The study of Stochastic Partial Differential Equations (SPDEs) occupies a central position in the modern analysis of physical systems where randomness and uncertainty play crucial roles. By ...
Join the Mathematics Department Colloquia for a lecture with Professeur Nils Berglund from the Institut Denis Poisson, Universite d'Orleans. In this talk, we will consider parabolic stochastic partial ...
Whether it's physical phenomena, share prices or climate models—many dynamic processes in our world can be described mathematically with the aid of partial differential equations. Thanks to ...
This paper presents a novel and direct approach to solving boundary- and final-value problems, corresponding to barrier options, using forward pathwise deep learning and forward–backward stochastic ...
This is a preview. Log in through your library . Abstract We study the weak solution X of a parabolic stochastic partial differential equation driven by two independent processes: a Gaussian white ...
We consider a stochastic partial differential equation with reflection at 0 and with the constraint of conservation of the space average. The equation is driven by the derivative in space of a ...
In this paper, we consider the numerical valuation of swing options in electricity markets based on a two-factor model. These kinds of contracts are modeled as path dependent options with multiple ...
Stochastic processes are at the center of probability theory, both from a theoretical and an applied viewpoint. Stochastic processes have applications in many disciplines such as physics, computer ...
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