Stochastic fluid dynamics extends classical fluid mechanics by incorporating randomness and uncertainty directly into the governing equations. This approach utilises stochastic differential equations ...
This paper presents a novel and direct approach to solving boundary- and final-value problems, corresponding to barrier options, using forward pathwise deep learning and forward–backward stochastic ...
SIAM Journal on Numerical Analysis, Vol. 54, No. 2 (2016), pp. 1093-1119 (27 pages) A fully discrete approximation of the semilinear stochastic wave equation driven by multiplicative noise is ...
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