Related papers: Explicit Solutions for Optimal Stopping of Linear …
We introduce Linearly Constrained Diffusion Implicit Models (CDIM), a fast and accurate approach to solving noisy linear inverse problems using diffusion models. Traditional diffusion-based inverse methods rely on numerous projection steps…
We introduce a notion of viscosity solutions for a nonlinear degenerate diffusion equation with a drift potential. We show that our notion of solutions coincide with the weak solutions defined via integration by parts. As an application of…
We introduce a generic numerical schemes for fully nonlinear parabolic PDEs on the full domain, where the nonlinearity is convex on the Hessian of the solution. The main idea behind this paper is reduction of a fully nonlinear problem to a…
We consider the problem of optimizing heat transport through an incompressible fluid layer. Modeling passive scalar transport by advection-diffusion, we maximize the mean rate of total transport by a divergence-free velocity field. Subject…
We present an analytic solution of a differential-difference equation that appears when one solves an optimal stopping time problem with state process following a jump-diffusion process. This equation occurs in the context of real options…
The Maximum Entropy (MaxEnt) technique is applied to the derivation of the Gaussian Dispersion Plume Model as well as to more complex transport phenomena such as the one-dimensional advection equation, the one-dimensional diffusion…
Diffusion on complex networks is often modeled as a stochastic process. Yet, recent work on strategic diffusion emphasizes the decision power of agents and treats diffusion as a strategic problem. Here we study the computational aspects of…
We propose numerical schemes for the approximate solution of problems defined on the edges of a one-dimensional graph. In particular, we consider linear transport and a drift-diffusion equations, and discretize them by extending Finite…
A finite element method of any order is applied on a Bakhvalov-type mesh to solve a singularly perturbed convection--diffusion equation in 2D, whose solution exhibits exponential boundary layers. A uniform convergence of (almost) optimal…
An increasing number of experimental studies employ single particle tracking to probe the physical environment in complex systems. We here propose and discuss new methods to analyze the time series of the particle traces, in particular, for…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…
In this work, we show high order splitting methods of integration without negative steps, allowing us to solve numerically irreversible problems, like reaction-diffusion equations. The methods consist in a suitable affine combinations of…
We study the infinite-horizon average (ergodic) risk sensitive control problem for diffusion processes under a general structural hypothesis: there is a partition of state space into two subsets, where the controlled diffusion process…
We consider an optimal control problem that entails the minimization of a nondifferentiable cost functional, fractional diffusion as state equation and constraints on the control variable. We provide existence, uniqueness and regularity…
Many discrete-time optimal stopping problems are known to have more tractable limit forms based on a planar Poisson process. Using this tool we find a solution to the optimal stopping problem for i.i.d. sequence of $n$ discrete uniform…
We develop a theory for solving continuous time optimal stopping problems for non-linear expectations. Our motivation is to consider problems in which the stopper uses risk measures to evaluate future rewards.
We discuss a numerical method for convection-diffusion-reaction problems with a free boundary in 1D. The method is based on the numerical modelling of the interface evolution, the transformation to a fixed domain problem and the…
We study the boundedness and convergence to equilibrium of weak solutions to reaction-diffusion systems with nonlinear diffusion. The nonlinear diffusion is of porous medium type and the nonlinear reaction terms are assumed to grow…
We propose an approach to approximate the boundary crossing probabilities for general one-dimensional diffusion processes, and derive the convergence rate for this approximation scheme. There results are based on the explicit expression of…