Related papers: Finite Element Method for HJB in Option Pricing wi…
An advantageous feature of piecewise constant policy timestepping for Hamilton-Jacobi-Bellman (HJB) equations is that different linear approximation schemes, and indeed different meshes, can be used for the resulting linear equations for…
Our goal is to analyze the system of Hamilton-Jacobi-Bellman equations arising in derivative securities pricing models. The European style of an option price is constructed as a difference of the certainty equivalents to the value functions…
The $hp$-adaptive finite element method (FEM) - where one independently chooses the mesh size ($h$) and polynomial degree ($p$) to be used on each cell - has long been known to have better theoretical convergence properties than either $h$-…
This paper presents a physics-informed machine learning approach for synthesizing optimal feedback control policy for infinite-horizon optimal control problems by solving the Hamilton-Jacobi-Bellman (HJB) partial differential equation(PDE).…
We apply two families of novel fractional $\theta$-methods, the FBT-$\theta$ and FBN-$\theta$ methods developed by the authors in previous work, to the fractional Cable model, in which the time direction is approximated by the fractional…
This paper considers consumption and portfolio optimization problems with recursive preferences in both infinite and finite time regions. Specially, the financial market consists of a risk-free asset and a risky asset that follows a general…
This paper introduces BFEMP, a new approach for monolithically coupling the Material Point Method (MPM) with the Finite Element Method (FEM) through barrier energy-based particle-mesh frictional contact using a variational time-stepping…
In this paper we present a finite element method for the direct transcription of constrained non-linear optimal control problems. We prove that our method converges of high order under mild assumptions. Our analysis uses a regularized…
We consider fourth order singularly perturbed eigenvalue problems in one-dimension and the approximation of their solution by the $h$ version of the Finite Element Method (FEM). In particular, we use piecewise Hermite polynomials of degree…
We propose a class of numerical schemes for nonlocal HJB variational inequalities (HJBVIs) with monotone drivers. The solution and free boundary of the HJBVI are constructed from a sequence of penalized equations, for which a continuous…
When using the finite element method (FEM) in inverse problems, its discretization error can produce parameter estimates that are inaccurate and overconfident. The Bayesian finite element method (BFEM) provides a probabilistic model for the…
Thanks to a finite element method, we solve numerically parabolic partial differential equations on complex domains by avoiding the mesh generation, using a regular background mesh, not fitting the domain and its real boundary exactly. Our…
In this paper, we consider a class of time-optimal control problems governed by linear parabolic equations with mixed control-state constraints and end-point constraints, and without Tikhonov regularization term in the objective function.…
We introduce a novel hybrid methodology combining classical finite element methods (FEM) with neural networks to create a well-performing and generalizable surrogate model for forward and inverse problems. The residual from finite element…
The ultimate goal of any numerical scheme for partial differential equations (PDEs) is to compute an approximation of user-prescribed accuracy at quasi-minimal computational time. To this end, algorithmically, the standard adaptive finite…
We focus here on a class of fourth-order parabolic equations that can be written as a system of second-order equations by introducing an auxiliary variable. We design a novel second-order fully discrete mixed finite element method to…
A type of adaptive finite element method for the eigenvalue problems is proposed based on the multilevel correction scheme. In this method, adaptive finite element method to solve eigenvalue problems involves solving associated boundary…
This paper analyzes a space-time finite element method for fractional wave problems. The method uses a Petrov-Galerkin type time-stepping scheme to discretize the time fractional derivative of order $ \gamma $ ($1<\gamma<2$). We establish…
The Finite Element Method (FEM) is the gold standard for spatial discretization in numerical simulations for a wide spectrum of real-world engineering problems. Prototypical areas of interest include linear heat transfer and linear…
This is the first in a series of papers in which we study an efficient approximation scheme for solving the Hamilton-Jacobi-Bellman equation for multi-dimensional problems in stochastic control theory. The method is a combination of a WKB…