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
In this talk we present a certain class of stochastic processes,which we suggest to call mild Ito processes,and a new-somehow mild-Ito type formula for such
We study a cavity quantum electrodynamics model for the optical response of a metal nano particle system interacting with multi-state multiple quantum dots.