相关论文: Binomial-tree approximation for time-inconsistent …
A fully discrete approximation of the linear stochastic wave equation driven by additive noise is presented. A standard finite element method is used for the spatial discretisation and a stochastic trigonometric scheme for the temporal…
In this paper, we study the diffusion approximation for slow-fast stochastic differential equations with state-dependent switching, where the slow component $X^{\varepsilon}$ is the solution of a stochastic differential equation with…
We characterize the extremal structure for the exact mixing time for random walks on trees $T_{n,d}$ of order $n$ with diameter $d$. Given a graph $G=(V,E)$, let $H(v,\pi)$ denote the expected length of an optimal stopping rule from vertex…
We study the problem of maintaining a breadth-first spanning tree (BFS tree) in partially dynamic distributed networks modeling a sequence of either failures or additions of communication links (but not both). We present deterministic…
This article deals with error estimates for the finite element approximation of variational normal derivatives and, as a consequence, error estimates for the finite element approximation of Dirichlet boundary control problems with energy…
We consider the Gittins index for a normal distribution with unknown mean $\theta$ and known variance where $\theta$ has a normal prior. In addition to presenting some monotonicity properties of the Gittins index, we derive an approximation…
Value iteration (VI) is a ubiquitous algorithm for optimal control, planning, and reinforcement learning schemes. Under the right assumptions, VI is a vital tool to generate inputs with desirable properties for the controlled system, like…
This article studies the existence of long-time solutions to the Hamiltonian boundary value problem, and their consistent numerical approximation. Such a boundary value problem is, for example, common in Molecular Dynamics, where one aims…
This paper is devoted to solving a time-inconsistent risk-sensitive control problem with parameter $\e$ and its limit case ($\e\rightarrow0^+$) for countable-stated Markov decision processes (MDPs for short). Since the cost functional is…
We review, implement, and compare numerical integration schemes for spatially bounded diffusions stopped at the boundary which possess a convergence rate of the discretization error with respect to the timestep $h$ higher than ${\cal…
We consider the stable matching of two independent Poisson processes in $\mathbb{R}^d$ under an asymmetric color restriction. Blue points can only match to red points, while red points can match to points of either color. It is unknown…
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…
This paper is devoted to the study of acceleration methods for an inequality constrained convex optimization problem by using Lyapunov functions. We first approximate such a problem as an unconstrained optimization problem by employing the…
We develop an approach for solving one-sided optimal stopping problems in discrete time for general underlying Markov processes on the real line. The main idea is to transform the problem into an auxiliary problem for the ladder height…
We discuss the identification of a time-dependent potential in a time-fractional diffusion model from a boundary measurement taken at a single point. Theoretically, we establish a conditional Lipschitz stability for this inverse problem.…
We consider the Chance Constrained Model Predictive Control problem for polynomial systems subject to disturbances. In this problem, we aim at finding optimal control input for given disturbed dynamical system to minimize a given cost…
We investigate a local incremental stationary scheme for the numerical solution of rate-independent systems. Such systems are characterized by a (possibly) non-convex energy and a dissipation potential, which is positively homogeneous of…
An autonomous system of ordinary differential equations in the plane with a centre-saddle bifurcation is considered. The influence of time damped perturbations with power-law asymptotics is investigated. The particular solutions tending at…
In this paper, we study the optimal multiple stopping problem under Knightian uncertainty both under discrete-time case and continuous-time case. The Knightian uncertainty is modeled by a single real-valued function g, which is the…
In this paper we propose and study a new complexity model for approximation algorithms. The main motivation are practical problems over large data sets that need to be solved many times for different scenarios, e.g., many multicast trees…