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A novel high dimensional fitted scheme for stochastic optimal control problems
Stochastic optimal principle leads to the resolution of a partial differ...
09/11/2021 ∙ by Christelle Dleuna Nyoumbi, et al. ∙
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Strong convergence of some Euler-type schemes for the finite element discretization of time-fractional SPDE driven by standard and fractional Brownian motion
In this work, we provide the first strong convergence result of numerica...
11/07/2020 ∙ by Aurelien Junior Noupelah, et al. ∙
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A fitted finite volume method for stochastic optimal control Problems
In this article, we provide a numerical method based on fitted finite vo...
02/19/2020 ∙ by Christelle Dleuna Nyoumbi, et al. ∙
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Optimal error estimate of the finite element approximation of second order semilinear non-autonomous parabolic PDEs
In this work, we investigate the numerical approximation of the second o...
01/23/2020 ∙ by Antoine Tambue, et al. ∙
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Optimal strong convergence rates of some Euler-type timestepping schemes for the finite element discretization SPDEs driven by additive fractional Brownian motion and Poisson r
In this paper, we study the numerical approximation of a general second ...
12/29/2019 ∙ by Aurelien Junior Noupelah, et al. ∙
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A fitted L-Multi-point Flux Approximation method for pricing options
In this paper, we introduce a special kind of finite volume method calle...
12/29/2019 ∙ by Rock Stephane Koffi, et al. ∙
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Convergence of the Two Point Flux Approximation and a novel fitted Two-Point Flux Approximation method for pricing options
In this paper, we deal with numerical approximations for solving the Bla...
12/29/2019 ∙ by Rock S. Koffi, et al. ∙
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Strong convergence of the backward Euler approximation for the finite element discretization of semilinear parabolic SPDEs with non-global Lipschitz drift driven by additive no
This paper deals with the backward Euler method applied to semilinear pa...
12/29/2019 ∙ by Jean Daniel Mukam, et al. ∙
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