Related papers: Asymptotic Static Hedge via Symmetrization
In this article, we are concerned with the analysis on the numerical reconstruction of the spatial component in the source term of a time-fractional diffusion equation. This ill-posed problem is solved through a stabilized nonlinear…
We introduce a class of one-dimensional complex optical potentials that feature a nonlinearity-induced stability restoration, i.e., the existence of stable nonlinear modes propagating in a waveguide whose linear eigenmodes are unstable. The…
In this paper we discuss the adjoint stabilised finite element method introduced in, E. Burman, Stabilized finite element methods for nonsymmetric, noncoercive and ill-posed problems. Part I: elliptic equations, SIAM Journal on Scientific…
In this paper, we study asynchronous stochastic approximation algorithms without communication delays. Our main contribution is a stability proof for these algorithms that extends a method of Borkar and Meyn by accommodating more general…
A fully discrete energy stability analysis is carried out for linear advection-diffusion problems discretized by generalized upwind summation-by-parts~(upwind gSBP) schemes in space and implicit-explicit Runge-Kutta~(IMEX-RK) schemes in…
The so-called indentation stiffness tomography technique for detecting the interior mechanical properties of an elastic sample with an inhomogeneity is analyzed in the framework of the asymptotic modeling approach under the assumption of…
In this work, I address the issue of forming riskless hedge in the continuous time option pricing model with stochastic stock volatility. I show that it is essential to verify whether the replicating portfolio is self-financing, in order…
We propose a double obstacle phase field approach to the recovery of piece-wise constant diffusion coefficients for elliptic partial differential equations. The approach to this inverse problem is that of optimal control in which we have a…
We consider a class of Cahn-Hilliard equation with kinetic rate dependent dynamic boundary conditions that describe possible short-range interactions between the binary mixture and the solid boundary. In the presence of surface diffusion on…
We discuss dynamical aspects of an asymmetric version of assisted diffusion of hard core particles on a ring studied by G. I. Menon {\it et al.} in J. Stat Phys. {\bf 86}, 1237 (1997). The asymmetry brings in phenomena like kinematic waves…
This paper examines the asymptotic convergence properties of Lipschitz interpolation methods within the context of bounded stochastic noise. In the first part of the paper, we establish probabilistic consistency guarantees of the classical…
Projection stabilisation applied to general Lagrange multiplier finite element methods is introduced and analysed in an abstract framework. We then consider some applications of the stabilised methods: (i) the weak imposition of boundary…
Resetting, in which a system is regularly returned to a given state after a fixed or random duration, has become a useful strategy to optimize the search performance of a system. While earlier theoretical frameworks focused on instantaneous…
Traditional risk measures in finance, predominantly based on the second moment of return distributions or tail risk heuristics (VaR/CVaR), fail to account for the intrinsic geometric structure of market dynamics. This paper introduces a…
We study Talenti's type symmetrization properties for solutions of linear stationary and evolution problems. Our main result establishes the comparison in norm between the solution of a problem and its symmetric version when nonlocal…
In the theory of riskfree hedges in continuous time finance, one can start with the delta-hedge and derive the option pricing equation, or one can start with the replicating, self-financing hedging strategy and derive both the delta-hedge…
In this paper a new distributed asynchronous algorithm is proposed for time synchronization in networks with random communication delays, measurement noise and communication dropouts. Three different types of the drift correction algorithm…
This work aims to extend the residual distribution (RD) framework to stiff relaxation problems. The RD is a class of schemes which is used to solve hyperbolic system of partial differential equations. Up to our knowledge, it was used only…
We investigate the pricing of financial options under the 2-hypergeometric stochastic volatility model. This is an analytically tractable model that reproduces the volatility smile and skew effects observed in empirical market data. Using a…
We introduce and study a notion of Asymptotic Preserving schemes, related to convergence in distribution, for a class of slow-fast Stochastic Differential Equations. In some examples, crude schemes fail to capture the correct limiting…