Related papers: A variational characterization of the risk-sensiti…
We consider boundary value problems with Riemann-Liouville fractional derivatives of order $s\in (1, 2)$ with non-constant diffusion and reaction coefficients. A variational formulation is derived and analyzed leading to the well-posedness…
Consider a reflecting diffusion in a domain in $R^d$ that acquires drift in proportion to the amount of local time spent on the boundary of the domain. We show that the stationary distribution for the joint law of the position of the…
This paper investigates a singular stochastic control problem for a multi-dimensional regime-switching diffusion process confined in an unbounded domain. The objective is to maximize the total expected discounted rewards from exerting the…
This paper deals with a non-self-adjoint differential operator which is associated with a diffusion process with random jumps from the boundary. Our main result is that the algebraic multiplicity of an eigenvalue is equal to its order as a…
The diffusion equation and its time-fractional counterpart can be obtained via the diffusion limit of continuous-time random walks with exponential and heavy-tailed waiting time distributions. The space dependent variable-order…
In this paper we present a novel approach towards variance reduction for discretised diffusion processes. The proposed approach involves specially constructed control variates and allows for a significant reduction in the variance for the…
In this article we consider the ergodic risk-sensitive control problem for a large class of multidimensional controlled diffusions on the whole space. We study the minimization and maximization problems under either a blanket stability…
In this paper we introduce a simple continuous-time asset pricing framework, based on general multi-dimensional diffusion processes, that combines semi-analytic pricing with a nonlinear specification for the market price of risk. Our…
Flexible variational distributions improve variational inference but are harder to optimize. In this work we present a control variate that is applicable for any reparameterizable distribution with known mean and covariance matrix, e.g.…
In this article, we study nonparametric inference for a covariate-adjusted regression function. This parameter captures the average association between a continuous exposure and an outcome after adjusting for other covariates. In…
A parameter estimation problem for a class of semilinear stochastic evolution equations is considered. Conditions for consistency and asymptotic normality are given in terms of growth and continuity properties of the nonlinear part.…
This paper aims at an efficient strategy to solve drift-diffusion problems with non-linear boundary conditions as they appear, e.g., in heterogeneous catalysis. Since the non-linearity only involves the degrees of freedom along (a part of)…
In this paper, a new variational formulation based on discontinuous Galerkin technique for a reaction-diffusion problem is introduced, and the discontinuous Galerkin technique of this work is different from the general discontinuous…
Standard deep reinforcement learning (DRL) aims to maximize expected reward, considering collected experiences equally in formulating a policy. This differs from human decision-making, where gains and losses are valued differently and…
We consider the problem of the estimation of the invariant distribution function of an ergodic diffusion process when the drift coefficient is unknown. The empirical distribution function is a natural estimator which is unbiased, uniformly…
We study diffusions, variational principles and associated boundary value problems on directed graphs with natural weightings. Using random walks and exit times, we associate to certain subgraphs (domains) a pair of sequences, each of which…
We explore the methodology and theory of reward-directed generation via conditional diffusion models. Directed generation aims to generate samples with desired properties as measured by a reward function, which has broad applications in…
Value-at-risk (VaR) has been playing the role of a standard risk measure since its introduction. In practice, the delta-normal approach is usually adopted to approximate the VaR of portfolios with option positions. Its effectiveness,…
We investigated the unbounded diffusion observed in a time-dependent oval-shaped billiard and its suppression owing to inelastic collisions with the boundary. The main focus is on the behavior of the diffusion coefficient, which plays a key…
We present regularity results for nonlinear drift-diffusion equations of porous medium type (together with their incompressible limit). We relax the assumptions imposed on the drift term with respect to previous results and additionally…