Backward Stochastic Differential Equations (BSDEs) constitute a class of stochastic processes where the solution is determined by a prescribed terminal condition rather than an initial one.

Join the Mathematics Department Colloquia for a lecture with Professeur Nils Berglund from the Institut Denis Poisson, Universite d'Orleans. In this talk, we will consider parabolic stochastic partial ...

A new algorithm developed by Naoki Masuda, with co-athors Kazuyuki Aihara and Neil G. MacLaren, can identify the most predictive data points that a tipping point is near. Published ...

ES_APPM 442-0: Stochastic Differential Equations VIEW ALL COURSE TIMES AND SESSIONS Description. Brownian motion and Langevin's equation. Ito and Stratonovich Stochastic integrals. Stochastic calculus ...

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 ...

Stochastic differential equations (SDEs) have become indispensable in the modelling of financial markets, where random fluctuations and uncertainties prevail. Their role in capturing the dynamic ...

However, this method is extremely costly in terms of memory, which can sometimes become prohibitive. To overcome this, we propose the use of conditional neural stochastic differential equations, ...

Id: 036063 Credits Min: 3 Credits Max: 3 Description. Mathematical approaches for numerically solving partial differential equations. The focus will be (a) iterative solution methods for linear and ...