Related papers: Numerical schemes for $G$--Expectations
In this paper, we propose a class of discrete-time approximation schemes for stochastic optimal control problems under the $G$-expectation framework. The proposed schemes are constructed recursively based on piecewise constant policy. We…
In this paper, we study the discrete-time approximation schemes for a class of backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs) which corresponds to the hedging pricing of European contingent claims. By…
We study a discrete-time approximation for solutions of systems of decoupled forward-backward doubly stochastic differential equations (FBDSDEs). Assuming that the coefficients are Lipschitz-continuous, we prove the convergence of the…
We present here a general method based on the investigation of the relative energy of the system, that provides an unconditional error estimate for the approximate solution of the barotropic Navier Stokes equations obtained by time and…
In this work, we propose a numerical approach for simulations of large deformations of interfaces in a level set framework. To obtain a fast and viable numerical solution in both time and space, temporal discretization is based on the…
We present a numerical method to compute expectations of functionals of a piecewise-deterministic Markov process. We discuss time dependent functionals as well as deterministic time horizon problems. Our approach is based on the…
We give a theory of sublinear expectations and martingales in discrete time. Without assuming the existence of a dominating probability measure, we derive the extensions of classical results on uniform integrability, optional stopping of…
We revisit adaptive time stepping, one of the classical topics of numerical analysis and computational engineering. While widely used in application and subject of many theoretical works, a complete understanding is still missing. Apart…
Implicit methods for the numerical solution of initial-value problems may admit multiple solutions at any given time step. Accordingly, their nonlinear solvers may converge to any of these solutions. Below a critical timestep, exactly one…
This note discusses three examples given in the recent technical correspondence paper [1], which addresses the results presented in [2,3,4]. It is shown that the first example ([1], Section 3) is irrelevant to the results of [2]. The second…
We show that a subclass of infinite-state probabilistic programs that can be modeled by probabilistic one-counter automata (pOC) admits an efficient quantitative analysis. In particular, we show that the expected termination time can be…
Graded modalities have been proposed in recent work on programming languages as a general framework for refining type systems with intensional properties. In particular, continuous endomaps of the discrete time scale, or time warps, can be…
In this article we present a new approach to the numerical valuation of derivative securities. The method is based on our previous work where we formulated the theory of pricing in terms of tradables. The basic idea is to fit a finite…
We consider a semi-Lagrangian scheme for solving the minimum time problem, with a given target, and the associated eikonal type equation. We first use a discrete time deterministic optimal control problem interpretation of the time…
We present an algorithm to evaluate the large deviation functions associated to history-dependent observables. Instead of relying on a time discretisation procedure to approximate the dynamics, we provide a direct continuous-time algorithm,…
In 1986, Dixon and McKee developed a discrete fractional Gr\"{o}nwall inequality [Z. Angew. Math. Mech., 66 (1986), pp. 535--544], which can be seen as a generalization of the classical discrete Gr\"{o}nwall inequality. However, this…
For discrete-time stochastic processes, there is a close connection between return/waiting times and entropy. Such a connection cannot be straightforwardly extended to the continuous-time setting. Contrarily to the discrete-time case one…
We establish general moment estimates for the discrete and continuous exit times of a general It\^o process in terms of the distance to the boundary. These estimates serve as intermediate steps to obtain strong convergence results for the…
In this article we describe applications of Discrete Differential Forms in computational GR. In particular we consider the initial value problem in vacuum space-times that are spherically symmetric. The motivation to investigate this method…
In this paper, we consider testing the martingale difference hypothesis for high-dimensional time series. Our test is built on the sum of squares of the element-wise max-norm of the proposed matrix-valued nonlinear dependence measure at…