Related papers: On optimal stopping of multidimensional diffusions
We solve the linear advection-diffusion equation with a variable speed on a semi-infinite line. The variable speed is determined by an additional condition at the boundary, which models the dynamics of a contact line of a hydrodynamic flow…
In this paper we consider the filtering of partially observed multi-dimensional diffusion processes that are observed regularly at discrete times. We assume that, for numerical reasons, one has to time-discretize the diffusion process which…
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…
We study the problem of optimal stopping of conditional McKean-Vlasov (mean-field) stochastic differential equations with jumps (conditional McKean-Vlasov jump diffusions, for short). We obtain sufficient variational inequalities for a…
The nonrelativistic standard model for a continuous, one-parameter diffusion process in position space is the Wiener process. As well-known, the Gaussian transition probability density function (PDF) of this process is in conflict with…
We consider the problem of finding (possibly non connected) discrete surfaces spanning a finite set of discrete boundary curves in the three-dimensional space and minimizing (globally) a discrete energy involving mean curvature. Although we…
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
We propose finite difference methods for degenerate fully nonlinear elliptic equations and prove the convergence of the schemes. Our focus is on the pure equation and a related free boundary problem of transmission type. The cornerstone of…
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…
This paper aims at obtaining, by means of integral transforms, analytical approximations in short times of solutions to boundary value problems for the one-dimensional reaction-diffusion equation with constant coefficients. The general form…
We present a novel methodology for the numerical solution of problems of diffraction by infinitely thin screens in three dimensional space. Our approach relies on new integral formulations as well as associated high-order quadrature rules.…
Exploiting a fluid dynamic formulation for which a probabilistic counterpart might not be available, we extend the theory of Schroedinger bridges to the case of inertial particles with losses and general, possibly singular diffusion…
We consider a general one-dimensional overdamped diffusion model described by the It\^{o} stochastic differential equation (SDE) ${dX_t=\mu(X_t,t)dt+\sigma(X_t,t)dW_t}$, where $W_t$ is the standard Wiener process. We obtain a specific…
We prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a stochastic partial differential equation driven by a finite dimensional Wiener process. The equation is formulated in a semi-abstract form…
In this article, we present a general methodology for stochastic control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes controlled by mutually singular measures. The main…
The aim of this paper is the rigorous derivation of a stochastic non-linear diffusion equation from a radiative transfer equation perturbed with a random noise. The proof of the convergence relies on a formal Hilbert expansion and the…
The Neumann boundary problem for the perturbed sine-Gordon equation describing the electrodynamics of Josephson junctions has been considered. The behavior of a viscous term, described by a higher-order derivative with small diffusion…
We provide a framework for high-order discretizations of nonlinear scalar convection-diffusion equations that satisfy a discrete maximum principle. The resulting schemes can have arbitrarily high order accuracy in time and space, and can be…
Embedding formula allows to recycle solution of a family boundary value problems by expressing all the solutions in terms of a small number of solutions. Such formulas have been previously derived in the context of diffraction by applying a…
In this paper, we consider a class of optimal control problems for a one-dimensional time-discrete constrained quasilinear diffusion state-systems of singular Allen--Cahn types and its regularized approximating problems. We note that the…