Mathematics of Computation, Vol. 79, No. 269 (JANUARY 2010), pp. 125-146 (22 pages) We provide a convergence result for numerical schemes approximating nonlocal front propagation equations. Our ...

This is a preview. Log in through your library . Abstract The single-item stochastic inventory control problem is to find an inventory replenishment policy in the presence of independent discrete ...

Geometric optimisation and approximation algorithms form a vibrant research area that intersects computational geometry, combinatorial optimisation and algorithm design. Researchers are dedicated to ...

This paper proposes a new deep-learning-based algorithm for high-dimensional Bermudan option pricing. To the best of our knowledge, this is the first study of the arbitrary-order discretization scheme ...

This paper develops a new scheme for improving an approximation method of a probability density function, which is inspired by the idea in the Hilbert space projection theorem. Moreover, we apply ...

Stochastic differential equations (SDEs) are at the heart of modern financial modelling, providing a framework that accommodates the inherent randomness observed in financial markets. These equations ...