3 citations · 6 across the 16 of their papers we have counts for
16 papers
WoSNN: Stochastic Solver for PDEs with Machine Learning
Silei Song, Arash Fahim, Michael Mascagni
Solving elliptic partial differential equations (PDEs) is a fundamental step in various scientific and engineering studies. As a classic stochastic solver, the Walk-on-Spheres (WoS…
A hierarchical resource-efficient deep policy gradient method for continuous-time optimal control problems
Arash Fahim, Md. Arafatur Rahman
In this paper, we propose an efficient implementation of a deep policy gradient method (PGM) for optimal control problems in continuous time. For continuous-time problems that requ…
Gradient ascent method for fully nonlinear parabolic differential equations with convex nonlinearity
Hung Duong, Arash Fahim
We introduce a generic numerical schemes for fully nonlinear parabolic PDEs on the full domain, where the nonlinearity is convex on the Hessian of the solution. The main idea behin…
Impact of carbon market on production emissions
Arash Fahim, Nizar Touzi
The aim of this paper is to address the effect of the carbon emission allowance market on the production policy of a large polluter production firm. We investigate this effect in t…
Generalized Duality for Model-Free Superhedging given Marginals
Arash Fahim, Yu-Jui Huang, Saeed Khalili
In a discrete-time financial market, a generalized duality is established for model-free superhedging, given marginal distributions of the underlying asset. Contrary to prior studi…
A Numerical Scheme for A Singular control problem: Investment-Consumption Under Proportional Transaction Costs
Arash Fahim, Wan-Yu Tsai
This paper concerns the numerical solution of a fully nonlinear parabolic double obstacle problem arising from a finite portfolio selection with proportional transaction costs. We…