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The aim of this paper is to study the continuity correction for barrier options in jump-diusion models. For this purpose, we express the pay-off a barrier option in terms of the maximum of the underlying process. We then condition with…
While Macroscopic Fluctuation Theory (MFT) has been highly successful in analyzing non-equilibrium steady states, its application to non-steady-state processes remains limited. In this study, we apply MFT to the relaxation process of…
The description of surface-diffusion controlled dynamics via the phase-field method is less trivial than it appears at first sight. A seemingly straightforward approach from the literature is shown to fail to produce the correct…
We propose a neural physics system for real-time, interactive fluid simulations. Traditional physics-based methods, while accurate, are computationally intensive and suffer from latency issues. Recent machine-learning methods reduce…
We study a simplified system of the original Ericksen--Leslie equations for the flow of nematic liquid crystals. This is a coupled non-parabolic dissipative dynamic system. We show the convergence of global classical solutions to single…
This paper proposes an adaptive time-stepping mothods for stochastic diffusion systems whose drift and diffusion coefficients are locally Lipschitz continuous and may exhibit polynomial growth. By controlling the growth of both the drift…
Diffusion models have recently emerged as effective generative frameworks for trajectory optimization, capable of producing high-quality and diverse solutions. However, training these models in a purely data-driven manner without explicit…
We consider two parallel-in-time approaches applied to a (reaction) diffusion problem, possibly non-linear. In particular, we consider PFASST (Parallel Full Approximation Scheme in Space and Time) and space-time multilevel strategies. For…
Within this paper, we introduce partially and fully decoupled time stepping schemes for linear thermo-poroelasticity. This means that the mechanics, heat, and flow equations can be solved sequentially. We provide sufficient conditions on…
We consider a car-following model described by a delay difference equation and give its exact solutions that present propagation of a traffic jam. This model is a discrete-time version of the delayed optimal-velocity model; in the continuum…
We consider a generalization of classical results of Freidlin and Wentzell to the case of time dependent dissipative drifts. We show the convergence of diffusions with multiplicative noise in the zero limit of a diffusivity parameter to the…
We obtain uniform in time bounds for the solutions to a class of thermo-diffusive systems with classical and fractional diffusions. In the classical diffusion case, the nonlinearities are assumed to be at most exponentially growing, while…
Our aim is to study the limit of the solution of reaction-diffusion porous medium equation with linear drift $\displaystyle\partial_t u -\Delta u^m +\nabla \cdot (u \: V)=g(t,x,u) $, as $m\to\infty.$ We study the problem in bounded domain…
The present research proposes a new memory-efficient method using diffusion models to inject turbulent inflow conditions into Large Eddy Simulation (LES) and Direct Numerical Simulation (DNS) for various flow problems. A guided diffusion…
We study dynamic network flows with uncertain input data under a robust optimization perspective. In the dynamic maximum flow problem, the goal is to maximize the flow reaching the sink within a given time horizon $T$, while flow requires a…
A lumped parameter model for tokamak plasma current and inductance time evolution as function of plasma resistance, non-inductive current drive sources and boundary voltage or poloidal field (PF) coil current drive is presented. The model…
For the rendering of multiple scattering effects in participating media, methods based on the diffusion approximation are an extremely efficient alternative to Monte Carlo path tracing. However, in sufficiently transparent regions,…
From the perspective of control theory, the gradient descent optimization methods can be regarded as a dynamic system where various control techniques can be designed to enhance the performance of the optimization method. In this paper, we…
A new one-dimensional fluid model for ions in weakly-ionized plasma is proposed. The model differs from the existing ones in two aspects. First, a more accurate approximation of the collision terms in the fluid equations is suggested. For…
We present and analyse an implicit-explicit timestepping procedure with finite element spatial approximation for a semilinear reaction-diffusion systems on evolving domains arising from biological models, such as Schnakenberg's (1979). We…