7 papers
High order Bellman equations and weakly chained diagonally dominant tensors
Parsiad Azimzadeh, Erhan Bayraktar
We introduce high order Bellman equations, extending classical Bellman equations to the tensor setting. We introduce weakly chained diagonally dominant (w.c.d.d.) tensors and show…
Impulse Control in Finance: Numerical Methods and Viscosity Solutions
Parsiad Azimzadeh
The goal of this thesis is to provide efficient and provably convergent numerical methods for solving partial differential equations (PDEs) coming from impulse control problems mot…
On the CNOT-complexity of CNOT-PHASE circuits
Matthew Amy, Parsiad Azimzadeh, Michele Mosca
We study the problem of CNOT-optimal quantum circuit synthesis over gate sets consisting of CNOT and Z-basis rotations of arbitrary angles. We show that the circuit-polynomial corr…
Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities
Parsiad Azimzadeh, Erhan Bayraktar, George Labahn
In [Azimzadeh, P., and P. A. Forsyth. "Weakly chained matrices, policy iteration, and impulse control." SIAM J. Num. Anal. 54.3 (2016): 1341-1364], we outlined the theory and imple…
A fast and stable test to check if a weakly diagonally dominant matrix is a nonsingular M-matrix
Parsiad Azimzadeh
We present a test for determining if a substochastic matrix is convergent. By establishing a duality between weakly chained diagonally dominant (w.c.d.d.) L-matrices and convergent…
A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions
Parsiad Azimzadeh
We study a zero-sum stochastic differential game (SDG) in which one controller plays an impulse control while their opponent plays a stochastic control. We consider an asymmetric s…