Related papers: Numerical Solutions of Jump Diffusions with Markov…
In this work, we consider the numerical recovery of a spatially dependent diffusion coefficient in a subdiffusion model from distributed observations. The subdiffusion model involves a Caputo fractional derivative of order $\alpha\in(0,1)$…
Given a stochastic differential equation (SDE) in $\mathbb{R}^n$ whose solution is constrained to lie in some manifold $M \subset \mathbb{R}^n$, we propose a class of numerical schemes for the SDE whose iterates remain close to $M$ to high…
Option pricing models, essential in financial mathematics and risk management, have been extensively studied and recently advanced by AI methodologies. However, American option pricing remains challenging due to the complexity of…
In this paper we consider multi-dimensional partial differential equations of parabolic type involving divergence form operators that possess a discontinuous coefficient matrix along some smooth interface. The solution of the equation is…
We study a class of stochastic semilinear damped wave equations driven by additive Wiener noise. Owing to the damping term, under appropriate conditions on the nonlinearity, the solution admits a unique invariant distribution. We apply…
This work examines a class of switching jump diffusion processes. The main effort is devoted to proving the maximum principle and obtaining the Harnack inequalities. Compared with the diffusions and switching diffusions, the associated…
This article performs a unified convergence analysis of a variety of numerical methods for a model of the miscible displacement of one incompressible fluid by another through a porous medium. The unified analysis is enabled through the…
In this paper, we are concerned with long-time behavior of Euler-Maruyama schemes associated with a range of regime-switching diffusion processes. The key contributions of this paper lie in that existence and uniqueness of numerical…
Switching dynamical systems are an expressive model class for the analysis of time-series data. As in many fields within the natural and engineering sciences, the systems under study typically evolve continuously in time, it is natural to…
Neuro-dynamic programming is a class of powerful techniques for approximating the solution to dynamic programming equations. In their most computationally attractive formulations, these techniques provide the approximate solution only…
We propose a new simple and explicit numerical scheme for time-homogeneous stochastic differential equations. The scheme is based on sampling increments at each time step from a skew-symmetric probability distribution, with the level of…
In this paper, we establish an abstract framework for the approximation of the invariant probability measure for a Markov semigroup. Following Pag{\`e}s and Panloup [40] we use an Euler scheme with decreasing step (unadjusted Langevin…
Anomalous diffusion is a phenomenon that cannot be modeled accurately by second-order diffusion equations, but is better described by fractional diffusion models. The nonlocal nature of the fractional diffusion operators makes substantially…
We present an exact mathematical transformation which converts a wide class of advection-diffusion equations into a form allowing simple and direct spatial discretization in all dimensions, and thus the construction of accurate and more…
This paper presents a numerical method to calculate the value function for a general discounted impulse control problem for piecewise deterministic Markov processes. Our approach is based on a quantization technique for the underlying…
We propose a new approach to quantize the marginals of the discrete Euler diffusion process. The method is built recursively and involves the conditional distribution of the marginals of the discrete Euler process. Analytically, the method…
We present an efficient numerical scheme based on Monte Carlo integration to approximate statistical solutions of the incompressible Euler equations. The scheme is based on finite volume methods, which provide a more flexible framework than…
We represent the method of dynamic diffusion for the approximate solution of Shroedinger equation with decoherence. Decoherence shows as the divergency of exact solution from the dynamics of diffusion swarm, which arises when the total…
In this paper we consider the numerical solution of a singularly perturbed one-dimensional semilinear reaction-diffusion problem. A class of differential schemes is constructed. There is a proof of the existence and uniqueness of the…
A reaction-diffusion problem with a Caputo time derivative is considered. An integral discretization scheme on a graded mesh along with a decomposition of the exact solution is proposed. The truncation error estimate of the discretization…