Modern manufacturing engineering is based on a ``design-through-analysis'' workflow. According to this paradigm, a prototype is first designed with Computer-aided-design (CAD) software and then finalized by simulating its physical behavior, which usually i ...
In this thesis we explore uncertainty quantification of forward and inverse problems involving differential equations. Differential equations are widely employed for modeling natural and social phenomena, with applications in engineering, chemistry, meteor ...
We introduce the "continuized" Nesterov acceleration, a close variant of Nesterov acceleration whose variables are indexed by a continuous time parameter. The two variables continuously mix following a linear ordinary differential equation and take gradien ...
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. ...
When activist shareholders file Schedule 13D filings, the average excess return on target stocks is 6% and stock price volatility drops by about 10%. Prior to filing days, volatility (price) information is reflected in option (stock) prices. Using a compre ...
The need to evaluate natural resource investments under uncertainty has given rise to the development of real options valuation; however, the analysis of such investments has been restricted by the capabilities of existing valuation approaches. We re-visit ...
Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibration, and risk assessment need to be performed accurately and in real-time. ...
We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under polynomial trans ...
We show that the finite time blow up solutions for the co-rotational Wave Maps problem constructed in [7,15] are stable under suitably small perturbations within the co-rotational class, provided the scaling parameter λ(t)=t−1−ν is sufficiently close to ...
This article proposes a dynamical system modeling approach for the analysis of longitudinal data of self-regulated homeostatic systems experiencing multiple excitations. It focuses on the evolution of a signal (e.g., heart rate) before, during, and after e ...
The homotopy continuation method has been widely used to compute multiple solutions of nonlinear differential equations, but the computational cost grows exponentially based on the traditional finite difference and finite element discretizations. In this w ...
