We consider stochastic differential equations driven by a general Lévy processes (SDEs) with infinite activity and the related, via the Feynman-Kac formula, Dirichlet problem for parabolic integro-differential equation (PIDE). We approximate the solution of PIDE using a numerical method for the SDEs. The method is based on three ingredients: (i) we approximate small jumps by a diffusion; (ii) we use restricted jump-adaptive time-stepping; and (iii) between the jumps we exploit a weak Euler approximation. We prove weak convergence of the considered algorithm and present an in-depth analysis of how its error and computational cost depend on the jump activity level. Results of some numerical experiments, including pricing of barrier basket currency options, are presented.
In this paper we consider the numerical approximation of nonlocal integro differential parabolic equations via neural networks. These equations appear in many recent applications, including finance, biology and others, and have been recently studied in great generality starting from the work of Caffarelli and Silvestre. Based in the work by Hure, Pham and Warin, we generalize their Euler scheme and consistency result for Backward Forward Stochastic Differential Equations to the nonlocal case. We rely on Lèvy processes and a new neural network approximation of the nonlocal part to overcome the …
In recent years a large literature on deep learning based methods for the numerical solution partial differential equations has emerged; results for integro-differential equations on the other hand are scarce. In this paper we study deep neural network algorithms for solving linear and semilinear parabolic partial integro-differential equations with boundary conditions in high dimension. To show the viability of our approach we discuss several case studies from insurance and finance.
This paper is concerned with the numerical approximation of the Dirichlet initial-boundary-value problem of nonlinear pseudo-parabolic equations with spectral methods. Error estimates for the semidiscrete Galerkin and collocation schemes based on Jacobi polynomials are derived.
The recently developed technique of DOC kernels has been a great success in the stability and convergence analysis for BDF2 scheme with variable time steps. However, such an analysis technique seems not directly applicable to problems with initial singularity. In the numerical simulations of solutions with initial singularity, variable time-steps schemes like the graded mesh are always adopted to achieve the optimal convergence, whose first adjacent time-step ratio may become pretty large so that the acquired restriction is not satisfied. In this paper, we revisit the variable time-step implic…
This paper is concerned with the approximation of linear and nonlinearinitial-boundary-value problems of pseudo-parabolic equations with Dirichlet boundary conditions. They are discretized in space by spectral Galerkin and collocation methods based on Legendre and Chebyshev polynomials. The time integration is carried out suitably with robust schemes attending to qualitative features such as stiffness and preservation of strong stability to simulate nonregular problems more correctly. The corresponding semidiscrete and fully discrete schemes are described and the performance of the methods is …
High-dimensional parabolic partial integro-differential equations (PIDEs) appear in many applications in insurance and finance. Existing numerical methods suffer from the curse of dimensionality or provide solutions only for a given space-time point. This gave rise to a growing literature on deep learning based methods for solving partial differential equations; results for integro-differential equations on the other hand are scarce. In this paper we consider an extension of the deep splitting scheme due to Beck, Becker, Cheridito, Jentzen, Neufeld (2021) and Germain, Pham, Warin (2022) to PID…
A finite element analysis of a Dirichlet boundary control problem governed by the linear parabolic equation is presented in this article. The Dirichlet control is considered in a closed and convex subset of the energy space $H^1(Ω\times(0,T)).$ We prove well-posedness and discuss some regularity results for the control problem. We derive the optimality system for the optimal control problem. The first order necessary optimality condition results in a simplified Signorini type problem for control variable. The space discretization of the state variable is done using conforming finite elements, …
We show that the Strang splitting method applied to a diffusion-reaction equation with inhomogeneous general oblique boundary conditions is of order two when the diffusion equation is solved with the Crank-Nicolson method, while order reduction occurs in general if using other Runge-Kutta schemes or even the exact flow itself for the diffusion part. We prove these results when the source term only depends on the space variable, an assumption which makes the splitting scheme equivalent to the Crank-Nicolson method itself applied to the whole problem. Numerical experiments suggest that the secon…
