A forward scheme for backward SDEs

We introduce a forward scheme for simulating backward SDEs. Compared to existing schemes, ours avoids high order nestings of conditional expectations backwards in time. In this way the error, when approximating the conditional expectation, depending on the time partition, is significantly reduced. Besides this generic result, we present an implementable algorithm and prove its convergence. Finally, we demonstrate the strength of the new algorithm by solving a financial problem numerically.     

Numerical solution of forward and backward problem for 2-D heat conduction equation

For a two-dimensional heat conduction problem, we consider its initial boundary value problem and the related inverse problem of determining the initial temperature distribution from transient temperature measurements. The conditional stability for this inverse problem and the error analysis for the Tikhonov regularization are presented. An implicit inversion method, which is based on the regularization technique and the successive over-relaxation (SOR) iteration process, is established. Due to the explicit difference scheme for a direct heat problem developed in this paper, the inversion process is very efficient, while the application of SOR technique makes our inversion convergent rapidly. Numerical results illustrating our method are also given.     

Overlapping Schwarz waveform relaxation method for the solution of the forward–backward heat equation

In this article we analyzed the convergence of the Schwarz waveform relaxation method for solving the forward–backward heat equation. Numerical results are presented for a specific type of model problem.     

Differential Harnack estimates for backward heat equations with potentials under the Ricci flow

In this paper, we derive a general evolution formula for possible Harnack quantities. As a consequence, we prove several differential Harnack inequalities for positive solutions of backward heat-type equations with potentials (including the conjugate heat equation) under the Ricci flow. We shall also derive Perelman's Harnack inequality for the fundamental solution of the conjugate heat equation under the Ricci flow.     

正倒向随机微分方程组的数值解法

1990年,Pardoux和Peng(彭实戈)解决了非线性倒向随机微分方程(backward stochastic differential equation,BSDE)解的存在唯一性问题,从而建立了正倒向随机微分方程组(forward backward stochastic differential equations,FBSDEs)的理论基础;之后,正倒向随机微分方程组得到了广泛研究,并被应用于众多研究领域中,如随机最优控制、偏微分方程、金融数学、风险度量、非线性期望等.近年来,正倒向随机微分方程组的数值求解研究获得了越来越多的关注,本文旨在基于正倒向随机微分方程组的特性,介绍正倒向随机微分方程组的主要数值求解方法.我们将重点介绍讨论求解FBSDEs的积分离散法和微分近似法,包括一步法和多步法,以及相应的数值分析和理论分析结果.微分近似法能构造出求解全耦合FBSDEs的高效高精度并行数值方法,并且该方法采用最简单的Euler方法求解正向随机微分方程,极大地简化了问题求解的复杂度.文章最后,我们尝试提出关于FBSDEs数值求解研究面临的一些亟待解决和具有挑战性的问题.     

A type of time-symmetric forward–backward stochastic differential equations

In this Note, we study a type of time-symmetric forward–backward stochastic differential equations. Under some monotonicity assumptions, we establish the existence and uniqueness theorem by means of a method of continuation. We also give an application. To cite this article: S. Peng, Y. Shi, C. R. Acad. Sci. Paris, Ser. I 336 (2003).     

The decomposition method for forward and backward time-dependent problems

The convergence of the decomposition method as applied to time-dependent problems governed by the heat, wave and beam equations is investigated for both forward (direct) and backward (inverse) problems. It is shown that for forward problems the convergence is faster than for backward problems.     

A regularization method for solving the radially symmetric backward heat conduction problem

This work is devoted to solving the radially symmetric backward heat conduction problem, starting from the final temperature distribution. The problem is ill-posed: the solution (if it exists) does not depend continuously on the given data. A modified Tikhonov regularization method is proposed for solving this inverse problem. A quite sharp estimate of the error between the approximate solution and the exact solution is obtained with a suitable choice of regularization parameter. A numerical example is presented to verify the efficiency and accuracy of the method.     

