Search Results - subject:"Numerical Scheme"

A fractal-fractional order model for exploring the dynamics of Monkeypox disease

Wireko, Fredrick Asenso; Adu, Isaac Kwasi; Sebil, Charles; … - In: Decision analytics journal 8 (2023), pp. 1-31

This study explores the biological behaviour of the Monkeypox disease using a fractal-fractional operator. We discuss the existence and uniqueness of the solution of the model using the fixed-point concept. We further show that the Monkeypox fractal-fractional model is stable through the...

Persistent link: https://www.econbiz.de/10014517337

The seven-league scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations

Liu, Shuaiqiang; Grzelak, Lech A.; Oosterlee, Cornelis … - In: Risks 10 (2022) 3, pp. 1-27

We propose an accurate data-driven numerical scheme to solve stochastic differential equations (SDEs), by taking large …

Persistent link: https://www.econbiz.de/10013200937

The seven-league scheme : deep learning for large time step Monte Carlo simulations of stochastic differential equations

Liu, Shuaiqiang; Grzelak, Lech A.; Oosterlee, Cornelis … - In: Risks : open access journal 10 (2022) 3, pp. 1-27

We propose an accurate data-driven numerical scheme to solve stochastic differential equations (SDEs), by taking large …

Persistent link: https://www.econbiz.de/10013093086

A fully quantization-based scheme for FBSDEs

Callegaro, Giorgia; Gnoatto, Alessandro; Grasselli, Martino - 2021

Persistent link: https://www.econbiz.de/10013347389

Numerical study of hybrid third order compact scheme for hyperbolic conservation laws

Wibisono, Indra; Kosasih, E.A. - In: Energy Reports 6 (2020) 2, pp. 698-702

-order TVD scheme otherwise. The numerical scheme is tested in quasi-one-dimensional Sod's shock tube problem. The results show …

Persistent link: https://www.econbiz.de/10012652316

Numerical study of hybrid third order compact scheme for hyperbolic conservation laws

Wibisono, Indra; Yanuar; Kosasih, E.A. - In: Energy reports 6 (2020) 2, pp. 698-702

-order TVD scheme otherwise. The numerical scheme is tested in quasi-one-dimensional Sod's shock tube problem. The results show …

Persistent link: https://www.econbiz.de/10012181453

A numerical solution of optimal portfolio selection problem with general utility functions

Ma, Guiyuan; Zhu, Song-Ping; Kang, Boda - In: Computational economics 55 (2020) 3, pp. 957-981

Persistent link: https://www.econbiz.de/10012223689

Path-dependent American options

Chevalier, Etienne; Ly Vath, Vathana; Mnif, Mohamed - In: The journal of computational finance 23 (2019) 1, pp. 61-95

Persistent link: https://www.econbiz.de/10012064988

НЕЯВНЫЕ СИЛЬНЫЕ МЕТОДЫ ЧИСЛЕННОГО МОДЕЛИРОВАНИЯ РЕШЕНИЙ СДУ С МАРКОВСКИМИ ПЕРЕКЛЮЧЕНИЯМИ

ВАЛЕНТИНОВНА, ЧЕРНЫХ НАДЕЖДА - In: Управление большими … (2014) 3, pp. 58-83

Рассматриваются неявные сильные схемы численного решения стохастических дифференциальных уравнений с марковскими переключениями диффузионной составляющей....

Persistent link: https://www.econbiz.de/10011270558

Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization.

Imkeller, Peter; Reveillac, Anthony; Zhang, Jianing - Université Paris-Dauphine - 2011

In this paper we study BSDEs arising from a special class of backward stochastic partial differential equations (BSPDEs) that is intimately related to utility maximization problems with respect to arbitrary utility functions. After providing existence and uniqueness we discuss the numerical...

Persistent link: https://www.econbiz.de/10009319606