Related papers: Finite Element Method for HJB in Option Pricing wi…
We propose a novel finite element method scheme for singularly perturbed advection-diffusion-reaction problems, which combines certain quantum-assisted stabilization scheme with a classical h-adaptive approach to provide automatic error…
This paper presents a novel approach for solving fourth-order phase-field models in brittle fracture mechanics using the Interior Penalty Finite Element Method (IP-FEM). The fourth-order model improves numerical stability and accuracy…
The finite element method (FEM) is a well-established numerical method for solving partial differential equations (PDEs). However, its mesh-based nature gives rise to substantial computational costs, especially for complex multiscale…
In this note we study the convergence of monotone P1 finite element methods on unstructured meshes for fully non-linear Hamilton-Jacobi-Bellman equations arising from stochastic optimal control problems with possibly degenerate, isotropic…
In this paper, we first conduct a study of the portfolio selection problem, incorporating both exogenous (proportional) and endogenous (resulting from liquidity risk, characterized by a stochastic process) transaction costs through the…
This paper is concerned with a stochastic recursive optimal control problem with time delay, where the controlled system is described by a stochastic differential delayed equation (SDDE) and the cost functional is formulated as the solution…
We introduce a regularization approach to arbitrage-free factor-model selection. The considered model selection problem seeks to learn the closest arbitrage-free HJM-type model to any prespecified factor-model. An asymptotic solution to…
This article addresses the research question if and how the finite cell method, an embedded domain finite element method of high order, may be used in the simulation of metal deposition to harvest its computational efficiency. This…
In this work, we develop and analyze a higher-order finite element method for the multidimensional fragmentation equation. To the best of our knowledge, this is the first study to establish a rigorous, conforming finite element framework…
In the present paper we present a finite element approach for option pricing in the framework of a well-known stochastic volatility model with jumps, the Bates model. In this model the asset log-returns are assumed to follow a…
Merton portfolio management problem is studied in this paper within a stochastic volatility, non constant time discount rate, and power utility framework. This problem is time inconsistent and the way out of this predicament is to consider…
The aim of this paper is to propose an efficient adaptive finite element method for eigenvalue problems based on the multilevel correction scheme and inverse power method. This method involves solving associated boundary value problems on…
In this paper, the TF system of two-coupled Black-Scholes equations for pricing the convertible bonds is solved numerically by using the P1 and P2 finite elements with the inequality constraints approximated by the penalty method. The…
The objective of designing a control system is to steer a dynamical system with a control signal, guiding it to exhibit the desired behavior. The Hamilton-Jacobi-Bellman (HJB) partial differential equation offers a framework for optimal…
A numerical method is proposed for a class of stochastic control problems including singular behavior. This method solves an infinite-dimensional linear program equivalent to the stochastic control problem using a finite element type…
We propose one finite element method for both second order linear uniformly elliptic PDE in non-divergence form and the uniformly elliptic Hamilton-Jacobi-Bellman (HJB) equation. For both linear elliptic PDE in non-divergence form and the…
In the present work, we investigate the computational efficiency afforded by higher-order finite-element discretization of the saddle-point formulation of orbital-free density functional theory. We first investigate the robustness of viable…
This paper uses the HCT finite element method and mesh adaptation technology to solve the nonlinear plate bending problem and conducts error analysis on the iterative method, including a priori and a posteriori error estimates. Our…
We consider the design of structure-preserving discretization methods for the solution of systems of boundary controlled Partial Differential Equations (PDEs) thanks to the port-Hamiltonian formalism. We first provide a novel general…
This work is devoted to the study of optimal control of stochastic functional differential equations (SFDEs) and its application to mathematical finance. By using the Dynkin formula and solution of the Dirichlet-Poisson problem, the…