This method employs the backward Euler formulae for evaluating both displacements and velocities of structures. It is a self-starting, two-step, second-order accurate algorithm with the same computational effort as the trapezoidal rule. The evaluations of the stability and accuracy of the proposed ...
Here, the valueatis not canonically determined. We have to solve a nonlinear equation of the formin each step of the backward Euler method (1.3). However, if, then the sole candidate for a solution is, since otherwise. Butis only a solution if. Therefore, the mappingis not surjective for...
An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process Proc. R. Soc. Lond. Ser. A Math. Phys. Eng. Sci., 468 (2140) (2012), pp. 1105-1115 CrossrefView in ScopusGoogle Scholar [7] Deya A., Neuenkirch A., Tindel S. A Milstein-type scheme without ...
First of all, motivated by the local property of jump diffusion processes, the Euler method is used to solve the associated forward stochastic differential equation with jump, which reduce dramatically the entire computational complexity, however, the quantities of interests in the backward stochastic ...
(t), along the particle path during the integration process. Here a stochastic method, discrete random walk or “eddy lifetime” model, is utilized where the fluctuating velocity components,ui′, that prevail during the lifetime of the turbulent eddy are sampled by assuming that they obey a ...
Through this simpli?cation, we can still capture the change of edges during evolution process by just solving a simple Euler-Lagrange equation. Using the de?nition of Bregman distance (3.1), problem (3.4) will becomes ? |?u|p m (x) dx, (3.5) um+1 = argmin Fm (u) ? Fm (um )...
we investigate what is the best combinations. The resulting conditional expectations are solvedby usingthe Gaussian quadrature rules. And thanks to the local property of the generator of diffusion processes, the forward component,can be simply solved by using the Euler method while keeping a high ra...
The time dimension is regarded as a pseudo-space dimension to generate the space-time Euler metric rT in STRBF, which can be applied to transform the d-dimensional transient governing equation into (d+1)-dimensional steady-state governing equation. Benefiting from merits of the traditional BSM,...
Thus, the Euler number significantly increases with decreases in the Reynolds number. The increased damping effect is beneficial in decreasing the velocity of the impact body and stops its backward movement prior to reaching the full stroke end position. However, this also inevitably results in some...
The method is applied to option pricing and the simulation of transition densities and likelihoods for diffusion processes. The results are compared to known exact solutions and results obtained by numerical integration of the path integral using Euler transition kernels. The importance sampling leads ...