Related papers: Binomial-tree approximation for time-inconsistent …
In this article we study a finite horizon optimal control problem with monotone controls. We consider the associated Hamilton-Jacobi-Bellman (HJB) equation which characterizes the value function. We consider the totally discretized problem…
In this paper, a novel modified proximal dynamical system is proposed to compute the solution of a mixed variational inequality problem (MVIP) within a fixed time, where the time of convergence is finite and is uniformly bounded for all…
In this paper, numerical analysis is carried out for a class of history-dependent variational-hemivariational inequalities arising in contact problems. Three different numerical treatments for temporal discretization are proposed to…
We consider a unique continuation problem where the Dirichlet trace of the solution is known to have finite dimension. We prove Lipschitz stability of the unique continuation problem and design a finite element method that exploits the…
We present a tree structure algorithm for optimal control problems with state constraints. We prove a convergence result for a discrete time approximation of the value function based on a novel formulation of the constrained problem. Then…
In the Dynamic Programming approach to optimal control problems a crucial role is played by the value function that is characterized as the unique viscosity solution of a Hamilton-Jacobi-Bellman (HJB) equation. It is well known that this…
We perform a convergence analysis of a discrete-in-time minimization scheme approximating a finite dimensional singularly perturbed gradient flow. We allow for different scalings between the viscosity parameter $\varepsilon$ and the time…
A fully implicit numerical scheme is established for solving the time fractional Swift-Hohenberg (TFSH) equation with a Caputo time derivative of order $\alpha\in(0,1)$. The variable-step L1 formula and the finite difference method are…
This article studies the solutions of time-dependent differential inclusions which is motivated by their utility in the modeling of certain physical systems. The differential inclusion is described by a time-dependent set-valued mapping…
An initial-boundary value problem for the time-fractional diffusion equation is discretized in space using continuous piecewise-linear finite elements on a polygonal domain with a re-entrant corner. Known error bounds for the case of a…
We prove that, in the limit of vanishing thickness, equilibrium configurations of inhomogeneous, three-dimensional non-linearly elastic rods converge to equilibrium configurations of the variational limit theory. More precisely, we show…
We introduce a novel framework for the stability analysis of discrete-time linear switching systems with switching sequences constrained by an automaton. The key element of the framework is the algebraic concept of multinorm, which…
A game-theoretic framework for time-inconsistent stopping problems where the time-inconsistency is due to the consideration of a non-linear function of an expected reward is developed. A class of mixed strategy stopping times that allows…
We prove the convergence of a spectral discretization of the Vlasov-Poisson system. The velocity term of the Vlasov equation is discretized using either Hermite functions on the infinite domain or Legendre polynomials on a bounded domain.…
We study a time-inconsistent singular stochastic control problem for a general one-dimensional diffusion, where time-inconsistency arises from a non-exponential discount function. To address this, we adopt a game-theoretic framework and…
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…
The hybrid optimal control problem with reach time to a target set is addressed and the continuity and uniqueness of the associated value function is proved. Hybrid systems involves interaction of different types of dynamics: continuous and…
We consider a dynamic model of traffic that has received a lot of attention in the past few years. Infinitesimally small agents aim to travel from a source to a destination as quickly as possible. Flow patterns vary over time, and…
First, we consider the problem of hedging in complete binomial models. Using the discrete-time F\"ollmer-Schweizer decomposition, we demonstrate the equivalence of the backward induction and sequential regression approaches. Second, in…
In this paper, we present a discrete-type approximation scheme to solve continuous-time optimal stopping problems based on fully non-Markovian continuous processes adapted to the Brownian motion filtration. The approximations satisfy…