相关论文: Local solution method for the problem of enlargeme…
Given a reference filtration $\mathbb{F}$, we develop in this work a generic method for computing the semimartingale decomposition of $\mathbb{F}$-martingales in some specific enlargements of $\mathbb{F}$. This method is then applied to the…
A strict local martingale is a local martingale that is not a martingale. We investigate how such a process might arise from a true martingale as a result of an enlargement of the filtration. We study and implement a particular type of…
In this paper we are concerned with three lattice problems: the lattice packing problem, the lattice covering problem and the lattice packing-covering problem. One way to find optimal lattices for these problems is to enumerate all finitely…
We use the abstract method of (local) martingale problems in order to give criteria for convergence of stochastic processes. Extending previous notions, the formulation we use is neither restricted to Markov processes (or semimartingales),…
A new method for numerical solving of boundary problem for ordinary differential equations with slowly varying coefficients which is aimed at better representation of solutions in the regions of their rapid oscillations or exponential…
Local Fourier analysis is a strong and well-established tool for analyzing the convergence of numerical methods for partial differential equations. The key idea of local Fourier analysis is to represent the occurring functions in terms of a…
This work is concerned with the theory of initial and progressive enlargements of a reference filtration F with a random time {\tau}. We provide, under an equivalence assumption, slightly stronger than the absolute continuity assumption of…
The usable limits of the customary and relaxational filtrational theories are considered. The questions of applicable the locality and local thermodynamical equilibrium principles to depict the nonstationary flows are discussed. The…
Due to the highly non-convex nature of large-scale robust parameter estimation, avoiding poor local minima is challenging in real-world applications where input data is contaminated by a large or unknown fraction of outliers. In this paper,…
The use of local single-pass methods (like, e.g., the Fast Marching method) has become popular in the solution of some Hamilton-Jacobi equations. The prototype of these equations is the eikonal equation, for which the methods can be applied…
We present an elementary treatment of the Optional Decomposition Theorem for continuous semimartingales and general filtrations. This treatment does not assume the existence of equivalent local martingale measure(s), only that of strictly…
Local solutions for variational and quasi-variational inequalities are usually the best type of solutions that could practically be obtained when in case of lack of convexity or else when available numerical techniques are too limited for…
The concept of local fractional derivative was introduced in order to be able to study the local scaling behavior of functions. However it has turned out to be much more useful. It was found that simple equations involving these operators…
A multiscale numerical method is proposed for the solution of semi-linear elliptic stochastic partial differential equations with localized uncertainties and non-linearities, the uncertainties being modeled by a set of random parameters. It…
Spatially localized structures are key components of turbulence and other spatio-temporally chaotic systems. From a dynamical systems viewpoint, it is desirable to obtain corresponding exact solutions, though their existence is not…
Stochastic local search (SLS) is a successful paradigm for solving the satisfiability problem of propositional logic. A recent development in this area involves solving not the original instance, but a modified, yet logically equivalent…
This is a survey of "Iterated Local Search", a general purpose metaheuristic for finding good solutions of combinatorial optimization problems. It is based on building a sequence of (locally optimal) solutions by: (1) perturbing the current…
We deal with various alternative decompositions of F-martingales with respect to the filtration G which represents the enlargement of a filtration F by a progressive flow of observations of a random time that either belongs to the class of…
This paper is devoted to the study of a certain type of martingale problems associated to general operators corresponding to processes which have finite lifetime. We analyse several properties and in particular the weak convergence of…
A local convergence analysis of Newton's method for solving nonlinear equations, under a majorant condition, is presented in this paper. Without assuming convexity of the derivative of the majorant function, which relaxes the Lipschitz…