Related papers: On optimal stopping of multidimensional diffusions
This paper studies the shallow Ritz method for solving one-dimensional diffusion-reaction problems. The method is capable of improving the order of approximation for non-smooth problems. By following a similar approach to the one presented…
We obtain a probabilistic solution to linear-quadratic optimal control problems with state constraints. Given a closed set $\mathcal{D}\subseteq [0,T]\times\mathbb{R}^d$, a diffusion $X$ in $\mathbb{R}^d$ must be linearly controlled in…
Analytical methods are fundamental in studying acoustics problems. One of the important tools is the Wiener-Hopf method, which can be used to solve many canonical problems with sharp transitions in boundary conditions on a plane/plate.…
The focus of this article is studying an optimal control problem for branching diffusion processes. Initially, we introduce the problem in its strong formulation and expand it to include linearly growing drifts. Then, we present a relaxed…
This paper studies the problem of optimal switching for one-dimensional diffusion, which may be regarded as sequential optimal stopping problem with changes of regimes. The resulting dynamic programming principle leads to a system of…
This paper presents a novel deep learning framework for solving multiple optimal stopping problems in high dimensions. While deep learning has recently shown promise for single stopping problems, the multiple exercise case involves complex…
We approximate the price of the American put for jump diffusions by a sequence of functions, which are computed iteratively. This sequence converges to the price function uniformly and exponentially fast. Each element of the approximating…
We extend to multi-dimensions the work of [1], where new fully explicit kinetic methods were built for the approximation of linear and non-linear convection-diffusion problems. The fundamental principles from the earlier work are retained:…
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 present a new verification theorem for optimal stopping problems for Hunt processes. The approach is based on the Fukushima-Dynkin formula, and its advantage is that it allows us to verify that a given function is the value…
We consider optimal control problems for diffusion processes, where the objective functional is defined by a time-consistent dynamic risk measure. We focus on coherent risk measures defined by $g$-evaluations. For such problems, we…
This paper considers the optimal boundary control of chemical systems described by advection-diffusion-reaction (ADR) equations. We use a discontinuous Galerkin finite element method (DG-FEM) for the spatial discretization of the governing…
We introduce an efficient boundary-adapted spectral method for peridynamic diffusion problems with arbitrary boundary conditions. The spectral approach transforms the convolution integral in the peridynamic formulation into a multiplication…
In this paper, we develop a fast numerical method for solving the time-dependent Riesz space fractional diffusion equations with a nonlinear source term in the convex domain. An implicit finite difference method is employed to discretize…
The diffraction of a plane wave by a transversely inhomogeneous isotropic nonmagnetic linearly polarized dielectric layer filled with a Kerr-type nonlinear medium is considered. The analytical and numerical solution techniques are…
This paper presents an extended version of the article [Franz, S., Kopteva, N.: J. Differential Equations, 252 (2012)]. The main improvement compared to the latter is in that here we additionally estimate the mixed second-order derivative…
Recently, diffusion models have been used to solve various inverse problems in an unsupervised manner with appropriate modifications to the sampling process. However, the current solvers, which recursively apply a reverse diffusion step…
We show that, for any spatially discretized system of reaction-diffusion, the approximate solution given by the explicit Euler time-discretization scheme converges to the exact time-continuous solution, provided that diffusion coefficient…
A direct numerical solution of the radiative transfer equation or any kinetic equation is typically expensive, since the radiative intensity depends on time, space and direction. An expansion in the direction variables yields an equivalent…
One-dimensional free boundary problem for a nonlinear diffusion - convection equation with a Dirichlet condition at fixed face $x=0$, variable in time, is considered. Throught several transformations the problem is reduced to a free…