Find the forces on the object. Find the new momentum (based on the force and the small time interval) Find the new position (based on the velocity and time interval). Simple. And it even works most of ...
We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...
Inspired by path integral solutions to the quantum relaxation problem, we develop a numerical method to solve classical stochastic differential equations with multiplicative noise that avoids ...
The mere attendance of the lecture is valued at 2 CP. If the tutorials are completed as well (> 70 %), 3 CP are awarded. For this, the solutions to the problems must be handed in before the next ...
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