Feature-Preserving Flows: A Stochastic Differential Equation's View

AN EXTENSION TO STOCHASTIC TIME-COST TRADE-OFF PROBLEM OPTIMIZATION WITH DISCOUNTED CASH FLOW

In this paper, an efficient multi-objective model is proposed to solve time-cost trade off problem considering cash flows. The proposed multi-objective meta-heuristic is based on Ant colony optimization and is called Non Dominated Archiving Ant Colony Optimization (NAACO). The significant feature of this work is consideration of uncertainties in time, cost and more importantly interest rate. A ...

Deterministic and stochastic perturbations of area preserving flows on a two-dimensional torus

We study deterministic and stochastic perturbations of incompressible flows on a two-dimensional torus. Even in the case of purely deterministic perturbations, the long-time behavior of such flows can be stochastic. The stochasticity is caused by the instabilities near the saddle points as well as by the ergodic component of the locally Hamiltonian system on the torus.

Linear preserving gd-majorization functions from Mn,m to Mn,k

Positive stochastic volatility simulation

We present a positivity preserving numerical scheme for the pathwise solution of nonlinear stochastic differential equations driven by a multi-dimensional Wiener process and governed by non-commutative linear and non-Lipschitz vector fields. This strong order one scheme uses: (i) Strang exponential splitting, an approximation that decomposes the stochastic flow separately into the drift flow, a...

The Navier–Stokes equations and forward-backward SDEs on the group of volume-preserving diffeomorphisms of a flat torus

We establish a connection between the strong solution to the spatially periodic Navier–Stokes equations and a solution to a system of forward-backward stochastic differential equations (FBSDEs) on the group of volume-preserving diffeomorphisms of a flat torus. We construct a representation of the strong solution to the Navier–Stokes equations in terms of diffusion processes.