Results 41 to 50 of about 19,436 (230)
Finite element scheme for integro-partial differential equations
, 2008 We construct a finite element like scheme for fully non-linear integro-partial differential equations arising in optimal control of jump-processes. Special cases of these equations include optimal portfolio and option pricing equations in Finance. The schemes are monotone and robust.
Camilli, Fabio, Jakobsen, Espen R.
openaire +2 more sources
Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps [PDF]
, 2016 In the paper, by virtue of the Girsanov transformation, we derive a link of a class of (timeinhomogeneous)non-Lipschitz stochastic differential equations (SDEs) with jumps to aclass of semi-linear partial integro-differential equations (PIDEs) of ...
Jiang-lun Wu
core +1 more source
Front motion for phase transitions in systems with memory
, 2000 We consider the Allen-Cahn equations with memory (a partial integro-differential convolution equation). The prototype kernels are exponentially decreasing functions of time and they reduce the integrodifferential equation to a hyperbolic one, the damped ...
Aizicovici +17 more
core +1 more source
, 2012 In this article we study a class of stochastic functional differential equations driven by L\'{e}vy processes (in particular, $\alpha$-stable processes), and obtain the existence and uniqueness of Markov solutions in small time intervals.
Zhang, Xicheng
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Nonlinear Engineering, 2023 Two numerical regimes for the one- and two-dimensional hyperbolic telegraph equations are contrasted in this article. The first implemented regime is uniform algebraic trigonometric tension B-spline DQM, while the second implemented regime is uniform ...
Kapoor Mamta
doaj +1 more source
Hacettepe Journal of Mathematics and Statistics, 2016 Summary: In this paper, a numerical method is developed for solving linear and nonlinear integro-partial differential equations in terms of the two variables Jacobi polynomials. First, some properties of these polynomials and several theorems are presented then a generalized approach implementing a collocation method in combination with two dimensional
BORHANİFAR, Abdollah, SADRİ, Khadijeh
openaire +4 more sources
Journal of Function Spaces, 2022 This article focuses on finding the numerical solution of the nonlinear time–fractional partial integro–differential equation. For this purpose, we use the operational matrices based on Pell polynomials to approximate fractional Caputo derivative ...
M. Taghipour, H. Aminikhah
doaj +1 more source
A magneto-viscoelasticity problem with a singular memory kernel
, 2016 The existence of solutions to a one-dimensional problem arising in magneto-viscoelasticity is here considered. Specifically, a non-linear system of integro-differential equations is analyzed, it is obtained coupling an integro-differential equation ...
Caffarelli, Giorgio Vergara +3 more
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Optimal dividends for a NatCat insurer in the presence of a climate tipping point
Canadian Journal of Statistics, EarlyView.Abstract We study optimal dividend strategies for an insurance company facing natural catastrophe claims, anticipating the arrival of a climate tipping point after which the claim intensity and/or the claim size distribution of the underlying risks deteriorates irreversibly.
Hansjörg Albrecher +2 more
wiley +1 more source
Quenching the Hubbard Model: Comparison of Nonequilibrium Green's Function Methods
Contributions to Plasma Physics, EarlyView.ABSTRACT We benchmark nonequilibrium Green's function (NEGF) approaches for interaction quenches in the half‐filled Fermi–Hubbard model in one and two dimensions. We compare fully self‐consistent two‐time Kadanoff–Baym equations (KBE), the generalized Kadanoff–Baym ansatz (GKBA), and the recently developed NEGF‐based quantum fluctuations approach (NEGF‐
Jan‐Philip Joost +3 more
wiley +1 more source