Related papers: Monte Carlo method for parabolic equations involvi…
A first-order, Monte Carlo ensemble method has been recently introduced for solving parabolic equations with random coefficients in [26], which is a natural synthesis of the ensemble-based, Monte Carlo sampling algorithm and the…
A new Monte-Carlo method for solving linear parabolic partial differential equations is presented. Since, in this new scheme, the particles are followed backward in time, it provides great flexibility in choosing critical points in…
The Monte Carlo method is a thriving and mathematically beautiful numerical technique used extensively, nowadays, to deal with many demanding problems in diverse fields. Here, we present an iterative Monte Carlo algorithm to work out very…
We apply multilevel Monte Carlo for option pricing problems using exponential L\'{e}vy models with a uniform timestep discretisation to monitor the running maximum required for lookback and barrier options. The numerical results demonstrate…
Since its formulation in the late 1940s, the Feynman-Kac formula has proven to be an effective tool for both theoretical reformulations and practical simulations of differential equations. The link it establishes between such equations and…
We develop a new Monte Carlo method that solves hyperbolic transport equations with stiff terms, characterized by a (small) scaling parameter. In particular, we focus on systems which lead to a reduced problem of parabolic type in the limit…
This article analyzes and develops a method to solve fractional ordinary differential equations using the Monte Carlo Method. A numerical simulation is performed for some differential equations, comparing the results with what exists in the…
In this article, we consider multilevel Monte Carlo for the numerical computation of expectations for stochastic differential equations driven by L\'{e}vy processes. The underlying numerical schemes are based on jump-adapted Euler schemes.…
We introduce Monte Carlo methods to compute the solution of elliptic equations with pure Neumann boundary conditions. We first prove that the solution obtained by the stochastic representation has a zero mean value with respect to the…
We introduce a quantum Monte Carlo method to simulate the reversible dynamics of correlated many-body systems. Our method is based on the Laplace transform of the time-evolution operator which, as opposed to most quantum Monte Carlo…
While multilevel Monte Carlo (MLMC) methods for the numerical approximation of partial differential equations with random coefficients enjoy great popularity, combinations with spatial adaptivity seem to be rare. We present an adaptive MLMC…
Recently, a class of efficient spectral Monte-Carlo methods was developed in \cite{Feng2025ExponentiallyAS} for solving fractional Poisson equations. These methods fully consider the low regularity of the solution near boundaries and…
We are concerned with the numerical resolution of backward stochastic differential equations. We propose a new numerical scheme based on iterative regressions on function bases, which coefficients are evaluated using Monte Carlo…
We consider the numerical solution of scalar, nonlinear degenerate convection-diffusion problems with random diffusion coefficient and with random flux functions. Building on recent results on the existence, uniqueness and continuous…
We introduce and analyze multilevel Monte Carlo algorithms for the computation of $\mathbb {E}f(Y)$, where $Y=(Y_t)_{t\in[0,1]}$ is the solution of a multidimensional L\'{e}vy-driven stochastic differential equation and $f$ is a real-valued…
The aim of this work is to provide fast and accurate approximation schemes for the Monte-Carlo pricing of derivatives in the L\'evy LIBOR model of Eberlein and \"Ozkan (2005). Standard methods can be applied to solve the stochastic…
The work in this paper is four-fold. Firstly, we introduce an alternative approach to solve fractional ordinary differential equations as an expected value of a random time process. Using the latter, we present an interesting numerical…
In this paper, we develop a Monte Carlo method for solving PDEs involving an integral fractional Laplacian (IFL) in multiple dimensions. We first construct a new Feynman-Kac representation based on the Green function for the fractional…
In this paper, we develop and analyze a stochastic algorithm for solving space-time fractional diffusion models, which are widely used to describe anomalous diffusion dynamics. These models pose substantial numerical challenges due to the…
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…