Results 81 to 90 of about 1,563 (194)
Interpolated Adaptive Linear Reduced Order Modeling for Deformation Dynamics
Computer Graphics Forum, EarlyView.Abstract Linear reduced‐order modeling (ROM) is widely used for efficient simulation of deformation dynamics, but its accuracy is often limited by the fixed linearization of the reduced mapping. We propose a new adaptive strategy for linear ROM that allows the reduced mapping to vary dynamically in response to the evolving deformation state ...
Y. Tao, M. Chiaramonte, P. Fernandez
wiley +1 more source
Multiscale Geometric Integration of Deterministic and Stochastic Systems [PDF]
, 2011 In order to accelerate computations and improve long time accuracy of numerical simulations, this thesis develops multiscale geometric integrators. For general multiscale stiff ODEs, SDEs, and PDEs, FLow AVeraging integratORs (FLAVORs) have been ...
Tao, Molei
core +1 more source
Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source
Adaptive meshless centres and RBF stencils for Poisson equation
, 2011 We consider adaptive meshless discretisation of the Dirichlet problem for Poisson equation based on numerical differentiation stencils obtained with the help of radial basis functions. New meshless stencil selection and adaptive refinement algorithms are
Oleg Davydov +3 more
core +1 more source
Reinforcement Learning for Jump‐Diffusions, With Financial Applications
Mathematical Finance, EarlyView.ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley +1 more source
Optimal Control of Multiphase Free Boundary Problems for Nonlinear Parabolic Equations
, 2020 Dissertation research is on the optimal control of systems with distributed parameters described by singular nonlinear partial differential equations (PDE) modeling multi-phase Stefan type second order parabolic free boundary problems.
Cosgrove, Evan
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Equilibrium Reward for Liquidity Providers in Automated Market Makers
Mathematical Finance, EarlyView.ABSTRACT We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by the venue. Our model is formulated as a leader–follower stochastic game, where the venue is the leader and a representative LP is the follower.
Alif Aqsha +2 more
wiley +1 more source
A Model of Strategic Sustainable Investment
Mathematical Finance, EarlyView.ABSTRACT We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero‐sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous‐time on an infinite‐time horizon.
Tiziano De Angelis +2 more
wiley +1 more source
New results in stochastic moving boundary problems [PDF]
, 2012 Moving boundary problems arise in many areas of science and engineering and they are of great importance in the areas of partial differential equations (PDEs) since they characterize phase change phenomena where a system has two phases such as solid and ...
Kim, Kun Woo
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KERNEL FREE BOUNDARY INTEGRAL METHOD AND ITS APPLICATIONS
, 2022 We developed a kernel-free boundary integral method (KFBIM) for solving variable coefficients partial differential equations (PDEs) in a doubly-connected domain. We focus our study on boundary value problems (BVP) and interface problems. A unique feature
Cao, Yue
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