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A differential equations approach to l1-minimization with applications to array imaging
differential equations approach l1-minimization array imaging
2015/7/14
We present an ordinary differential equations approach to the analysis of algorithms for constructing l1 minimizing solutions to underdeter mined linear systems of full rank. It involves a relaxed min...
On backward stochastic differential equations approach to valuation of American options
Backward stochastic differential equation Obstacle problem American option
2011/2/24
We consider the problem of valuation of American (call and put) options written on a dividend paying stock governed by the geometric Brownian motion. We show that the value function has two different ...
