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. 49, No. 5/6 (2011), pp. 2017-2038 (22 pages) General autonomous stochastic differential equations (SDEs) driven by one-dimensional Brownian motion in the ...

Backward Stochastic Differential Equations (BSDEs) constitute a powerful framework where the solution is determined by a terminal condition and then propagated backwards in time. This innovative ...

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. These ...

The main aim of this paper is to develop some basic theories of neutral stochastic functional differential equations (NSFDEs). Firstly, we establish a local existenceuniqueness theorem under the local ...

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 in Nature ...

This course is compulsory on the BSc in Actuarial Science. This course is available on the BSc in Business Mathematics and Statistics, BSc in Financial Mathematics and Statistics, BSc in Mathematics ...

This course is compulsory on the BSc in Actuarial Science. This course is available on the BSc in Business Mathematics and Statistics, BSc in Data Science, BSc in Financial Mathematics and Statistics, ...