Related papers: Asymptotic Static Hedge via Symmetrization
We consider the problem of simulating diffusion bridges, which are diffusion processes that are conditioned to initialize and terminate at two given states. The simulation of diffusion bridges has applications in diverse scientific fields…
We consider holographic theories at finite temperature in which a continuous global symmetry in the bulk is spontaneously broken. We study the linear response of operators in a regime which is dual to time dependent, long wavelength…
A recently developed high-order implicit shock tracking (HOIST) framework for resolving discontinuous solutions of inviscid, steady conservation laws [41, 43] is extended to the unsteady case. Central to the framework is an optimization…
We consider the construction of semi-implicit linear multistep methods which can be applied to time dependent PDEs where the separation of scales in additive form, typically used in implicit-explicit (IMEX) methods, is not possible. As…
This paper is devoted to the analysis of a semilinear suspension bridge model with pointwise localized dissipation. The main contribution of the work is the development of a robust semigroup framework that substantially simplifies the…
We study the spontaneous temporal symmetry breaking instability in a coherently-driven passive optical Kerr resonator observed experimentally by Xu and Coen in Opt.~Lett.~{\bf 39}, 3492 (2014). We perform a detailed stability analysis of…
We obtain the first probabilistic proof of continuous differentiability of time-dependent optimal boundaries in optimal stopping problems. The underlying stochastic dynamics is a one-dimensional, time-inhomogeneous diffusion. The gain…
This work presents a space-time isogeometric analysis of biharmonic wave problem, in contrast to the more common application of space-time methods to second order wave equations. We first establish the unique solvability of the continuous…
One way of improving the behavior of finite element schemes for classical, time-dependent Maxwell's equations, is to render them from their hyperbolic character to elliptic form. This paper is devoted to the study of the stabilized linear…
We analyze the stability and stabilizability properties of mixed retarded-neutral type systems when the neutral term is allowed to be singular. Considering an operator model of the system in a Hilbert space we are interesting in the…
We present a numerical stability analysis of the immersed boundary(IB) method for a special case which is constructed so that Fourier analysis is applicable. We examine the stability of the immersed boundary method with the discrete Fourier…
We determine the asymptotic spreading speed of the solutions of a Fisher-KPP reaction-diffusion equation, starting from compactly supported initial data, when the diffusion coefficient is a fixed bounded monotone profile that is shifted at…
The numerical approximation of an inverse problem subject to the convection--diffusion equation when diffusion dominates is studied. We derive Carleman estimates that are on a form suitable for use in numerical analysis and with explicit…
We introduce a new approach to the the asymptotic iteration method (AIM) by means of which we establish the standard AIM connection with the continued fractions technique and we develop a novel termination condition in terms of the…
This paper concerns the analysis and implementation of a novel iterative staggered scheme for quasi-static brittle fracture propagation models, where the fracture evolution is tracked by a phase field variable. The model we consider is a…
We analyze an advection-diffusion-reaction problem with non-homogeneous boundary conditions that models the chromatography process, a vital stage in bioseparation. We prove stability and error estimates for both constant and affine…
We consider the numerical solution of time-harmonic acoustic scattering by obstacles with uncertain geometries for Dirichlet, Neumann, impedance and transmission boundary conditions. In particular, we aim to quantify diffracted fields…
In this paper we study the stability of explicit finite difference discretizations of linear advection-diffusion equations (ADE) with arbitrary order of accuracy in the context of method of lines. The analysis first focuses on the stability…
Motivated by problems in behavioural finance, we provide two explicit constructions of a randomized stopping time which embeds a given centered distribution $\mu$ on integers into a simple symmetric random walk in a uniformly integrable…
We study indifference pricing of exotic derivatives by using hedging strategies that take static positions in quoted derivatives but trade the underlying and cash dynamically over time. We use real quotes that come with bid-ask spreads and…