Related papers: Optimal stopping of one-dimensional diffusions wit…
The conditioning of the linear finite volume element discretization for general diffusion equations is studied on arbitrary simplicial meshes. The condition number is defined as the ratio of the maximal singular value of the stiffness…
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…
In this work, we study convection-diffusion equations in the cases of bounded drifts and drifts induced by the gradient of a potential. We define a new notion of solution and prove its existence and uniqueness. Furthermore, we show the…
We present a novel artificial diffusion method to circumvent the instabilities associated with the standard finite element approximation of convection-diffusion equations. Motivated by the micromorphic approach, we introduce an auxiliary…
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…
We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…
This paper is concerned with the optimal control of hysteresis-reaction-diffusion systems. We study a control problem with two sorts of controls, namely distributed control functions, or controls which act on a part of the boundary of the…
We describe an exact and highly efficient numerical algorithm for solving a special but important class of convection-diffusion equations. These equations occur in many problems in physics, chemistry, or biology, and they are usually hard…
We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal…
A fully discrete finite difference scheme for stochastic reaction-diffusion equations driven by a $1+1$-dimensional white noise is studied. The optimal strong rate of convergence is proved without posing any regularity assumption on the…
We consider a two-dimensional optimal dividend problem in the context of two branches of an insurance company with compound Poisson surplus processes dividing claims and premia in some specified proportions. We solve the stochastic control…
We study the existence and uniqueness of a solution to a linear stationary convection-diffusion equation stated in an infinite cylinder, Neumann boundary condition being imposed on the boundary. We assume that the cylinder is a junction of…
We consider a class of stochastic control problems which has been widely used in optimal foraging theory. The state processes have two distinct dynamics, characterized by two pairs of drift and diffusion coefficients, depending on whether…
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 give a sufficient condition for blow up of positive mild solutions to an initial value problem for a nonautonomous weakly coupled system with distinct fractional diffusions. The proof is based on the study of blow up of a particular…
A recent solution of the inelastic Boltzmann equation that applies for strong dissipation and takes into account non-equipartition of energy is used to derive an explicit expression for the thermal diffusion factor. This parameter provides…
Resetting or restart, when applied to a stochastic process, usually brings its dynamics to a time-independent stationary state. In turn, the optimal resetting rate makes the mean time to reach a target to be the shortest one. These and…
In this paper, we suggest a technique to avoid order reduction in time when integrating reaction-diffusion boundary value problems under non-homogeneous boundary conditions with exponential splitting methods. More precisely, we consider…
Diffusion models have achieved remarkable success in generative modeling. Despite more stable training, the loss of diffusion models is not indicative of absolute data-fitting quality, since its optimal value is typically not zero but…
In Bai and Paulsen (SIAM J. Control optim. 48, 2010) the optimal dividend problem under transaction costs was analyzed for a rather general class of diffusion processes. It was divided into several subclasses, and for the majority of…