We use the front tracking method on a spring system to model the dynamic evolution of parachute canopy and risers.The present model is shown to be numerical
A large number of industrial physical problems can be modeled using particle-based methods.Particle descriptions can be used for the simulation of continuum
We present an algorithm for the numerical treatment of stochastic differential equations(SDEs)with discontinuous drift.This kind of SDEs appears naturally i
We consider financial derivatives in models where the underlying stock price process has further stochastic parameters,for instance stochastic volatilities
Asset prices are usually modeled via SDEs.Implementing such a model,different discrete approximations are performed: 1)a forward PDE is discretised for cali
In this talk we present a specially designed control variates for estimating smooth terminal functionals of discretized paths,arising from SDE path approxim
Classical numerical schemes such as Runge-Kutta schemes can be used for RODEs but do not achieve their usual high order since the vector field does not inhe
In this talk exponential integrator schemes are introduced for the temporal discretization of semi-linear stochastic wave equations(SWEs)driven by both addi
We design an importance sampling scheme for backward stochastic differential equations(BSDEs)that minimizes the conditional variance occurring in least-squa