Simulation of McKean–Vlasov SDEs with super-linear growth

Backward SDEs with superquadratic growth

In this paper, we discuss the solvability of backward stochastic differential equations (BSDEs) with superquadratic generators. We first prove that given a superquadratic generator, there exists a bounded terminal value, such that the associated BSDE does not admit any bounded solution. On the other hand, we prove that if the superquadratic BSDE admits a bounded solution, then there exist infin...

Simulation of Characteristic of Linear Degradation with Failure Modes

Linear Time Super-Helices

Thin elastic rods such as cables, phone coils, tree branches, or hair, are common objects in the real world but computing their dynamics accurately remains challenging. The recent Super-Helix model, based on the discrete equations of Kirchhoff for a piecewise helical rod, is one of the most promising models for simulating non-stretchable rods that can bend and twist. However, this model suffers...

on the effect of linear & non-linear texts on students comprehension and recalling

چکیده ندارد.

Kyle-Back Equilibrium Models and Linear Conditional Mean-field SDEs

In this paper we extend Kyle-Back strategic insider trading equilibrium model to the setting in which the insider has an instantaneous information on an asset, assumed to follow an Ornstein-Uhlenback-type dynamics. Such a model contains many existing models as special cases, but it is first time put in a rigorous mathematical framework of the recently developed conditional mean-field stochastic...