11 citations · 14 across the 11 of their papers we have counts for
3 papers · 1 filter
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…