A parallel to the null ideal for inaccessible $$\lambda $$: Part I

It is well known how to generalize the meagre ideal replacing \(\aleph _0\) by a (regular) cardinal \(\lambda > \aleph _0\) and requiring the ideal to be \(({<}\lambda )\)-complete. But can we generalize the null ideal? In terms of forcing, this means finding a forcing notion similar to the random real forcing, replacing \(\aleph _0\) by \(\lambda \). So naturally, to call it a generalization we require it to be \(({<}\lambda )\)-complete and \(\lambda ^+\)-c.c. and more. Of course, we would welcome additional properties generalizing the ones of the random real forcing. Returning to the ideal (instead of forcing) we may look at the Boolean Algebra of \(\lambda \)-Borel sets modulo the ideal. Common wisdom have said that there is no such thing because we have no parallel of Lebesgue integral, but here surprisingly first we get a positive \(=\) existence answer for a generalization of the null ideal for a “mild” large cardinal \(\lambda \)—a weakly compact one. Second, we try to show that this together with the meagre ideal (for \(\lambda \)) behaves as in the countable case. In particular, we consider the classical Cichoń diagram, which compares several cardinal characterizations of those ideals. We shall deal with other cardinals, and with more properties of related forcing notions in subsequent papers (Shelah in The null ideal for uncountable cardinals; Iterations adding no \(\lambda \)-Cohen; Random \(\lambda \)-reals for inaccessible continued; Creature iteration for inaccesibles. Preprint; Bounding forcing with chain conditions for uncountable cardinals) and Cohen and Shelah (On a parallel of random real forcing for inaccessible cardinals. arXiv:1603.08362 [math.LO]) and a joint work with Baumhauer and Goldstern.     

Fourier regularization for a backward heat equation

In this paper a simple and convenient new regularization method for solving backward heat equation—Fourier regularization method is given. Meanwhile, some quite sharp error estimates between the approximate solution and exact solution are provided. A numerical example also shows that the method works effectively.     

Stability results for the heat equation backward in time

For the heat equation backward in time

     

Second-order schemes for solving decoupled forward backward stochastic differential equations

In this paper,by using trapezoidal rule and the integration-by-parts formula of Malliavin calculus,we propose three new numerical schemes for solving decoupled forward-backward stochastic differential equations.We theoretically prove that the schemes have second-order convergence rate.To demonstrate the effectiveness and the second-order convergence rate,numerical tests are given.     

A modified Tikhonov regularization method for an axisymmetric backward heat equation

This paper deals with the inverse time problem for an axisymmetric heat equation. The problem is ill-posed. A modified Tikhonov regularization method is applied to formulate regularized solution which is stably convergent to the exact one. estimate between the approximate solution and exact technical inequality and improving a priori smoothness Meanwhile, a logarithmic-HSlder type error solution is obtained by introducing a rather assumption.     

Continuous dependence on geometry for the backward heat equation

In this paper we are concerned with the development of criteria for stabilizing inherently unstable initial-boundary value problems under small errors in the geometry of the underlying domain. We consider in particular the initial-boundary-value problem for the backward heat equation assuming that some error has been made in characterizing the geometry of the domain under consideration. It is shown that solutions which belong to an appropriately defined constraint set depend continuously in L₂ on errors in the geometry.     

On the minimum-cost $$\lambda $$-edge-connected k-subgraph problem

In this paper, we propose several integer programming (IP) formulations to exactly solve the minimum-cost \(\lambda \)-edge-connected k-subgraph problem, or the \((k,\lambda )\)-subgraph problem, based on its graph properties. Special cases of this problem include the well-known k-minimum spanning tree problem (if \(\lambda =1\)), \(\lambda \)-edge-connected spanning subgraph problem (if \(k=|V|\)) and k-clique problem (if \(\lambda = k-1\) and there are exact k vertices in the subgraph). As a generalization of k-minimum spanning tree and a case of the \((k,\lambda )\)-subgraph problem, the (k, 2)-subgraph problem is studied, and some special graph properties are proved to find stronger and more compact IP formulations. Additionally, we study the valid inequalities for these IP formulations. Numerical experiments are performed to compare proposed IP formulations and inequalities.