3 papers
math.OC2026
A Probabilistic Approach to Shape Derivatives
Luka Schlegel, Volker Schulz, Frank T. Seifried +1
We introduce a novel mesh-free and direct method for computing the shape derivative in PDE-constrained shape optimization problems. Our approach is based on a probabilistic represe…
math.PR2025
A Discretization Scheme for BSDEs with Random Time Horizon
Frank T. Seifried, Maximilian Würschmidt
We analyze a natural extension of the backward Euler approximation for a class of BSDEs with Lipschitz generators and random (unbounded) time horizons. We derive strong error bound…
math.OC2024
Finite State Mean Field Games with Common Shocks
Berenice Anne Neumann, Frank T. Seifried
We present a novel framework for mean field games with finite state space and common noise, where the common noise is given through shocks that occur at random times. We first anal…