major rule in modeling large systems of interacting particles. Uncertainties may be due to various reasons, like lack of knowledge on the microscopic interaction details or incomplete informations at the boundaries.…
We study the qualitative homogenization of second order viscous Hamilton-Jacobi equations in space-time stationary ergodic random environments. Assuming that the Hamiltonian is convex and superquadratic in the momentum variable (gradient)…
Large deviation estimates for the following linear parabolic equation are studied: \[ \frac{\partial u}{\partial t}=\tr\Big(a(x)D^2u\Big) + b(x)\cdot D u + \int_{\R^N} \Big\{(u(x+y)-u(x)-(D u(x)\cdot y)\ind{|y|<1}(y)\Big\}\d\mu(y), \] where…
In these notes we present a pedagogical account of the population dynamics methods recently introduced to simulate large deviation functions of dynamical observables in and out of equilibrium. After a brief introduction on large deviation…
We show that in an equity market model with Knightian uncertainty regarding the relative risk and covariance structure of its assets, the arbitrage function -- defined as the reciprocal of the highest return on investment that can be…
Exact values for bulk and shear viscosity are important to characterize a fluid and they are a necessary input for a continuum description. Here we present two novel methods to compute bulk viscosities by non-equilibrium molecular dynamics…
Optimal control and the associated second-order path-dependent Hamilton-Jacobi-Bellman (PHJB) equation are studied for unbounded functional stochastic evolution systems in Hilbert spaces. The notion of viscosity solution without…
We study the large deviation estimates for the short time asymptotic behavior of a strongly degenerate diffusion process. Assuming a nilpotent structure of the Lie algebra generated by the driving vector fields, we obtain a graded large…
To quantify the complexity of a system, entropy-based methods have received considerable critical attentions in real-world data analysis. Among numerous entropy algorithms, amplitude-based formulas, represented by Sample Entropy, suffer…
A new concept of viscosity solutions, namely, the Hausdorff continuous viscosity solution for the Hamilton-Jacobi equation is defined and investigated. It is shown that the main ideas within the classical theory of continuous viscosity…