A Monte Carlo method for backward stochastic differential equations with Hermite martingales

2019 ◽  
Vol 25 (1) ◽  
pp. 37-60
Author(s):  
Antoon Pelsser ◽  
Kossi Gnameho
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Numerical Approximation ◽  
Mathematical Finance ◽  
Backward Stochastic Differential Equations ◽  
Terminal Condition ◽  
Dimensional System ◽  
Infinite Dimensional ◽  
The Family ◽  
Infinite Dimensional System

Abstract Backward stochastic differential equations (BSDEs) appear in many problems in stochastic optimal control theory, mathematical finance, insurance and economics. This work deals with the numerical approximation of the class of Markovian BSDEs where the terminal condition is a functional of a Brownian motion. Using Hermite martingales, we show that the problem of solving a BSDE is identical to solving a countable infinite-dimensional system of ordinary differential equations (ODEs). The family of ODEs belongs to the class of stiff ODEs, where the associated functional is one-sided Lipschitz. On this basis, we derive a numerical scheme and provide numerical applications.

An adaptive multimodal approach to nonlinear sloshing in a rectangular tank

2001 ◽  
Vol 432 ◽  
pp. 167-200 ◽  
Author(s):  
ODD M. FALTINSEN ◽  
ALEXANDER N. TIMOKHA
Keyword(s):  
Differential Equations ◽  
Ordinary Differential Equations ◽  
Fluid Motion ◽  
Dimensional System ◽  
Infinite Dimensional ◽  
Modal Theory ◽  
Nonlinear Sloshing ◽  
Rectangular Tank ◽  
Wide Range ◽  
Infinite Dimensional System

Two-dimensional nonlinear sloshing of an incompressible fluid with irrotational flow in a rectangular tank is analysed by a modal theory. Infinite tank roof height and no overturning waves are assumed. The modal theory is based on an infinite-dimensional system of nonlinear ordinary differential equations coupling generalized coordinates of the free surface and fluid motion associated with the amplitude response of natural modes. This modal system is asymptotically reduced to an infinite-dimensional system of ordinary differential equations with fifth-order polynomial nonlinearity by assuming sufficiently small fluid motion relative to fluid depth and tank breadth. When introducing inter-modal ordering, the system can be detuned and truncated to describe resonant sloshing in different domains of the excitation period. Resonant sloshing due to surge and pitch sinusoidal excitation of the primary mode is considered. By assuming that each mode has only one main harmonic an adaptive procedure is proposed to describe direct and secondary resonant responses when Moiseyev-like relations do not agree with experiments, i.e. when the excitation amplitude is not very small, and the fluid depth is close to the critical depth or small. Adaptive procedures have been established for a wide range of excitation periods as long as the mean fluid depth h is larger than 0.24 times the tank breadth l. Steady-state results for wave elevation, horizontal force and pitch moment are experimentally validated except when heavy roof impact occurs. The analysis of small depth requires that many modes have primary order and that each mode may have more than one main harmonic. This is illustrated by an example for h/l = 0.173, where the previous model by Faltinsen et al. (2000) failed. The new model agrees well with experiments.

On mild solutions of gradient systems in Hilbert spaces

2013 ◽  
Vol 11 (11) ◽  
Author(s):  
Andrzej Rozkosz
Keyword(s):  
Cauchy Problem ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Hilbert Spaces ◽  
Existence And Uniqueness ◽  
Mild Solutions ◽  
Backward Stochastic Differential Equations ◽  
Stochastic Representation ◽  
Infinite Dimensional ◽  
The Cauchy Problem

AbstractWe consider the Cauchy problem for an infinite-dimensional Ornstein-Uhlenbeck equation perturbed by gradient of a potential. We prove some results on existence and uniqueness of mild solutions of the problem. We also provide stochastic representation of mild solutions in terms of linear backward stochastic differential equations determined by the Ornstein-Uhlenbeck operator and the potential.

Path-dependent BSDEs with jumps and their connection to PPIDEs

2016 ◽  
Vol 17 (05) ◽  
pp. 1750036 ◽  
Author(s):  
Eduard Kromer ◽  
Ludger Overbeck ◽  
Jasmin A. L. Röder
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Viscosity Solution ◽  
Path Dependence ◽  
Backward Stochastic Differential Equations ◽  
Terminal Condition ◽  
Path Dependent

We study path-dependent backward stochastic differential equations (BSDEs) with jumps. In this context path-dependence of a BSDE is the dependence of the BSDE-terminal condition and the BSDE-generator of a path of a càdlàg process. We study the path-differentiability of BSDEs of this type and establish a connection to path-dependent PIDEs in terms of the existence of a viscosity solution and the respective Feynman–Kac theorem.

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