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10/20/2022
Piecewise linear interpolation of noise in finite element approximations of parabolic SPDEs
Simulation of stochastic partial differential equations (SPDE) on a gene...
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06/21/2022
The heat modulated infinite dimensional Heston model and its numerical approximation
The HEat modulated Infinite DImensional Heston (HEIDIH) model and its nu...
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09/16/2020
Strong convergence of a Verlet integrator for the semi-linear stochastic wave equation
The full discretization of the semi-linear stochastic wave equation is c...
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02/24/2020
Hybrid, adaptive, and positivity preserving numerical methods for the Cox-Ingersoll-Ross model
We introduce an adaptive Euler method for the approximate solution of th...
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08/31/2019