相关论文: Binomial-tree approximation for time-inconsistent …

We study a problem of damping a control system described by functional-differential equations of natural order $n$ and neutral type with non-smooth complex coefficients on an arbitrary tree with global delay. The latter means that the delay…

We study a problem when a solution to optimal stopping problem for one-dimensional diffusion will generate by threshold strategy. Namely, we give necessary and sufficient conditions under which an optimal stopping time can be specified as…

We study periodic wind-tree models, billiards in the plane endowed with $\mathbb{Z}^2$-periodically located identical connected symmetric right-angled obstacles. We exhibit effective asymptotic formulas for the number of (isotopy classes…

In this article we develop a high order accurate method to solve the incompressible boundary layer equations in a provably stable manner.~We first derive continuous energy estimates,~and then proceed to the discrete setting.~We formulate…

We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…

We investigate error bounds for numerical solutions of divergence structure linear elliptic PDEs on compact manifolds without boundary. Our focus is on a class of monotone finite difference approximations, which provide a strong form of…

The properties of value functions of time inhomogeneous optimal stopping problem and zero-sum game (Dynkin game) are studied through time dependent Dirichlet form. Under the absolute continuity condition on the transition function of the…

A finite horizon optimal stopping problem for an infinite dimensional diffusion $X$ is analyzed by means of variational techniques. The diffusion is driven by a SDE on a Hilbert space $\mathcal{H}$ with a non-linear diffusion coefficient…

Two finite element approximations of the Oldroyd-B model for dilute polymeric fluids are considered, in bounded 2- and 3-dimensional domains, under no flow boundary conditions. The pressure and the symmetric conformation tensor are…

This paper deals with the finite-time stabilization of a class of nonlinear infinite-dimensional systems. First, we consider a bounded matched perturbation in its linear form. It is shown that by using a set-valued function, both the…

We consider the problem of damping a control system with delay described by first-order functional-differential equations on a temporal tree. The delay in the system is time-proportional and propagates through the internal vertices. The…

In this paper we investigate the problem of identifying the source term in an elliptic system from a single noisy measurement couple of the Neumann and Dirichlet data. A variational method of Tikhonov-type regularization with specific…

In this work, we present a conditionally stable finite-difference scheme that consistently approximates the solution of a general class of (3+1)-dimensional nonlinear equations that generalizes in various ways the quantitative model…

A recent paper [J. A. Evans, D. Kamensky, Y. Bazilevs, "Variational multiscale modeling with discretely divergence-free subscales", Computers & Mathematics with Applications, 80 (2020) 2517-2537] introduced a novel stabilized finite element…

We study discrete time linear constrained switching systems with additive disturbances, in which the switching may be on the system matrices, the disturbance sets, the state constraint sets or a combination of the above. In our general…

We present a novel representation of compressed data structure for simultaneous bounding volume hierarchy (BVH) traversals like they appear for instance in collision detection & proximity query. The main idea is to compress bounding volume…

In this paper, we propose a new framework for solving a general dynamic optimal stopping problem without time consistency. A sophisticated solution is proposed and is well-defined for any time setting with general flows of objectives. A…

This paper derives a diffusion approximation for a sequence of discrete-time one-sided limit order book models with non-linear state dependent order arrival and cancellation dynamics. The discrete time sequences are specified in terms of an…

We present a novel method for solving a class of time-inconsistent optimal stopping problems by reducing them to a family of standard stochastic optimal control problems. In particular, we convert an optimal stopping problem with a…

We study the boundary stabilization of one-dimensional cross-diffusion systems in a moving domain. We show first exponential stabilization and then finite-time stabilization in arbitrary small-time of the linearized system around uniform…