Two different approaches are proposed to enhance the efficiency of the numerical resolution of optimal control problems governed by a linear advection– diffusion equation. In ...
Numerical methods are developed for pricing European and American options under Kou's jump-diffusion model which assumes the price of the underlying asset to behave like a ge...
Semiquantitative models combine both qualitative and quantitative knowledge within a single semiquantitative qualitative differential equation (SQDE) representation. With current ...
This paper discusses the infinite horizon stochastic Nash games with state-dependent noise. After establishing the asymptotic structure along with the positive semidefiniteness for...
We propose a new numerical scheme for linear transport equations. It is based on a decomposition of the distribution function into equilibrium and non-equilibrium parts. We also us...