相关论文: Quickest detection of a hidden target and extremal…

In this work, a complete error analysis is presented for fully discrete solutions of the subdiffusion equation with a time-dependent diffusion coefficient, obtained by the Galerkin finite element method with conforming piecewise linear…

The problem of identifying the diffusion parameter appearing in a nonlocal steady diffusion equation is considered. The identification problem is formulated as an optimal control problem having a matching functional as the objective of the…

We revisit the (block-angular) min-max resource sharing problem, which is a well-known generalization of fractional packing and the maximum concurrent flow problem. It consists of finding an $\ell_{\infty}$-minimal element in a Minkowski…

This paper addresses a problem in experimental design: We consider It\^o diffusions specified by some $\theta \in \mathbb{R}$ and assume that we are allowed to observe their sample paths only $n$ times before a terminal time $\tau <…

We study the optimal stopping time problem $v(S)={\rm ess}\sup_{\theta \geq S} E[\phi(\theta)|\mathcal {F}_S]$, for any stopping time $S$, where the reward is given by a family $(\phi(\theta),\theta\in\mathcal{T}_0)$ \emph{of non negative…

We study the optimal stopping problem of maximizing the variance of an unkilled linear diffusion. Especially, we demonstrate how the problem can be solved as a convex two-player zero-sum game, and reveal quite surprising application of game…

We consider the representation of the value of a class of optimal stopping problems of linear diffusions in a linearized form as an expected supremum of a known function. We establish an explicit integral representation of this representing…

Starting from a unit mass on a vertex of a graph, we investigate the minimum number of "\emph{controlled diffusion}" steps needed to transport a constant mass $p$ outside of the ball of radius $n$. In a step of a controlled diffusion…

In the first part of this paper, we study RBSDEs in the case where the filtration is not quasi-left continuous and the lower obstacle is given by a predictable process. We prove the existence and uniqueness by using some results of optimal…

In this paper, we are interested in a general equation that has finite speed of propagation compatible with Einstein's theory of special relativity. This equation without external force fields has been derived recently by means of optimal…

Part I of this work [2] developed the exact diffusion algorithm to remove the bias that is characteristic of distributed solutions for deterministic optimization problems. The algorithm was shown to be applicable to a larger set of…

We consider two independent identical diffusion processes that annihilate upon meeting in order to study their conditioning with respect to their first-encounter properties. For the case of finite horizon $T<+\infty$, the maximum…

We present a method to calculate, without making assumptions about the local dark matter velocity distribution, the maximal and minimal number of signal events in a direct detection experiment given a set of constraints from other direct…

In this paper, we discuss the maximum principle for a time-fractional diffusion equation $$ \partial_t^\alpha u(x,t) = \sum_{i,j=1}^n \partial_i(a_{ij}(x)\partial_j u(x,t)) + c(x)u(x,t) + F(x,t),\ t>0,\ x \in \Omega \subset {\mathbb R}^n$$…

Let $X$ be a linear diffusion taking values in $(\ell,r)$ and consider the standard Euler scheme to compute an approximation to $\mathbb{E}[g(X_T)\mathbf{1}_{[T<\zeta]}]$ for a given function $g$ and a deterministic $T$, where…

We study $\tau$-Bounded-Density Edge Deletion ($\tau$-BDED), where given an undirected graph $G$, the task is to remove as few edges as possible to obtain a graph $G'$ where no subgraph of $G'$ has density more than $\tau$. The density of a…

Consider a large number of detectors each generating a data stream. The task is to detect online, distribution changes in a small fraction of the data streams. Previous approaches to this problem include the use of mixture likelihood ratios…

An approximate maximum likelihood method of estimation of diffusion parameters $(\vartheta,\sigma)$ based on discrete observations of a diffusion $X$ along fixed time-interval $[0,T]$ and Euler approximation of integrals is analyzed. We…

A semidiscrete Galerkin finite element method applied to time-fractional diffusion equations with time-space dependent diffusivity on bounded convex spatial domains will be studied. The main focus is on achieving optimal error results with…

We consider the optimal stopping problem consisting in, given a strong Markov process, a reward function and a discount rate, finding the stopping time such that the expected reward at the stopping time is maximum. The approach we follow,…