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20132026
most citedHigh-order compact finite difference scheme for option pricing in stochastic volatility models

75 citations · 453 across the 27 of their papers we have counts for

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5 papers · 1 filter

math.AP2022★ 1 cited

Steady states of an Elo-type rating model for players of varying strength

Bertram Düring, Josephine Evans, Marie-Therese Wolfram

In this paper we study the long-time behaviour of a kinetic formulation of an Elo-type rating model for a large number of interacting players with variable strength. The model resu…

math.AP2019★ 1 cited

Equilibria of an anisotropic nonlocal interaction equation: Analysis and numerics

José A. Carrillo, Bertram Düring, Lisa Maria Kreusser +1

In this paper, we study the equilibria of an anisotropic, nonlocal aggregation equation with nonlinear diffusion which does not possess a gradient flow structure. Here, the anisotr…

math.AP2016★ 12 cited

Pattern formation of a nonlocal, anisotropic interaction model

Martin Burger, Bertram Düring, Lisa Maria Kreusser +2

We consider a class of interacting particle models with anisotropic, repulsive-attractive interaction forces whose orientations depend on an underlying tensor field. An example of…

math.AP2016★ 17 cited

A kinetic equation for economic value estimation with irrationality and herding

Bertram Düring, Ansgar Jüngel, Lara Trussardi

A kinetic inhomogeneous Boltzmann-type equation is proposed to model the dynamics of the number of agents in a large market depending on the estimated value of an asset and the rat…

math.AP2015★ 1 cited

Asymptotic speed of propagation for a viscous semilinear parabolic equation

A. Cesaroni, N. Dirr, M. Novaga

We characterize the asymptotic speed of propagation of almost planar solutions to a semilinear viscous parabolic equation, with periodic nonlinearity.