Zobrazeno 1 - 10
of 160
pro vyhledávání: '"TAN Xiaolu"'
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 65, Pp 309-329 (2019)
We extend the branching process based numerical algorithm of Bouchard et al. [3], that is dedicated to semilinear PDEs (or BSDEs) with Lipschitz nonlinearity, to the case where the nonlinearity involves the gradient of the solution. As in [3], this r
Externí odkaz:
https://doaj.org/article/b2086f63863440d1b0bd30087ab780ae
We study a nonlinear branching diffusion process in the sense of McKean, i.e., where particles are subjected to a mean-field interaction. We consider first a strong formulation of the problem and we provide an existence and uniqueness result by using
Externí odkaz:
http://arxiv.org/abs/2404.12964
Autor:
Bouchard, Bruno, Tan, Xiaolu
We study a class of linear parabolic path-dependent PDEs (PPDEs) defined on the space of c\`adl\`ag paths $x \in D([0,T])$, in which the coefficient functions at time $t$ depend on $x(t)$ and $\int_{0}^{t}x(s)dA_{s}$, for some (deterministic) continu
Externí odkaz:
http://arxiv.org/abs/2310.04308
We provide an It\^o's formula for $C^1$-functionals of flows of conditional marginal distributions of continuous semimartingales. This is based on the notion of weak Dirichlet process, and extends the $C^1$-It\^o's formula in Gozzi and Russo (2006) t
Externí odkaz:
http://arxiv.org/abs/2307.07165
We consider a class of stochastic optimal control problems with partial observation, and study their approximation by discrete-time control problems. We establish a convergence result by using weak convergence technique of Kushner and Dupuis [Numeric
Externí odkaz:
http://arxiv.org/abs/2302.03329
We study a mean-field version of Bank-El Karoui's representation theorem of stochastic processes. Under different technical conditions, we establish some existence and uniqueness results. As motivation and first applications, our mean-field represent
Externí odkaz:
http://arxiv.org/abs/2302.03300
We study the simulated annealing algorithm based on the kinetic Langevin dynamics, in order to find the global minimum of a non-convex potential function. For both the continuous time formulation and a discrete time analogue, we obtain the convergenc
Externí odkaz:
http://arxiv.org/abs/2206.06179
In the context of mean field games, with possible control of the diffusion coefficient, we consider a path-dependent version of the planning problem introduced by P.L. Lions: given a pair of marginal distributions $(\mu_0, \mu_1)$, find a specificati
Externí odkaz:
http://arxiv.org/abs/2203.07019
We study an exit contract design problem, where one provides a universal exit contract to multiple heterogeneous agents, with which each agent chooses an optimal (exit) stopping time. The problem consists in optimizing the universal exit contract w.r
Externí odkaz:
http://arxiv.org/abs/2108.09008
We study Euler-type discrete-time schemes for the rough Heston model, which can be described by a stochastic Volterra equation (with non-Lipschtiz coefficient functions), or by an equivalent integrated variance formulation. Using weak convergence tec
Externí odkaz:
http://arxiv.org/abs/2107.07835