In this paper, in a time-homogeneous diffusion setting, we study a sequence of last passage times of generalized drawdown processes before the first passage time of another monitoring generalized drawdown process. These quantities are closely related to consecutive small market downward...

In this paper, we propose a new approach for stochastic control problems arising from utility maximization. The main idea is to directly start from the dynamical programming equation and compute the conditional expectation using a novel representation of the conditional density function through...

The optimal structure of a sinusoidal wavy plate fin heat sink with crosscut ( SWHS-WC) is determined by an efficient intelligent optimization method based on the Bayesian Optimization (BO) algorithm. The comprehensive thermal performance factor (TPF) is the objective function to associate with...

An in-situ reaction controlled non-solvent induced phase separation (RC-NIPS) method was developed to tailor the morphology of polyvinyl chloride (PVC)/styrene-maleic anhydride (SMA) grafting polyethylene glycol (PEG) (SMA-g-PEG) blend ultrafiltration (UF) membrane. PEG (20kDa) was...

This paper establishes the precise second order convergence rates of the continuous-time Markov chain (CTMC) approximation method for pricing options and calculating its Greeks under the general framework of stochastic local volatility models, which include the Heston and SABR models as special...