Numerical Solution of Backward Stochastic Differential Equations with Jumps for A Class of Nonlocal

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：a3799222999

【摘要】

：

　　We propose a novel numerical approach for linear nonlocal diffusion equations with integrable kernels,based on the relationship between the backward Kolmogo

【作者】

：

ZhangGuannan[1]ZhaoWeidong[2]WebsterClayton[1]

【机构】

：

Oak Ridge National Laboratory

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

下载到本地 , 更方便阅读

下载此文赞助VIP

声明 : 本文档内容版权归属内容提供方 , 如果您对本文有版权争议 , 可与客服联系进行内容授权或下架

论文部分内容阅读

　　We propose a novel numerical approach for linear nonlocal diffusion equations with integrable kernels,based on the relationship between the backward Kolmogorov equation and a class of backward stochastic differential equations(BSDEs)driven by Levy processes with jumps.

其他文献

Linear Versus Non-linear Approximation in the Average Case Setting

　　We compare the average errors of linear and non-linear approximations assuming that the coefficients in an orthogonal expansion are scaled i.i.d.random vari

会议

Lp-discrepancy of Higher Order Digital Sequences

　　Higher order digital sequences as proposed by Dick are constructions of infinite sequences with very well distribution modulo one.

会议

Integration,Approximation and Discrepancy

　　Numerical methods for high dimensional integration and approximation play a crucial role in a number of applications.This session brings together experts fr

会议

PDE Constrained Optimization with Pointwise Gradient Constraints

　　In this talk,we will review several recent result in PDE constrained optimization with pointwise constraints on the gradient of the state.This includes barr

会议

Modelling Transboundary Industrial Stochastic Pollution by Differential Games and Computation

　　In this talk,a differential game model of transboundary pollution with emission permits trading is presented.

会议

Parareal in Time Algorithm for the Optimal Control of Evolution Equations

　　A parareal in time algorithm is proposed to solve the optimal control problems of evolution equations.This method is to solve the first order optimality sys

会议

Optimized Schwarz Methods for Radial Basis Function Methods

　　Radial basis function(RBF)methods for PDEs remain challenging computationally because they produce matrix problems that are dense and ill conditioned as the

会议

Adaptive RBF ENO and WENO Finite Volume Methods for Hyperbolic Problems

　　Adaptive ENO and WENO methods are proposed based on the radial basis function(RBF)interpolation replacing the polynomial interpolation.

会议

WENO-Z+:Improving the Numerical Dissipation of WENO Schemes

　　WENO schemes based on the WENO-Z weight formula are less dissipative than(and as stable as)the classical WENO scheme.

会议

A New Adaptive Weighted Essentially Non-oscillatory WENO-θ Scheme for Hyperbolic Conservation Laws

　　A new adaptive WENO-θ scheme is proposed.Depending on the smoothness of the large stencil used in the reconstruction procedure,a parameter θ is set adapti

会议

Numerical Solution of Backward Stochastic Differential Equations with Jumps for A Class of Nonlocal

其他学术论文