相关论文: An approximation scheme for semilinear parabolic P…

We propose an approximation scheme for a class of semilinear variational inequalities whose Hamiltonian is convex and coercive. The proposed scheme is a natural extension of a previous splitting scheme proposed by Liang, Zariphopoulou and…

A procedure for the numerical approximation of high-dimensional Hamilton-Jacobi-Bellman (HJB) equations associated to optimal feedback control problems for semilinear parabolic equations is proposed. Its main ingredients are a…

The equivalence between logarithmic Sobolev inequalities and hypercontractivity of solutions of Hamilton-Jacobi equations has been proved in [5]. We consider a semi-Lagrangian approximation scheme for the Hamilton-Jacobi equation and we…

The author presented a stochastic and variational approach to the Lax-Friedrichs finite difference scheme applied to hyperbolic scalar conservation laws and the corresponding Hamilton-Jacobi equations with convex and superlinear…

We introduce a framework for solving a class of parabolic partial differential equations on triangle mesh surfaces, including the Hamilton-Jacobi equation and the Fokker-Planck equation. PDE in this class often have nonlinear or stiff terms…

This is the first in a series of papers in which we study an efficient approximation scheme for solving the Hamilton-Jacobi-Bellman equation for multi-dimensional problems in stochastic control theory. The method is a combination of a WKB…

In this paper we study an approximation scheme for an Hamilton-Jacobi equation of Eikonal type defined on a network. We introduce an appropriate notion of viscosity solution for this class of equations (see \cite{sc}) and we prove that an…

We propose machine learning methods for solving fully nonlinear partial differential equations (PDEs) with convex Hamiltonian. Our algorithms are conducted in two steps. First the PDE is rewritten in its dual stochastic control…

Relying on the classical connection between Backward Stochastic Differential Equations (BSDEs) and non-linear parabolic partial differential equations (PDEs), we propose a new probabilistic learning scheme for solving high-dimensional…

We introduce a generic numerical schemes for fully nonlinear parabolic PDEs on the full domain, where the nonlinearity is convex on the Hessian of the solution. The main idea behind this paper is reduction of a fully nonlinear problem to a…

In this article we design a novel quasi-regression Monte Carlo algorithm in order to approximate the solution of discrete time backward stochastic differential equations (BSDEs), and we analyze the convergence of the proposed method. The…

We consider the probabilistic numerical scheme for fully nonlinear PDEs suggested in \cite{cstv}, and show that it can be introduced naturally as a combination of Monte Carlo and finite differences scheme without appealing to the theory of…

We develop a convergence theory for non-monotone approximation schemes for fully nonlinear parabolic partial differential equations. Modern computational methods such as kernel-based collocation, spectral methods, physics-informed neural…

This paper presents an implicit solution formula for the Hamilton-Jacobi partial differential equation (HJ PDE). The formula is derived using the method of characteristics and is shown to coincide with the Hopf and Lax formulas in the case…

The aim of this paper is to develop a general method for constructing approximation schemes for viscosity solutions of fully nonlinear pathwise stochastic partial differential equations, and for proving their convergence. Our results apply…

We provide convergence rates for space approximations of semi-linear stochastic differential equations with multiplicative noise in a Hilbert space. The space approximations we consider are spectral Galerkin and finite elements, and the…

We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by pure jump Markov process. Using the Hamilton-Jacobi-Bellman approach, the value function of the quadratic hedging problem…

We obtain new quantitative estimates of the vanishing viscosity approximation for time-dependent, degenerate, Hamilton-Jacobi equations that are neither concave nor convex in the gradient and Hessian entries of the form $\partial_t…

We investigate in this work a fully-discrete semi-Lagrangian approximation of second order possibly degenerate Hamilton-Jacobi-Bellman (HJB) equations on a bounded domain with oblique boundary conditions. These equations appear naturally in…

We propose a conforming finite element method to approximate the strong solution of the second order Hamilton-Jacobi-Bellman equation with Dirichlet boundary and coefficients satisfying Cordes condition. We show the convergence of the…