arXiv research

This paper concerns the numerical solution of the finite-horizon Optimal Investment problem with transaction costs under Potential Utility. The problem is initially posed in terms of an evolutive HJB equation with gradient constraints. In Finite-Horizon Optimal Investment with Transaction Costs: A Parabolic Double Obst…

Study optimal reinsurance contracts to prevent moral hazard under non-concave premium principles.

Paper tackles utility maximization with job-switching and retirement constraints.

Large-scale machine learning models are often trained by parallel stochastic gradient descent algorithms. However, the communication cost of gradient aggregation and model synchronization between the master and worker nodes becomes the major obstacle for efficient learning as the number of workers and the dimension of …

Improves DRL for long-term causal inference with semiparametric methods.

Model for corporate bond pricing with credit rating migration, solving a double free boundary problem.

Study on elastic curves pinned at the boundary, focusing on minimizers and their interaction with obstacles.

Study anisotropic obstacle problem for minimal surfaces using Cahn-Hoffman transform.

Study of mean curvature flow with obstacles using singular perturbation.

Anisotropic obstacle problems and Stefan problem studied with evolving surfaces.

This paper examines the use of a residual bootstrap for bias correction in machine learning regression methods. Accounting for bias is an important obstacle in recent efforts to develop statistical inference for machine learning methods. We demonstrate empirically that the proposed bootstrap bias correction can lead to…

The paper finds local minimizers for obstacle avoidance on curved spaces.

The paper simplifies conditions for optimal paths on manifolds avoiding obstacles.

We consider an obstacle problem for elastic curves with fixed ends. We attempt to extend the graph approach provided in [8]. More precisely, we investigate nonexistence of graph solutions for special obstacles and extend the class of admissible curves in a way that an existence result can be obtained by a penalization …

This paper concerns the numerical solution of a fully nonlinear parabolic double obstacle problem arising from a finite portfolio selection with proportional transaction costs. We consider the optimal allocation of wealth among multiple stocks and a bank account in order to maximize the finite horizon discounted utilit…

Geometric optics describes wave behavior near convex obstacles.

In this paper, we analyze a real-valued reflected backward stochastic differential equation (RBSDE) with an unbounded obstacle and an unbounded terminal condition when its generator $f$ has quadratic growth in the $z$-variable. In particular, we obtain existence, comparison, and stability results, and consider the opti…

The paper deals with some problems related to recovering information about an obstacle in an Euclidean space from certain measurements of lengths of generalized geodesics in the exterior of the obstacle. The main result is that if two obstacles satisfy some generic regularity conditions and have (almost) the same trave…

We consider the problem of evolving hypersurfaces by mean curvature flow in the presence of obstacles, that is domains which the flow is not allowed to enter. In this paper, we treat the case of complete graphs and explain how the approach of M. Saez and the second author yields a global weak solution to the original p…

Paper studies optimal control for a specific geometric problem.

Study on semiconcavity of solutions to gradient obstacle problems on compact manifolds.

Study motion planning for points avoiding obstacles in a plane.

The Heston stochastic volatility process is a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square root of the distance to the boundary of the half-plane. The generator of this process with killing, called the elliptic Heston operator, is a second-order, degenerat…

We develop some of the basic theory for the obstacle problem on Riemannian Manifolds, and we use it to establish a mean value theorem. Our mean value theorem works for a very wide class of Riemannian manifolds and has no weights at all within the integral.

In this paper we study Backward Stochastic Differential Equations with two reflecting right continuous with left limits obstacles (or barriers) when the noise is given by Brownian motion and a Poisson random measure mutually independent. The jumps of the obstacle processes could be either predictable or inaccessible. W…

Method recovers obstacles from travel times on curved surfaces.

Optimal controls for conformal Laplacian obstacle problems on spheres and manifolds.

Many mobile robots rely on 2D laser scanners for localization, mapping, and navigation. However, those sensors are unable to correctly provide distance to obstacles such as glass panels and tables whose actual occupancy is invisible at the height the sensor is measuring. In this work, instead of estimating the distance…

Investigates polar tangential angles of curves and their monotonicity.

Study minimizers in large volume isoperimetric problems with a new flatness criterion.

A framework for navigating environments with spatially correlated obstacles and uncertain blockage status.

The paper studies the properties of maps with free boundaries, focusing on the obstacle case.

By introducing a shape manifold as a solution set to solve inverse obstacle scattering problems we allow the reconstruction of general, not necessarily star-shaped curves. The bending energy is used as a stabilizing term in Tikhonov regularization to gain independence of the parametrization. Moreover, we discuss how se…

We give background which shows the connection between the mean value theorem and the obstacle problem, and then we prove that a set is a mean value set for an elliptic operator of the form $Lu := \partial_i (a^{ij}(x) \partial_j u(x))$ if and only if it arises as the noncontact set of an obstacle problem involving the …

Study finds a limiting distribution for free path lengths on flat surfaces with circular obstacles.

New approach for obstacle avoidance in robotics using learned representations.

We study periodic wind-tree models, billiards in the plane endowed with $\mathbb{Z}^2$-periodically located identical connected symmetric right-angled obstacles. We show asymptotic formulas for the number of (isotopy classes of) closed billiard trajectories (up to $\mathbb{Z}^2$-translations) on the wind-tree billiard.…

Same travelling times imply identical obstacles in Riemannian manifolds.

The Heston stochastic volatility process, which is widely used as an asset price model in mathematical finance, is a paradigm for a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square root of the distance to the boundary of the half-plane. The generator of this p…

In this paper, we present a novel penalty approach for the numerical solution of continuously controlled HJB equations and HJB obstacle problems. Our results include estimates of the penalisation error for a class of penalty terms, and we show that variations of Newton's method can be used to obtain globally convergent…

New boundary condition for weak inverse mean curvature flow in bounded domains.

Study proves uniqueness for ray transform on surfaces with obstacles.

We consider the broken ray transform on Riemann surfaces in the presence of an obstacle, following earlier work of Mukhometov. If the surface has nonpositive curvature and the obstacle is strictly convex, we show that a function is determined by its integrals over broken geodesic rays that reflect on the boundary of th…

CARML uses meta-learning to avoid obstacles in 2D vehicle navigation.

We prove existence, uniqueness, and regularity of viscosity solutions to the stationary and evolution obstacle problems defined by a class of nonlocal operators that are not stable-like and may have supercritical drift. We give sufficient conditions on the coefficients of the operator to obtain Hölder and Lipschitz con…

We show short time existence and uniqueness of $\C^{1,1}$ solutions to the mean curvature flow with obstacles, when the obstacles are of class $\C^{1,1}$. If the initial interface is a periodic graph we show long time existence of the evolution and convergence to a minimal constrained hypersurface.

We study a notion of relative entropy motivated by self-expanders of mean curvature flow. In particular, we obtain the existence of this quantity for arbitrary hypersurfaces trapped between two disjoint self-expanders asymptotic to the same cone. This allows us to begin to develop the variational theory for the relativ…

We prove existence, regularity and a Feynman-Kač representation formula of the strong solution to the free boundary problem arising in the financial problem of the pricing of the American Asian option with arithmetic average.