A numerical method for a class of forward-backward stochastic differential equations (FBSDEs) is proposed and analyzed. The method is designed around the four step scheme [J. Douglas, Jr., J. Ma, and ...

We develop finite difference numerical schemes for a model arising in multi-body structures, previously analyzed by H. Koch and E. Zuazua, constituted by two n-dimensional wave equations coupled with ...

An introduction to the theory, algorithms, approximations, and applications of stochastic processes. Topics studied include Markov chain and continuous and continuous time Markov process models and ...

We propose to use stratified approximations based on the gamma and lognormal distributions for the pricing of options on average, such as Asian options and bond prices in the Dothan model. We show ...

Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression Lars Stentoft ...

ECEN 6006 Numerical Methods ECEN 6006 Numerical Methods Optical systems employ a rich array of physical effects which are described by well-understood equations. However, for all but the simplest ...