11 citations · 14 across the 11 of their papers we have counts for
12 papers
American option pricing using generalised stochastic hybrid systems
Evelyn Buckwar, Sascha Desmettre, Agnes Mallinger +1
This paper presents a novel approach to pricing American options using piecewise diffusion Markov processes (PDifMPs), a type of generalised stochastic hybrid system that integrate…
A domain decomposition method for stochastic evolution equations
Evelyn Buckwar, Ana Djurdjevac, Monika Eisenmann
In recent years, SPDEs have become a well-studied field in mathematics. With their increase in popularity, it becomes important to efficiently approximate their solutions. Thus, ou…
Numerical Approximations and Convergence Analysis of Piecewise Diffusion Markov Processes, with Application to Glioma Cell Migration
Evelyn Buckwar, Amira Meddah
In this paper, we focus on numerical approximations of Piecewise Diffusion Markov Processes (PDifMPs), particularly when the explicit flow maps are unavailable. Our approach is bas…
A stochastic hierarchical model for low grade glioma evolution
Evelyn Buckwar, Martina Conte, Amira Meddah
A stochastic hierarchical model for the evolution of low grade gliomas is proposed. Starting with the description of cell motion using piecewise diffusion Markov processes (PDifMPs…
A splitting method for SDEs with locally Lipschitz drift: Illustration on the FitzHugh-Nagumo model
Evelyn Buckwar, Adeline Samson, Massimiliano Tamborrino +1
In this article, we construct and analyse an explicit numerical splitting method for a class of semi-linear stochastic differential equations (SDEs) with additive noise, where the…
Qualitative properties of numerical methods for the inhomogeneous geometric Brownian motion
Irene Tubikanec, Massimiliano Tamborrino, Petr Lansky +1
We provide a comparative analysis of qualitative features of different numerical methods for the inhomogeneous geometric Brownian motion (IGBM). The conditional and asymptotic mean…