In the paper, we propose two new efficient methods for pricing barrier option in wide classes of Lévy processes with/without regime switching. Both methods are based on the numerical Laplace transform inversion formulae and the Fast Wiener-Hopf factorization method developed in Kudryavtsev and...

There is an increasing tendency to use markets to induce the provision of environmental services. As such markets increase in scope, potential market participants might sell multiple environmental services. The question we consider here is whether participants in such markets should be allowed...

Представлен метод решения задач, связанных с эффективным энергоснабжением, с учетом реальных графиков энергетических нагрузок и взаимосвязи компонентов схемы:...

Разработаны математическая модель обобщенной схемы энергокомплекса, численный метод для анализа и оптимизации схемных решений и программное обеспечение,...

We develop a multiscale simulation method for dense granular drainage, based on the recently proposed spot model, where the particle packing flows by local collective displacements in response to diffusing “spots” of interstitial free volume. By comparing with discrete-element method (DEM)...

This paper re-examines the Rouwenhorst method of approximating first-order autoregressive processes. This method is appealing because it can match the conditional and unconditional mean, the conditional and unconditional variance and the first-order autocorrelation of any AR(1) process. This...

This paper re-examines the Rouwenhorst method of approximating first-order autoregressive processes. This method is appealing because it can match the conditional and unconditional mean, the conditional and unconditional variance and the first-order autocorrelation of any AR(1) process. This...

This paper re-examines the Rouwenhorst method of approximating first-order autoregressive processes. This method is appealing because it can match the conditional and unconditional mean, the conditional and unconditional variance and the first-order autocorrelation of any AR(1) process. This...

Nous présentons un exemple archétypal de jeu à champ moyen. Cet exemple est important à deux égards. Tout d'abord, il est suffisamment simple pour permettre l'obtention de solutions explicites : les fonctions de Bellman sont quadratiques, les mesures stationnaires gaussiennes et l'étude de...

In this article, we present a reference case of mean field games. This case can be seen as a reference for two main reasons. First, the case is simple enough to allow for explicit resolution: Bellman functions are quadratic, stationary measures are normal and stability can be dealt with...