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Anisotropic diffusion is a well recognized tool in digital image processing, including edge detection and denoising. We present here a particular nonlinear time-dependent operator together with an appropriate high-order discretization for the space variable. The iterative procedure emphasizes the contour lines encircling the objects, paving the way to accurate reconstructions at a very low cost. One of the main features of such an approach is the possibility of relying on a rather large set of invariant discontinuous images, whose edges can be determined without introducing any approximation.

The accuracy and effectiveness of Hermite spectral methods for the numerical discretization of partial differential equations on unbounded domains, are strongly affected by the amplitude of the Gaussian weight function employed to describe the approximation space. This is particularly true if the problem is under-resolved, i.e., there are no enough degrees of freedom. The issue becomes even more crucial when the equation under study is time-dependent, forcing in this way the choice of Hermite functions where the corresponding weight depends on time. In order to adapt dynamically the approximation space, it is here proposed an automatic decision-making process that relies on machine learning techniques, such as deep neural networks and support vector machines. The algorithm is numerically tested with success on a simple 1D problem, but the main goal is its exportability in the context of more serious applications., Comment: 22 pages, 4 figures

We consider an investor that trades continuously and wants to liquidate an initial asset position within a prescribed time interval. During the execution of the liquidation order the investor is subject to execution risk. We study the problem of finding the optimal liquidation strategy adopted by the investor in order to maximize the expected revenue resulting from the liquidation. We present a mathematical model of the liquidation problem that extends the model of Almgren and Chriss (Almgren, R., Chriss, N., Optimal execution of portfolio transactions, Journal of Risk, 2000) to include execution risk. The liquidation problem is modeled as a linear quadratic stochastic optimal control problem with finite horizon and, under some hypotheses, is solved explicitly.

We consider the problem of governing systemic risk in an assets-liabilities dynamical model of banking system. In the model considered each bank is represented by its assets and its liabilities.The capital reserves of a bank are the difference between assets and liabilities of the bank. A bank is solvent when its capital reserves are greater or equal to zero otherwise the bank is failed.The banking system dynamics is defined by an initial value problem for a system of stochastic differential equations whose independent variable is time and whose dependent variables are the assets and the liabilities of the banks.The banking system model presented generalizes those discussed in [4],[3] and describes a homogeneous population of banks. The main features of the model are a cooperation mechanism among banks and the possibility of the (direct) intervention of the monetary authority in the banking system dynamics. We call systemic risk or systemic event in a bounded time interval the fact that in that time interval at least a given fraction of the banks fails. The probability of systemic risk in a bounded time interval is evaluated using statistical simulation. The systemic risk governance pursues the goal of keeping the probability of systemic risk in a bounded time interval between two given thresholds.The monetary authority is responsible for the systemic risk governance.The governance consists in the choice of the assets and of the liabilities of a kind of "ideal bank" as functions of time and in the choice of the rules that regulate the cooperation mechanism among banks.These rules are obtained solving an optimal control problem for the pseudo mean field approximation of the banking system model. The governance induces the banks of the system to behave like the "ideal bank". Shocks acting on the assets or on the liabilities of the banks are simulated.

We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary reserves of the banks as functions of time. The banking system model considered generalizes previous models studied in [5], [4], [7] and describes an homogeneous population of banks. Two distinct mechanisms are used to model the cooperation among banks and the cooperation between banks and monetary authority. These mechanisms are regulated respectively by the parameters $\alpha$ and $\gamma$. A bank fails when its log-monetary reserves go below an assigned default level. We call systemic risk or systemic event in a bounded time interval the fact that in that time interval at least a given fraction of the banks fails. The probability of systemic risk in a bounded time interval is evaluated using statistical simulation. A method to govern the probability of systemic risk in a bounded time interval is presented. The goal of the governance is to keep the probability of systemic risk in a bounded time interval between two given thresholds. The governance is based on the choice of the log-monetary reserves of a kind of "ideal bank" as a function of time and on the solution of an optimal control problem for the mean field approximation of the banking system model. The solution of the optimal control problem determines the parameters $\alpha$ and $\gamma$ as functions of time, that is defines the rules of the borrowing and lending activity among banks and between banks and monetary authority. Some numerical examples are discussed. The systemic risk governance is tested in absence and in presence of positive and negative shocks acting on the banking system.

In this work, we apply a semi-Lagrangian spectral method for the Vlasov-Poisson system, previously designed for periodic Fourier discretizations, by implementing Legendre polynomials and Hermite functions in the approximation of the distribution function with respect to the velocity variable. We discuss second-order accurate-in-time schemes, obtained by coupling spectral techniques in the space-velocity domain with a BDF time-stepping scheme. The resulting method possesses good conservation properties, which have been assessed by a series of numerical tests conducted on the standard two-stream instability benchmark problem. In the Hermite case, we also investigate the numerical behavior in dependence of a scaling parameter in the Gaussian weight. Confirming previous results from the literature, our experiments for different representative values of this parameter, indicate that a proper choice may significantly impact on accuracy, thus suggesting that suitable strategies should be developed to automatically update the parameter during the time-advancing procedure., Comment: arXiv admin note: text overlap with arXiv:1803.09305

Concerning the Laplace operator with homogeneous Dirichlet boundary conditions, the classical notion of isospectrality assumes that two domains are related when they give rise to the same spectrum. In two dimensions, non isometric, isospectral domains exist. It is not known however if all the eigenvalues relative to a specific domain can be preserved under suitable continuous deformation of its geometry. We show that this is possible when the 2D Laplacian is replaced by a finite dimensional version and the geometry is modified by respecting certain constraints. The analysis is carried out in a very small finite dimensional space, but it can be extended to more accurate finite-dimensional representations of the 2D Laplacian, with an increase of computational complexity. The aim of this paper is to introduce the preliminary steps in view of more serious generalizations.

The Vlasov-Poisson system, modeling the evolution of non-collisional plasmas in the electrostatic limit, is approx- imated by a Semi-Lagrangian technique. Spectral methods of periodic type are implemented through a collocation approach. Groups of particles are represented by the Fourier Lagrangian basis and evolve, for a single timestep, along an high-order accurate representation of the local characteristic lines. The time-advancing technique is based on Taylor developments that can be, in principle, of any order of accuracy, or by coupling the phase space discretiza- tion with high-order accurate Backward Differentiation Formulas (BDF) as in the method-of-lines framework. At each timestep, particle displacements are reinterpolated and expressed in the original basis to guarantee the order of accuracy in all the variables at relatively low costs. Thus, these techniques combine excellent features of spectral approximations with high-order time integration. Series of numerical experiments are performed in order to assess the real performance. In particular, comparisons with standard benchmarks are examined., Comment: 25 pages, 8 figures

Spectral discretizations of fractional derivative operators are examined, where the approximation basis is related to the set of Jacobi polynomials. The pseudo-spectral method is implemented by assuming that the grid, used to represent the function to be differentiated, may not be coincident with the collocation grid. The new option opens the way to the analysis of alternative techniques and the search of optimal distributions of collocation nodes, based on the operator to be approximated. Once the initial representation grid has been chosen, indications on how to recover the collocation grid are provided, with the aim of enlarging the dimension of the approximation space. As a results of this process, performances are improved. Applications to fractional type advection-diffusion equations, and comparisons in terms of accuracy and efficiency are made. As shown in the analysis, special choices of the nodes can also suggest tricks to speed up computations.