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 ...

It is the key objective of the ERC-funded MONTECARLO project to employ multilevel Monte Carlo and stochastic gradient descent type methods to design and analyse algorithms which provably overcome the ...

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 ...

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

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 ...