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Optimal expulsion and optimal confinement of a Brownian particle with a switching cost

Related publications (39)

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Rational asset pricing bubbles and portfolio constraints

Julien Hugonnier

This article shows that portfolio constraints can give rise to rational asset pricing bubbles in equilibrium even if there are unconstrained agents in the economy who can benefit from the induced limited arbitrage opportunities. Furthermore, it is shown th ...

Academic Press Inc Elsevier Science2012

Propagation Models for Biochemical Reaction Networks

Maria-Emanuela-Canini Mateescu

In this thesis we investigate different ways of approximating the solution of the chemical master equation (CME). The CME is a system of differential equations that models the stochastic transient behaviour of biochemical reaction networks. It does so by d ...

EPFL2011

Splitting Methods with Modified Potentials and Application to the Damped Wave Equation

Jonathan Rochat

In this report we study and compare particular integration methods to solve ordinary differential equations, which are separable in solvable parts. The main source for this work is the article of Blanes and Casas: "On the necessity of negative coefficient ...

2011

On the Validity of the Fixed Point Equation and Decoupling Assumption for Analyzing the 802.11 MAC Protocol

Jean-Yves Le Boudec

Abstract—Performance evaluation of the 802.11 MAC protocol is classically based on the decoupling assumption, which hypothesizes that the backoff processes at different nodes are independent. A necessary condition for the validity of this approach is the e ...

2010

On the validity of the fixed point equation and decoupling assumption for analyzing the 802.11 MAC protocol

Jean-Yves Le Boudec

Performance evaluation of the 802.11 MAC protocol is classically based on the decoupling assumption, which hypothesizes that the backoff processes at different nodes are independent. A necessary condition for the validity of this approach is the existence ...

2010

Recursive analysis of singular ordinary differential equations

We investigate systems of ordinary differential equations with a parameter. We show that under suitable assumptions on the systems the solutions are computable in the sense of recursive analysis. As an application we give a complete characterization of the ...

Elsevier2010

BECOOL: Ballooning eigensolver with COOL finite elements

Jonathan Graves, Wilfred Anthony Cooper

An incompressible variational ideal ballooning mode equation is discretized with the COOL finite element discretization scheme using basis functions composed of variable order Legendre polynomials. This reduces the second order ordinary differential equati ...

2009

Analysis and Design of Biological Circuits and Systems

Systems and synthetic biology are two emerging disciplines that hold promise to revolutionize our understanding of biological systems and to herald a new era of programmable hardware, respectively. Mathematical abstraction and today's abundance of quantita ...

IEEE2009

Modelling Coupled Mechanics, Moisture and Heat in Pavement Structures

Lyesse Laloui

Different physical problems have been analysed in the preceding {chapters}: they relate to water transfer, to heat transfer, to pollutant transfer and to mechanical equilibrium. All these problems are governed by differential equations and boundary conditi ...

Springer2008

A path integral formalism of DNA looping probability

Ludovica Cotta-Ramusino

In this thesis we describe a path integral formalism to evaluate approximations to the probability density function for the location and orientation of one end of a continuum polymer chain at thermodynamic equilibrium with a heat bath. We concentrate on th ...

EPFL2008