相关论文: Adaptive Mesh Construction for the Numerical Solut…

In this paper, we present a discrete-type approximation scheme to solve continuous-time optimal stopping problems based on fully non-Markovian continuous processes adapted to the Brownian motion filtration. The approximations satisfy…

Motivated by applications in large-scale and multi-agent reinforcement learning, we study the non-asymptotic performance of stochastic approximation (SA) schemes with delayed updates under Markovian sampling. While the effect of delays has…

Learning a Markov Decision Process (MDP) from a fixed batch of trajectories is a non-trivial task whose outcome's quality depends on both the amount and the diversity of the sampled regions of the state-action space. Yet, many MDPs are…

We present a new adaptive collocation scheme for solving partial differential equations based on Local Coupled Multiquadrics (LCMQs) within a covers-and-nodes framework. The method, referred to as the Adaptive Ch Method, automatically…

Imprecise continuous-time Markov chains are a robust type of continuous-time Markov chains that allow for partially specified time-dependent parameters. Computing inferences for them requires the solution of a non-linear differential…

Stochastic nonlinear dynamical systems can undergo rapid transitions relative to the change in their forcing, for example due to the occurrence of multiple equilibrium solutions for a specific interval of parameters. In this paper, we…

We introduce a new approach for designing numerical schemes for stochastic differential equations (SDEs). The approach, which we have called direction and norm decomposition method, proposes to approximate the required solution $X_t$ by…

We study a class of multi-stage stochastic programs, which incorporate modeling features from Markov decision processes (MDPs). This class includes structured MDPs with continuous action and state spaces. We extend policy graphs to include…

Mirror Descent (MD) is a well-known method of solving non-smooth convex optimization problems. This paper analyzes the stochastic variant of MD with adaptive stepsizes. Its convergence on average is shown to be faster than with the fixed…

Numerical solution of the chemical master equation for stochastic reaction networks typically suffers from the state space explosion problem due to the curse of dimensionality and from stiffness due to multiple time scales. The dimension of…

We present an implicit Split-Step explicit Euler type Method (dubbed SSM) for the simulation of McKean-Vlasov Stochastic Differential Equations (MV-SDEs) with drifts of superlinear growth in space, Lipschitz in measure and non-constant…

This paper introduces an adaptive time splitting technique for the solution of stiff evolutionary PDEs that guarantees an effective error control of the simulation, independent of the fastest physical time scale for highly unsteady…

We propose a new method for the construction of layer-adapted meshes for singularly perturbed differential equations (SPDEs), based on mesh partial differential equations (MPDEs) that incorporate \emph{a posteriori} solution information.…

The coefficients of the stochastic differential equations with Markovian switching (SDEwMS) additionally depend on a Markov chain and there is no notion of differentiating such functions with respect to the Markov chain. In particular, this…

Explicit numerical finite difference schemes for partial differential equations are well known to be easy to implement but they are particularly problematic for solving equations whose solutions admit shocks, blowups and discontinuities.…

We study the strong approximation of stochastic differential equations with discontinuous drift coefficients and (possibly) degenerate diffusion coefficients. To account for the discontinuity of the drift coefficient we construct an…

The rigorous linking of exact stochastic models to mean-field approximations is studied. Starting from the differential equation point of view the stochastic model is identified by its Kolmogorov equations, which is a system of linear ODEs…

We define some approximation schemes for different kinds of generalized backward stochastic differential systems, considered in the Markovian framework. We propose a mixed approximation scheme for a decoupled system of forward reflected SDE…

This paper studies continuous-time stochastic control problems whose controlled states are fully non-Markovian and depend on unknown model parameters. Such problems arise naturally in path-dependent stochastic differential equations,…

Advances in experimental techniques allow the collection of high-resolution spatio-temporal data that track individual motile entities over time. These tracking data motivate the use of mathematical models to characterise the motion…