Related papers: PDE Methods For Optimal Skorokhod Embeddings
In this work, we develop a collection of novel methods for the entropic-regularised optimal transport problem, which are inspired by existing mirror descent interpretations of the Sinkhorn algorithm used for solving this problem. These are…
We study optimal stochastic control problem for non-Markovian stochastic differential equations (SDEs) where the drift, diffusion coefficients, and gain functionals are path-dependent, and importantly we do not make any ellipticity…
The manipulation of a collection of fluid particles in a low Reynolds number environment has several important applications. As we demonstrate in this paper, this manipulation problem is related to the scientific question of how fluid flow…
We study a generalization of the Brownian bridge as a stochastic process that models the position and velocity of inertial particles between the two end-points of a time interval. The particles experience random acceleration and are assumed…
The explicit semi-Lagrangian method method for solution of Lagrangian transport equations as developed in [Natarajan and Jacobs, Computer and Fluids, 2020] is adopted for the solution of stochastic differential equations that is consistent…
We consider the Schr{\"o}dinger bridge problem in discrete time, where the pathwise cost is replaced by a sum of quadratic functions, taking the form of a linear quadratic regulator (LQR) cost. This cost comprises potential terms that act…
We provide sufficient conditions for the continuity of the free-boundary in a general class of finite-horizon optimal stopping problems arising for instance in finance and economics. The underlying process is a strong solution of one…
The purpose of the present work is to expand substantially the type of control and estimation problems that can be addressed following the paradigm of Schr\"odinger bridges, by incorporating termination (killing) of stochastic flows.…
We recently proposed a method for estimation of states and parameters in stochastic differential equations, which included intermediate time points between observations and used the Laplace approximation to integrate out these intermediate…
We analyze some parabolic PDEs with different drift terms which are gradient flows in the Wasserstein space and consider the corresponding discrete-in-time JKO scheme. We prove with optimal transport techniques how to control the L p and L…
In this paper we analyse the pathwise approximation of stochastic differential equations by polynomial splines with free knots. The pathwise distance between the solution and its approximation is measured globally on the unit interval in…
We present a new deep primal-dual backward stochastic differential equation framework based on stopping time iteration to solve optimal stopping problems. A novel loss function is proposed to learn the conditional expectation, which…
A new method is introduced for studying boundary value problems for a class of linear PDEs with {\it variable} coefficients. This method is based on ideas recently introduced by the author for the study of boundary value problems for PDEs…
Given a stochastic state process $(X_t)_t$ and a real-valued submartingale cost process $(S_t)_t$, we characterize optimal stopping times $\tau$ that minimize the expectation of $S_\tau$ while realizing given initial and target…
We give a new take on the error analysis of approximations of stochastic differential equations (SDEs), utilizing and developing the stochastic sewing lemma of L\^e (2020). This approach allows one to exploit regularization by noise effects…
We study pathwise approximation of scalar stochastic differential equations at a single time point or globally in time by means of methods that are based on finitely many observations of the driving Brownian motion. We prove lower error…
This paper considers the problem of partially observed optimal control for forward stochastic systems which are driven by Brownian motions and an independent Poisson random measure with a feature that the cost functional is of mean-field…
A new approach was recently introduced by the authors for constructing analytic solutions of the linear PDEs describing elastodynamics. Here, this approach is applied to the case of a homogeneous isotropic half-space body satisfying…
We present a one-dimensional high-order moving-mesh finite element method for moving boundary problems where the boundary velocity depends implicitly on the solution in the interior of the domain. The method employs a conservative arbitrary…
We present a new a priori analysis of a class of collocation methods for parabolic PDEs that rely only on pointwise data of force term, boundary data, and initial data. Under Besov regularity assumptions, we characterize the optimal…