Related papers: Diffusion transformations, Black-Scholes equation …
We present a numerical method for the Monte Carlo simulation of uncoupled continuous-time random walks with a Levy alpha-stable distribution of jumps in space and a Mittag-Leffler distribution of waiting times, and apply it to the…
We investigate the Cauchy problem for a semilinear spatio--temporal fractional diffusion equation with a time-dependent forcing term: \[ \partial_t^\alpha u + (-\Delta)^{\mathsf{s}} u = |u|^p + t^{\sigma}\,\mathbf{w}(x), \quad (t,x) \in…
We propose an adaptive diffusion mechanism to optimize a global cost function in a distributed manner over a network of nodes. The cost function is assumed to consist of a collection of individual components. Diffusion adaptation allows the…
The present work provides a critical assessment of numerical solutions of the space-fractional diffusion-advection equation, which is of high significance for applications in various natural sciences. In view of the fact that, in contrast…
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…
In the present article, we study the diffusion equations with fractional time derivatives. The aim of this paper is to investigate the best possible regularity for the initial value/boundary value problems with non-homogeneous Dirichlet…
Matrix differential Riccati equations are central in filtering and optimal control theory. The purpose of this article is to develop a perturbation theory for a class of stochastic matrix Riccati diffusions. Diffusions of this type arise,…
For a type of employee stock option (ESO) and an American put option with a barrier, we obtain closed-form formulae for the value functions and provide a complete characterization for optimal stopping/continuation regions. Some comparison…
In this paper, we are concerned with the asymptotic behavior of solutions to the Cauchy problem (or initial-boundary value problem) of one-dimensional Keller-Segel model. For the Cauchy problem, we prove that the solutions…
This paper presents the unsteady Darcy's equations coupled with two nonlinear reaction-diffusion equations, namely this system describes the mass concentration and heat transfer in porous media. The existence and uniqueness of the solution…
The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and…
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…
This paper studies a class of non$-$Markovian singular stochastic control problems, for which we provide a novel probabilistic representation. The solution of such control problem is proved to identify with the solution of a $Z-$constrained…
We consider the reaction diffusion problem and present efficient ways to discretize and precondition in the singular perturbed case when the reaction term dominates the equation. Using the concepts of optimal test norm and saddle point…
We study a class of stochastic evolution equations of jump type with random coefficients and its optimal control problem. There are three major ingredients. The first is to prove the existence and uniqueness of the solutions by continuous…
We obtain new estimates for the solution of both the porous medium and the fast diffusion equations by studying the evolution of suitable Lipschitz norms. Our results include instantaneous regularization for all positive times, long-time…
We study a fractional diffusion problem in the divergence form in one space dimension. We define a notion of the viscosity solution. We prove existence of viscosity solutions to the fractional diffusion problem with the Dirichlet boundary…
This work concerns the direct and inverse potential problems for the stochastic diffusion equation driven by a multiplicative time-dependent white noise. The direct problem is to examine the well-posedness of the stochastic diffusion…
We obtain a probabilistic proof of the local Lipschitz continuity for the optimal stopping boundary of a class of problems with state space $[0,T]\times\mathbb{R}^d$, $d\ge 1$. To the best of our knowledge this is the only existing proof…
This paper is devoted to the analysis of some fundamental problems of linear elasticity in 1D continua with self-similar interparticle interactions. We introduce a self-similar continuous field approach where the self-similarity is…