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When solving the American options with or without dividends, numerical methods often obtain lower convergence rates if further treatment is not implemented even using high-order schemes. In this article, we present a fast and explicit…

Computational Finance · Quantitative Finance 2022-04-14 Chinonso Nwankwo , Weizhong Dai

We revisit the inverse problem of reconstructing a spatially varying diffusion coefficient in stationary elliptic equations from boundary Cauchy data. From a theoretical perspective, we introduce a gradient-weighted modification of the…

Numerical Analysis · Mathematics 2026-02-05 Sahat Pandapotan Nainggolan , Julius Fergy Tiongson Rabago , Hirofumi Notsu

In inverse scattering problems, a model that allows for the simultaneous recovery of both the domain shape and an impedance boundary condition covers a wide range of problems with impenetrable domains, including recovering the shape of…

Numerical Analysis · Mathematics 2023-12-01 Travis Askham , Carlos Borges

We consider the strategy of realizing the solution of a Cauchy problem with radial data as a limit of radial solutions to initial-boundary value problems posed on the exterior of vanishing balls centered at the origin. The goal is to gauge…

Analysis of PDEs · Mathematics 2016-12-26 Helge Kristian Jenssen , Charis Tsikkou

In this paper, we investigate an inverse Cauchy problem for a stochastic hyperbolic equation. A Lipschitz type observability estimate is established using a pointwise Carleman identity. By minimizing the constructed Tikhonov-type…

Analysis of PDEs · Mathematics 2024-10-17 Fangfang Dou , Peimin Lü

Due to their wide appearance in environmental settings as well as industrial and medical applications, the Stokes-Darcy problems with different sets of interface conditions establish an active research area in the community of mathematical…

Numerical Analysis · Mathematics 2025-04-03 Paula Strohbeck , Marco Discacciati , Iryna Rybak

The problem of establishing out-of-sample bounds for the values of an unkonwn ground-truth function is considered. Kernels and their associated Hilbert spaces are the main formalism employed herein along with an observational model where…

Machine Learning · Computer Science 2022-09-13 Paul Scharnhorst , Emilio T. Maddalena , Yuning Jiang , Colin N. Jones

This paper is devoted to the identification of the unknown smooth coefficient c entering the hyperbolic equation $c(x)\partial_{t}^{2}u - \Delta u = 0$ in a bounded smooth domain in $\R^{d}$ from partial (on part of the boundary) dynamic…

Analysis of PDEs · Mathematics 2009-12-08 C. Daveau , A. Khelifi

We develop a new optimisation technique that combines multiresolution subdivision surfaces for boundary description with immersed finite elements for the discretisation of the primal and adjoint problems of optimisation. Similar to wavelets…

Numerical Analysis · Mathematics 2016-01-20 Kosala Bandara , Thomas Rüberg , Fehmi Cirak

In this paper, we consider a finite-dimensional optimization problem minimizing a continuous objective on a compact domain subject to a multi-dimensional constraint function. For the latter, we assume the availability of a global Lipschitz…

Optimization and Control · Mathematics 2026-02-11 Adrian Göß , Alexander Martin , Sebastian Pokutta , Kartikey Sharma

A Cauchy-characteristic initial value problem for the Einstein-Klein-Gordon system with spherical symmetry is presented. Initial data are specified on the union of a space-like and null hypersurface. The development of the data is obtained…

General Relativity and Quantum Cosmology · Physics 2009-12-30 Roberto Go'mez , Pablo Laguna , Philippos Papadopoulos , Jeff Winicour

In the present paper we establish the solvability of the Regularity boundary value problem in domains with (flat and Lipschitz) lower dimensional boundaries for operators whose coefficients exhibit small oscillations analogous to the…

Analysis of PDEs · Mathematics 2022-08-02 Zanbing Dai , Joseph Feneuil , Svitlana Mayboroda

An eigenvalue problem arising in optimal insulation related to the minimization of the heat decay rate of an insulated body is adapted to enforce a positive lower bound imposed on the distribution of insulating material. We prove the…

Numerical Analysis · Mathematics 2024-10-22 Sören Bartels , Giuseppe Buttazzo , Hedwig Keller

We establish existence and regularity results for boundary value problems arising from the first variation of the Willmore energy in the graphical setting. Our focus lies on two-dimensional surfaces with fixed clamped boundary conditions,…

Analysis of PDEs · Mathematics 2025-09-26 Boris Gulyak

We introduce a new framework for optimal routing and arbitrage in AMM driven markets. This framework improves on the original best-practice convex optimization by restricting the search to the boundary of the optimal space. We can…

Mathematical Finance · Quantitative Finance 2025-02-13 Stefan Loesch , Mark Bentley Richardson

Robin boundary conditions are a natural consequence of employing Nitsche's method for imposing the kinematic velocity constraint at the fluid-solid interface. Loosely-coupled FSI schemes based on Dirichlet-Robin or Robin-Robin coupling have…

Computational Engineering, Finance, and Science · Computer Science 2021-06-01 Chennakesava Kadapa

Optimization on Riemannian manifolds widely arises in eigenvalue computation, density functional theory, Bose-Einstein condensates, low rank nearest correlation, image registration, and signal processing, etc. We propose an adaptive…

Optimization and Control · Mathematics 2017-08-08 Jiang Hu , Andre Milzarek , Zaiwen Wen , Yaxiang Yuan

Optimization with orthogonality constraints frequently arises in various fields such as machine learning. Riemannian optimization offers a powerful framework for solving these problems by equipping the constraint set with a Riemannian…

Optimization and Control · Mathematics 2025-05-20 Andi Han , Pierre-Louis Poirion , Akiko Takeda

We consider the problem of numerically approximating the solutions to an elliptic partial differential equation (PDE) for which the boundary conditions are lacking. To alleviate this missing information, we assume to be given measurement…

Numerical Analysis · Mathematics 2024-06-07 Andrea Bonito , Diane Guignard

Domain discretization is an essential part of the solution procedure in numerical simulations. Meshless methods simplify the domain discretization to positioning of nodes in the interior and on the boundary of the domain. However, generally…

Numerical Analysis · Mathematics 2022-01-28 Mitja Jančič , Viktor Cvrtila , Gregor Kosec
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