Zobrazeno 1 - 10
of 512
pro vyhledávání: '"Kruse, Thomas"'
This study revisits a recently proposed symmetric port-Hamiltonian single-file model in one dimension. The uniform streaming solutions are stable in the deterministic model. However, the introduction of white noise into the dynamics causes the model
Externí odkaz:
http://arxiv.org/abs/2401.17954
Recently, several deep learning (DL) methods for approximating high-dimensional partial differential equations (PDEs) have been proposed. The interest that these methods have generated in the literature is in large part due to simulations which appea
Externí odkaz:
http://arxiv.org/abs/2309.13722
The collective motion of self-driven agents is a phenomenon of great interest in interacting particle systems. In this paper, we develop and analyze a model of agent motion in one dimension with periodic boundaries using a stochastic port-Hamiltonian
Externí odkaz:
http://arxiv.org/abs/2303.14735
Discrete time stochastic optimal control problems and Markov decision processes (MDPs), respectively, serve as fundamental models for problems that involve sequential decision making under uncertainty and as such constitute the theoretical foundation
Externí odkaz:
http://arxiv.org/abs/2303.03390
We start with a stochastic control problem where the control process is of finite variation (possibly with jumps) and acts as integrator both in the state dynamics and in the target functional. Problems of such type arise in the stream of literature
Externí odkaz:
http://arxiv.org/abs/2206.03772
Most of the existing literature on optimal trade execution in limit order book models assumes that resilience is positive. But negative resilience also has a natural interpretation, as it models self-exciting behaviour of the price impact, where trad
Externí odkaz:
http://arxiv.org/abs/2112.03789
Backward stochastic differential equations (BSDEs) belong nowadays to the most frequently studied equations in stochastic analysis and computational stochastics. BSDEs in applications are often nonlinear and high-dimensional. In nearly all cases such
Externí odkaz:
http://arxiv.org/abs/2108.10602