Related papers: A comparative analysis of Bernstein type estimates…
In this preliminary study, we provide two methods for estimating the gradients of functions of real value. Both methods are built on derivative estimations that are calculated using the standard method or the Squire-Trapp method for any…
We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework characterized by a stochastic volatility term driven by a…
Composite optimization problems, where the sum of a smooth and a merely lower semicontinuous function has to be minimized, are often tackled numerically by means of proximal gradient methods as soon as the lower semicontinuous part of the…
We study the relaxation of multiple integrals of the calculus of variations, where the integrands are nonconvex with convex effective domain and can take the value \infty. We use local techniques based on measure arguments to prove integral…
The semi-implicit Euler-Maruyama (EM) method is investigated to approximate a class of time-changed stochastic differential equations, whose drift coefficient can grow super-linearly and diffusion coefficient obeys the global Lipschitz…
In 1982, Tamaki Yano proposed a conjecture predicting the set of b-exponents of an irreducible plane curve singularity germ which is generic in its equisingularity class. In \cite{ACLM-Yano2} we proved the conjecture for the case in which…
In this paper, we present a numerical algorithm for the accurate and efficient computation of the convolution of the frequency domain layered media Green's function with a given density function. Instead of compressing the convolution…
In this paper, we extend recent work on the functions that we call Bernstein-gamma to the class of bivariate Bernstein-gamma functions. In the more general bivariate setting, we determine Stirling-type asymptotic bounds which generalise,…
Various methods can obtain certified estimates for roots of polynomials. Many applications in science and engineering additionally utilize the value of functions evaluated at roots. For example, critical values are obtained by evaluating an…
Computing explicitly the {\epsilon}-subdifferential of a proper function amounts to computing the level set of a convex function namely the conjugate minus a linear function. The resulting theoretical algorithm is applied to the the class…
We study a class of weight functions on $[-1,1]$, which are special cases of the general weights studied by Bernstein and Szeg\"o, as well as their extentions to the interval $[-a,1]$ for a continuous parameter $a>0$. These weights are…
In this paper, we derive new estimates for the remainder term of the midpoint, trapezoid, and Simpson formulae for functions whose derivatives in absolute value at certain power are ({\alpha},m)-convex.
The notion of Ehrhart tensor polynomials, a natural generalization of the Ehrhart polynomial of a lattice polytope, was recently introduced by Ludwig and Silverstein. We initiate a study of their coefficients. In the vector and matrix…
Let $V$ be a symmetric convex body in $\R^m$. We prove sharp Bernstein-type inequalities for entire functions of exponential type with the spectrum in $V$ and discuss certain properties of the extremal functions. Markov-type inequalities…
We present a numerical method for the frequent pricing of financial derivatives that depends on a large number of variables. The method is based on the construction of a polynomial basis to interpolate the value function of the problem by…
An analog of the Gelfand--Shilov estimate of the matrix exponential is proved for Green's function of the problem of bounded solutions of the ordinary differential equation $x'(t)-Ax(t)=f(t)$.
Signed Minkowski decomposition is an expression of a polytope as a Minkowski sum and difference of smaller polytopes. Signed Minkowski decompositions of a polytope can be interpreted as factorizations of a max-plus (tropical) function. We…
We consider Bayesian analysis of a class of multiple changepoint models. While there are a variety of efficient ways to analyse these models if the parameters associated with each segment are independent, there are few general approaches…
In this paper we compute b-functions (or Bernstein-Sato polynomials) of various semi-invariants of quivers. The main tool is an explicit relation for the b-functions between semi-invariants that correspond to each other under reflection…
The emphasis of this course is on pluripotential methods in complex dynamics in higher dimension. They are based on the compactness properties of plurisubharmonic functions and on the theory of positive closed currents. Applications of…