Abstract: This article presents a problem on model uncertainties in stochastic control, in which an agent assumes a best case scenario on one risk and at the same time a worst case scenario on another ...
py-pde is a Python package for solving partial differential equations (PDEs). The package provides classes for grids on which scalar and tensor fields can be defined. The associated differential ...
Abstract: Stochastic differential equations (SDE) often exhibit large random transitions. This property, which we denote as pathwise stiffness, causes transient bursts of stiffness which limit the ...
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