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 ...
We review the derivation of stochastic ordinary and quasi-linear stochastic partial differential equations (SODE's and SPDE's) from systems of microscopic deterministic equations in space dimension d ...
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 ...
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 ...
Many dynamic processes can be described mathematically with the aid of stochastic partial differential equations. Scientists have found a new method which helps to solve a certain class of such ...
Researcher at the Cluster of Excellence Mathematics finds an approach that can be used flexibly Whether it’s physical phenomena, share prices or climate models – many dynamic processes in our world ...
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