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math.NA2019
Convergence of Milstein Brownian bridge Monte Carlo methods and stable Greeks calculation
Thomas Gerstner, Bastian Harrach, Daniel Roth
We consider the pricing and the sensitivity calculation of continuously monitored barrier options. Standard Monte Carlo algorithms work well for pricing these options. Therefore th…
math.AP2019
Monotonicity-based inversion of the fractional Schrödinger equation II. General potentials and stability
Bastian Harrach, Yi-Hsuan Lin
In this work, we use monotonicity-based methods for the fractional Schrödinger equation with general potentials in a Lipschitz bounded open set $Ω\subset \mathbb…
math.AP2019
Dimension bounds in monotonicity methods for the Helmholtz equation
Bastian Harrach, Valter Pohjola, Mikko Salo
The article [HPS] established a monotonicity inequality for the Helmholtz equation and presented applications to shape detection and local uniqueness in inverse boundary problems.…