Related papers: Note on the (non-)smoothness of discrete time valu…
There are several notions of a smooth map from a convex set to a cartesian space. Some of these notions coincide, but not all of them do. We construct a real-valued function on a convex subset of the plane that does not extend to a smooth…
This paper concerns piecewise-smooth maps on $\mathbb{R}^d$ that are continuous but not differentiable on switching manifolds (where the functional form of the map changes). The stability of fixed points on switching manifolds is…
We discuss in detail the derivation of stochastic differential equations for the continuum time limit of the Minority Game. We show that all properties of the Minority Game can be understood by a careful theoretical analysis of such…
We develop the theory of discrete-time gradient flows for convex functions on Alexandrov spaces with arbitrary upper or lower curvature bounds. We employ different resolvent maps in the upper and lower curvature bound cases to construct…
We consider a dynamical system with state space $M$, a smooth, compact subset of some ${\Bbb R}^n$, and evolution given by $T_t$, $x_t = T_t x$, $x \in M$; $T_t$ is invertible and the time $t$ may be discrete, $t \in {\Bbb Z}$, $T_t = T^t$,…
The continuous limit of one dimensional discrete-time quantum walks with time- and space-dependent coefficients is investigated. A given quantum walk does not generally admit a continuous limit but some families (1-jets) of quantum walks…
A conservative discretization of incompressible Navier-Stokes equations is developed based on discrete exterior calculus (DEC). A distinguishing feature of our method is the use of an algebraic discretization of the interior product…
Smoothing methods have become part of the standard tool set for the study and solution of nondifferentiable and constrained optimization problems as well as a range of other variational and equilibrium problems. In this note we synthesize…
Relying on the analysis of characteristics, we prove the uniqueness of conservative solutions to the variational wave equation $u_{tt}-c(u) (c(u)u_x)_x=0$. Given a solution $u(t,x)$, even if the wave speed $c(u)$ is only H\"older continuous…
We consider an initial value problem for a quadratically nonlinear inviscid Burgers-Hilbert equation that models the motion of vorticity discontinuities. We use a normal form transformation, which is implemented by means of a near-identity…
We investigate the time-asymptotic properties of solutions of the differential equation x''(t) + a(t)x'(t) + g(x(t)) = 0 in a Hilbert space, where a(.) is non-increasing and g is the gradient of a potential G. If the coefficient a(.) is…
We prove that outside of a closed singular set of measure zero solutions to the second boundary value problem for generated Jacobian equations are smooth.
For a zero-sum stochastic game which does not satisfy the Isaacs condition, we provide a value function representation for an Isaacs-type equation whose Hamiltonian lies in between the lower and upper Hamiltonians, as a convex combination…
We construct the conditional version of $k$ independent and identically distributed random walks on $\R$ given that they stay in strict order at all times. This is a generalisation of so-called non-colliding or non-intersecting random…
Motivated by the conspicuous use of momentum-based algorithms in deep learning, we study a nonsmooth nonconvex stochastic heavy ball method and show its convergence. Our approach builds upon semialgebraic (definable) assumptions commonly…
For two-person dynamic zero-sum games (both discrete and continuous settings), we investigate the limit of value functions of finite horizon games with long run average cost as the time horizon tends to infinity and the limit of value…
It is known that for $X$ a nowhere locally compact metric space, the set of bounded continuous, nowhere locally uniformly continuous real-valued functions on $X$ contains a dense $G_\delta$ set in the space $C_b(X)$ of all bounded…
This paper considers the theoretical, computational, and econometric properties of continuous time dynamic discrete choice games with stochastically sequential moves, introduced by Arcidiacono, Bayer, Blevins, and Ellickson (2016). We…
Since the solution of the so-called folk problems of smoothability, there has been a special interest in the properties of classical time and volume functions of spacetimes. Here we supply some information that complements the one provided…
In a classical problem for the stopping of a diffusion process $(X_t)_{t \geq 0}$, where the goal is to maximise the expected discounted value of a function of the stopped process ${\mathbb E}^x[e^{-\beta \tau}g(X_\tau)]$, maximisation…