Related papers: The heat modulated infinite dimensional Heston mod…
This article addresses the research question if and how the finite cell method, an embedded domain finite element method of high order, may be used in the simulation of metal deposition to harvest its computational efficiency. This…
Fast estimation of the single-particle density matrix is key to many applications in quantum chemistry and condensed matter physics. The best numerical methods leverage the fact that the density matrix elements $f(H)_{ij}$ decay rapidly…
In this paper, a meshless Hermite-HDMR finite difference method is proposed to solve high-dimensional Dirichlet problems. The approach is based on the local Hermite-HDMR expansion with an additional smoothing technique. First, we introduce…
The authors present a new simple algorithm to approximate weakly stochastic differential equations in the spirit of [1] and [2]. They apply it to the problem of pricing Asian options under the Heston stochastic volatility model, and compare…
We combine the unbiased estimators in Rhee and Glynn (Operations Research: 63(5), 1026-1043, 2015) and the Heston model with stochastic interest rates. Specifically, we first develop a semi-exact log-Euler scheme for the Heston model with…
This research explores the development and application of the High-Order Dynamic Integration Method for solving integro-differential equations, with a specific focus on turbulent fluid dynamics. Traditional numerical methods, such as the…
We present a strategy for the numerical solution of convection-coupled phase-transition problems, with focus on solidification and melting. We solve for the temperature and flow fields over time. The position of the phase-change interface…
This paper studies the nonlinear one-dimensional stochastic heat equation driven by a Gaussian noise which is white in time and which has the covariance of a fractional Brownian motion with Hurst parameter 1/4\textless{}H\textless{}1/2 in…
This paper investigates asymptotically optimal importance sampling (IS) schemes for pricing European call options under the Heston stochastic volatility model. We focus on two distinct rare-event regimes where standard Monte Carlo methods…
The stochastic Cahn-Hilliard equation driven by a fractional Brownian sheet provides a more accurate model for correlated space-time random perturbations. This study delves into two key aspects: first, it rigorously examines the regularity…
We consider the problem of heat conduction with phase change, that is essential for permafrost modeling in Land Surface Models and Dynamic Global Vegetation Models. These models require minimal computational effort and an extremely robust…
A low-dimensional model (LDM) for turbulent Rayleigh-Benard convection in a Cartesian cell with square domain, based on the Galerkin projection of the Boussinesq equations onto a finite set of empirical eigenfunctions, is presented. The…
We present a new stochastic analysis for steady and transient one-dimensional heat conduction problem based on the homogenization approach. Thermal conductivity is assumed to be a random field K consisting of random variables of a total…
The H\"older continuity of the solution to a nonlinear stochastic partial differential equation arising from one dimensional super process is obtained. It is proved that the H\"older exponent in time variable is as close as to 1/4,…
We study the heat statistics of a multi-level $N$-dimensional quantum system monitored by a sequence of projective measurements. The late-time, asymptotic properties of the heat characteristic function are analyzed in the thermodynamic…
In this paper we investigate how convective instabilities influence heat conduction in the intracluster medium (ICM) of cool-core galaxy clusters. The ICM is a high-beta, weakly collisional plasma in which the transport of momentum and heat…
We consider the quasi-static magnetic hysteresis model based on a dry-friction like representation of magnetization. The model has a consistent energy interpretation, is intrinsically vectorial, and ensures a direct calculation of the…
The high-pressure and high-temperature thermodynamic properties of iridium are studied using density functional theory in combination with the quasi-harmonic approximation, where both the contributions to the free energy of phonons and of…
In this paper, we develop a 4/2 stochastic volatility plus jumps model, namely, a new stochastic volatility model including the Heston model and 3/2 model as special cases. Our model is highly tractable by applying the Lie symmetries theory…
We consider a numerical approximation of a linear quadratic control problem constrained by the stochastic heat equation with non-homogeneous Neumann boundary conditions. This involves a combination of distributed and boundary control, as…