Interlacing families III: Sharper restricted invertibility estimates

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Markov cubature rules for polynomial processes

Damir Filipovic, Martin Larsson, Sergio Andres Pulido Nino

We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together with their transition probabilities can be interpreted as Markov cubature rul ...

ELSEVIER2020

A p-weighted limiter for the discontinuous Galerkin method on one-dimensional and two-dimensional triangular grids

Qian Wang, Qian Wang

This paper presents an accuracy-preserving p-weighted limiter for discontinuous Galerkin methods on one-dimensional and two-dimensional triangular grids. The p-weighted limiter is the extension of the second-order WENO limiter by Li et al. [W. Li, J. Pan a ...

2020

Regularity and sparse approximation of the recursive first moment equations for the lognormal Darcy problem

Fabio Nobile, Francesca Bonizzoni

We study the Darcy boundary value problem with lognormal permeability field. We adopt a perturbation approach, expanding the solution in Taylor series around the nominal value of the coefficient, and approximating the expected value of the stochastic solut ...

2020

Asian option pricing with orthogonal polynomials

Sander Félix M Willems

In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black-Scholes setting. The expansion is based on polynomials that are orthogonal with respect to the log-normal distribution. All terms in the ...

ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD2019

Option pricing with orthogonal polynomial expansions

Damir Filipovic, Damien Edouard Ackerer

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White models, for which we provide numerical case studies. We find that our polynomial ...

2020

New Graph Algorithms via Polyhedral Techniques

Jakub Tarnawski

In this thesis we give new algorithms for two fundamental graph problems. We develop novel ways of using linear programming formulations, even exponential-sized ones, to extract structure from problem instances and to guide algorithms in making progress. S ...

EPFL2019

New Algorithmic Paradigms for Discrete Problems using Dynamical Systems and Polynomials

Damian Mateusz Straszak

Optimization is a fundamental tool in modern science. Numerous important tasks in biology, economy, physics and computer science can be cast as optimization problems. Consider the example of machine learning: recent advances have shown that even the most s ...

EPFL2018

A Preconditioned Graph Diffusion LMS for Adaptive Graph Signal Processing

Ali H. Sayed, Roula Nassif

Graph filters, defined as polynomial functions of a graph-shift operator (GSO), play a key role in signal processing over graphs. In this work, we are interested in the adaptive and distributed estimation of graph filter coefficients from streaming graph s ...

IEEE COMPUTER SOC2018

Characteristic modes of vibration of Q-balls

Andrey Shkerin

In this report, based on [1], we study analytically small perturbations of classically stable Q-balls in 3+1 dimensions. Models with flat and polynomial potentials are considered. We find that large Q-balls in the model with the flat potential possess soft ...

EDP SCIENCES2018

On Non-Uniform Transient Electromagnetic Field Coupling to Overhead Transmission Lines

Jun Guo

Transient electromagnetic fields can couple to overhead power transmission and distribution lines, causing damage to the connected equipment. In real cases, incident electromagnetic fields exhibit different spatial and temporal waveform distributions along ...

2018

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