2 citations · 3 across the 3 of their papers we have counts for
3 papers
Energy-stable discretization of the one-dimensional two-fluid model
J. F. H. Buist, B. Sanderse, S. Dubinkina +2
In this paper we present a complete framework for the energy-stable simulation of stratified incompressible flow in channels, using the one-dimensional two-fluid model. Building on…
D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options
Kristoffer Andersson, Cornelis W. Oosterlee
In this paper, we propose a machine learning algorithm for time-inconsistent portfolio optimization. The proposed algorithm builds upon neural network based trading schemes, in whi…
GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations
Shuaiqiang Liu, Graziana Colonna, Lech A. Grzelak +1
Monte Carlo simulation is widely used to numerically solve stochastic differential equations. Although the method is flexible and easy to implement, it may be slow to converge. Mor…