Related papers: Finite Element Method for HJB in Option Pricing wi…
We consider an optimal dividend payout problem for an insurance company whose surplus follows the classical Cram\'er-Lundberg model. The dividend rate is subject to a ratcheting constraint (i.e., it must be nondecreasing over time), and the…
The finite element method (FEM) is a cornerstone numerical technique for solving partial differential equations (PDEs). Here, we present $\textbf{Qu-FEM}$, a fault-tolerant era quantum algorithm for the finite element method. In contrast to…
We present a methodology combining neural networks with physical principle constraints in the form of partial differential equations (PDEs). The approach allows to train neural networks while respecting the PDEs as a strong constraint in…
Variational time discretization schemes are getting of increasing importance for the accurate numerical approximation of transient phenomena. The applicability and value of mixed finite element methods (MFEM) in space for simulating…
A numerical scheme is presented for approximating fractional order Poisson problems in two and three dimensions. The scheme is based on reformulating the original problem posed over $\Omega$ on the extruded domain…
We propose a novel numerical method for high dimensional Hamilton--Jacobi--Bellman (HJB) type elliptic partial differential equations (PDEs). The HJB PDEs, reformulated as optimal control problems, are tackled by the actor-critic framework…
Numerical homogenization for mechanical multiscale modeling by means of the finite element method (FEM) is an elegant way of obtaining structure-property relations, if the behavior of the constituents of the lower scale is well understood.…
Periodic micromagnetic finite element method (PM-FEM) is introduced to solve periodic unit cell problems using the Landau-Lifshitz-Gilbert equation. PM-FEM is applicable to general problems with 1D, 2D, and 3D periodicities. PM-FEM is based…
This is a study of certain finite element methods designed for convection-dominated, time-dependent partial differential equations. Specifically, we analyze high order space-time tensor product finite element discretizations, used in a…
This paper aims to study the convergence of adaptive finite element method for control constrained elliptic optimal control problems under $L^2$-norm. We prove the contraction property and quasi-optimal complexity for the $L^2$-norm errors…
We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic coefficients driven by a diffusion process. We assume that an agent makes consumption and investment decisions based on CRRA…
Second-order partial differential equations in non-divergence form are considered. Equations of this kind typically arise as subproblems for the solution of Hamilton-Jacobi-Bellman equations in the context of stochastic optimal control, or…
Particle breakage due to collisional interactions plays a vital role in the development of several phenomena in science and engineering. The nonlinear collisional breakage equations (NCBEs) are a significant set of equations in this…
Devising optimal interventions for diffusive systems often requires the solution of the Hamilton-Jacobi-Bellman (HJB) equation, a nonlinear backward partial differential equation (PDE), that is, in general, nontrivial to solve. Existing…
We propose a new fictitious domain finite element method, well suited for elliptic problems posed in a domain given by a level-set function without requiring a mesh fitting the boundary. To impose the Dirichlet boundary conditions, we…
A nonlinear Helmholtz equation (NLH) with high wave number and Sommerfeld radiation condition is approximated by the perfectly matched layer (PML) technique and then discretized by the linear finite element method (FEM).…
A multilevel correction scheme is proposed to solve defective and nodefective of nonsymmetric partial differential operators by the finite element method. The method includes multi correction steps in a sequence of finite element spaces. In…
This paper studies the finite horizon portfolio management by optimally tracking a ratcheting capital benchmark process. It is assumed that the fund manager can dynamically inject capital into the portfolio account such that the total…
This paper is concerned with mixed finite element method (FEM) for solving the two-dimensional, nonlinear fourth-order active fluid equations. By introducing an auxiliary variable $w=-\Delta u$, the original fourth problem is transformed…
We propose and analyze a general framework for space-time finite element methods that is based on least-squares finite element methods for solving a first-order reformulation of the thick parabolic obstacle problem. Discretizations based on…