Related papers: Finite Element Method for HJB in Option Pricing wi…
Finite element method (FEM) is one of the most important numerical methods in modern engineering design and analysis. Since traditional serial FEM is difficult to solve large FE problems efficiently and accurately, high-performance parallel…
This paper introduces a no-arbitrage, Monte Carlo-free approach to pricing path-dependent interest rate derivatives. The Heath-Jarrow-Morton model gives arbitrage-free contingent claims prices but is infinite-dimensional, making traditional…
Many problems in science and engineering can be rigorously recast into minimizing a suitable energy functional. We have been developing efficient and flexible solution strategies to tackle various minimization problems by employing finite…
We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton-Jacobi-Bellman (HJB) type associated to stochastic control problem, which is based on the Feynman-Kac representation in [12] by means of control…
With the development of multi-layer elastic systems in the field of engineering mechanics, the corresponding variational inequality theory and algorithm design have received more attention and research. In this study, a class of equivalent…
In this work, we analyze a penalized variant of the {\phi}-FEM scheme for the Poisson equation with Dirichlet boundary conditions. The {\phi}-FEM is a recently introduced unfitted finite element method based on a level-set description of…
We propose an optimal portfolio problem in the incomplete market where the underlying assets depend on economic factors with delayed effects, such models can describe the short term forecasting and the interaction with time lag among…
We introduce a method that combines neural operators, physics-informed machine learning, and standard numerical methods for solving PDEs. The proposed approach extends each of the aforementioned methods and unifies them within a single…
We present a new direct logarithmically optimal in theory and fast in practice algorithm to implement the high order finite element method on multi-dimensional rectangular parallelepipeds for solving PDEs of the Poisson kind. The key points…
This paper is a review of results on Optimisation which are perhaps not so standard in the PDE realm. To this end, we consider the problem of deriving the PDEs associated to the optimal control of a system of either ODEs or SDEs with…
Computational efficiency is essential for enhancing the accuracy and practicality of pricing complex financial derivatives. In this paper, we discuss Isogeometric Analysis (IGA) for valuing financial derivatives, modeled by two nonlinear…
The Black-Scholes option pricing model remains a cornerstone in financial mathematics, yet its application is often challenged by the need for accurate hedging strategies, especially in dynamic market environments. This paper presents a…
We develop $H$(div)-conforming mixed finite element methods for the unsteady Stokes equations modeling single-phase incompressible fluid flow. A projection method in the framework of the incremental pressure correction methodology is…
We present an immersed boundary method to simulate the creeping motion of a rigid particle in a fluid described by the Stokes equations discretized thanks to a finite element strategy on unfitted meshes, called Phi-FEM, that uses the…
This paper presents a product to sum approach for a fast and efficient matrix filling in a hierarchical finite-element method (FEM). Due to the existence of a coupling factor arising from the material and Jacobian inhomogeneities in curved…
In this paper, based on the combination of finite element mesh and neural network, a novel type of neural network element space and corresponding machine learning method are designed for solving partial differential equations. The…
A finite element methodology for large classes of variational boundary value problems is defined which involves discretizing two linear operators: (1) the differential operator defining the spatial boundary value problem; and (2) a Riesz…
We introduce the multivariate decomposition finite element method (MDFEM) for solving elliptic PDEs with uniform random diffusion coefficients. We show that the MDFEM can be used to reduce the computational complexity of estimating the…
We address the problem of combined stochastic and impulse control for a market maker operating in a limit order book. The problem is formulated as a Hamilton-Jacobi-Bellman quasi-variational inequality (HJBQVI). We propose an implicit…
In the first part of the paper, we propose and rigorously analyze a mixed finite element method for the approximation of the periodic strong solution to the fully nonlinear second-order Hamilton--Jacobi--Bellman equation with coefficients…