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math.AP2023
Novel exact solutions for PDEs with mixed boundary conditions
Mark Craddock, Martino Grasselli, Andrea Mazzoran
We develop methods for the solution of inhomogeneous Robin type boundary value problems (BVPs) that arise for certain linear parabolic Partial Differential Equations (PDEs) on a ha…
q-fin.MF2023
Efficient simulation of a new class of Volterra-type SDEs
Ofelia Bonesini, Giorgia Callegaro, Martino Grasselli +1
We propose a new theoretical framework that exploits convolution kernels to transform a Volterra-type path-dependent (non-Markovian) stochastic process into a standard (Markovian)…