Related papers: Asymptotic Static Hedge via Symmetrization
State space models contain time-indexed parameters, termed states, as well as static parameters, simply termed parameters. The problem of inferring both static parameters as well as states simultaneously, based on time-indexed observations,…
This paper analyzes a time-stepping discontinuous Galerkin method for modified anomalous subdiffusion problems with two time fractional derivatives of orders $ \alpha $ and $ \beta $ ($ 0 < \alpha < \beta < 1 $). The stability of this…
We investigate model risk and distributionally robust optimization (DRO) under marginal and martingale constraints. Building on our previous work, we address the previously open case of static hedging with second-period maturity vanilla…
We study the estimation of the value function for continuous-time Markov diffusion processes using a single, discretely observed ergodic trajectory. Our work provides non-asymptotic statistical guarantees for the least-squares…
This PhD thesis lays out algebraic and topological structures relevant for the study of probabilistic graphical models. Marginal estimation algorithms are introduced as diffusion equations of the form $\dot u = \delta \varphi$. They…
Recent years have witnessed the surge of asynchronous parallel (async-parallel) iterative algorithms due to problems involving very large-scale data and a large number of decision variables. Because of asynchrony, the iterates are computed…
We consider reaction-diffusion systems on the infinite line that exhibit a family of spectrally stable spatially periodic wave trains $u_0(kx-\om t;k)$ that are parameterized by the wave number $k$. We prove stable diffusive mixing of the…
Recently, the problem of boundary stabilization for unstable linear constant-coefficient coupled reaction-diffusion systems was solved by means of the backstepping method. The extension of this result to systems with advection terms and…
We propose a two-dimensional asymptotic preserving scheme for linear transport equations with diffusive scalings. It is an extension of the time splitting developed by Jin, Pareschi and Toscani [SINUM,2000], but uses spatial discretizations…
It is well known that any sufficiently regular one-dimensional payoff function has an explicit static hedge by bonds, forward contracts and lots of vanilla options. We show that the natural extension of the corresponding representation…
Reducing financial risk is of paramount importance to investors, financial institutions, and corporations. Since the pioneering contribution of Johnson (1960), the optimal hedge ratio based on futures is regularly utilized. The current…
In this paper we present a new approach to the study of asymptotically flat static metrics arising in general relativity. In the case where the static potential is bounded, we introduce new quantities which are proven to be monotone along…
In the classical stochastic resetting problem, a particle, moving according to some stochastic dynamics, undergoes random interruptions that bring it to a selected domain, and then, the process recommences. Hitherto, the resetting mechanism…
We formulate and solve the fixed horizon linear quadratic covariance steering problem in continuous time with a terminal cost measured in Hilbert-Schmidt (i.e., Frobenius) norm error between the desired and the controlled terminal…
Wave propagation and acoustic scattering problems require vast computational resources to be solved accurately at high frequencies. Asymptotic methods can make this cost potentially frequency independent by explicitly extracting the…
Scattering of time-harmonic plane wave by two parallel semi-infinite rows, but with staggered edges, is considered on square lattice. The condition imposed on the semi-infinite rows is a discrete analogue of Neumann boundary condition. A…
This paper presents stability and accuracy analysis of a high-order explicit time stepping scheme introduced by \cite[Section 2.2]{Buvoli2019}, which exhibits superior stability compared to classical Adams-Bashforth. A conjecture that is…
In our previous work [29], we proposed a class of high-order asymptotic preserving (AP) finite difference weighted essentially non-oscillatory (WENO) schemes for solving the shallow water equations (SWEs) with bottom topography and Manning…
Part I of this work [2] developed the exact diffusion algorithm to remove the bias that is characteristic of distributed solutions for deterministic optimization problems. The algorithm was shown to be applicable to a larger set of…
Traditionally, systems governed by linear Partial Differential Equations (PDEs) are spatially discretized to exploit their algebraic structure and reduce the computational effort for controlling them. Due to beneficial insights of the PDEs,…