Related papers: Operator splitting schemes for the two-asset Merto…
Traditional numerical techniques for solving time-dependent partial-differential-equation (PDE) initial-value problems (IVPs) store a truncated representation of the function values and some number of their time derivatives at each time…
Partial differential equations (PDE) on manifolds arise in many areas, including mathematics and many applied fields. Among all kinds of PDEs, the Poisson-type equations including the standard Poisson equation and the related eigenproblem…
This paper studies open-loop equilibriums for a general class of time-inconsistent stochastic control problems under jump-diffusion SDEs with deterministic coefficients. Inspired by the idea of Four-Step-Scheme for forward-backward…
We propose certain approach of solving two-dimensional non-stationary and stationary advection-diffusion-reaction boundary value problems through their reduction to the set of corresponding one-dimensional problems. This method leverages…
We propose a numerical method for the valuation of European-style options under two-asset infinite-activity exponential L\'evy models. Our method extends the effective approach developed by Wang, Wan & Forsyth (2007) for the 1-dimensional…
We develop a mixed least squares Monte Carlo-partial differential equation (LSMC-PDE) method for pricing Bermudan style options on assets whose volatility is stochastic. The algorithm is formulated for an arbitrary number of assets and…
We present the method of moments approach to pricing barrier-type options when the underlying is modelled by a general class of jump diffusions. By general principles the option prices are linked to certain infinite dimensional linear…
This paper detailedly discusses the locally one-dimensional numerical methods for efficiently solving the three-dimensional fractional partial differential equations, including fractional advection diffusion equation and Riesz fractional…
Boundary integral methods are attractive for solving homogeneous linear constant coefficient elliptic partial differential equations on complex geometries, since they can offer accurate solutions with a computational cost that is linear or…
This paper treats the Merton problem how to invest in safe assets and risky assets to maximize an investor's utility, given by investment opportunities modeled by a $d$-dimensional state process. The problem is represented by a partial…
We propose RHYME-XT, an operator-learning framework for surrogate modeling of spatiotemporal control systems governed by input-affine nonlinear partial integro-differential equations (PIDEs) with localized rhythmic behavior. RHYME-XT uses a…
We propose second-order implicit-explicit (IMEX) time-stepping schemes for nonlinear fractional differential equations with fractional order $0<\beta<1$. From the known structure of the non-smooth solution and by introducing corresponding…
Fast pricing of American-style options has been a difficult problem since it was first introduced to financial markets in 1970s, especially when the underlying stocks' prices follow some jump-diffusion processes. In this paper, we propose a…
In this paper I develop a new computational method for pricing path dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform analytically a partial averaging over the…
In this paper, we combine the operator splitting methodology for abstract evolution equations with that of stochastic methods for large-scale optimization problems. The combination results in a randomized splitting scheme, which in a given…
In this paper, we provide different splitting methods for solving distributionally robust optimization problems in cases where the uncertainties are described by discrete distributions. The first method involves computing the proximity…
We study the problem of optimal pricing and hedging of a European option written on an illiquid asset $Z$ using a set of proxies: a liquid asset $S$, and $N$ liquid European options $P_i$, each written on a liquid asset $Y_i, i=1,N$. We…
The goal of this paper is to present two algorithms for solving systems of inclusion problems, with all component of the systems being a sum of two maximal monotone operators. The algorithms are variants of the forward-backward splitting…
Based on the concept of self-decomposable random variables we discuss the application of a model for a pair of dependent Poisson processes to energy facilities. Due to the resulting structure of the jump events we can see the…
This study concerns numerical methods for efficiently solving the Richards equation where different weak formulations and computational techniques are analyzed. The spatial discretizations are based on standard or mixed finite element…