Infinite horizon backward stochastic Volterra integral equations (BSVIEs for short) are investigated. We prove the existence and uniqueness of adapted M-solution in a weighted $L^2$-space. Furthermore, we extend some important known results finite BSVIEs to infinite setting. provide variation constant formula class linear duality principle between (forward) equation (SVIE an BSVIE As applicatio...

Department of Mathematics, Faculty of science, Razi university, Kermanshah 67149, Iran. Abstract In this paper, we present a new method for solving of the Burger’s equation by combination of method of lines (MOL) and matrix free modified extended backward differential formula (MF-MEBDF). The method of lines semi discretization approach is used to transform the model partial differential equatio...

We present an easy to implement drift splitting numerical method for the approximation of stiff, nonlinear stochastic differential equations (SDEs). The method is an adaptation of the semi-implicit backward differential formula (SBDF) multistep method for deterministic differential equations and allows for a semi-implicit discretization of the drift term to remove high order stability constrain...

We present a new stability analysis for the second barycentric formula, showing that this formula is backward stable when the relevant Lebesgue constant is small.

We present a novel backward Itô–Ventzell formula and an extension of the Alekseev–Gröbner interpolating to stochastic flows. also some natural spectral conditions that yield direct simple proofs time uniform estimates difference between two flows when their drift diffusion functions are not same, yielding what seems be first results this type for class anticipative models. illustrate impact the...

A finite-difference method for integro-differential equations arising from Lévy driven asset processes in finance is discussed. The equations are discretized in space by the collocation method and in time by an explicit backward differentiation formula. The discretization is shown to be second-order accurate independently of the degree of the singularity in the Lévy measure. The singularity is ...

In a real uniformly convex and p-uniformly smooth Banach space, a modified forward-backward splitting iterative algorithm is presented, where the computational errors and the superposition of perturbed operators are considered. The iterative sequence is proved to be convergent strongly to zero point of the sum of infinite m-accretive mappings and infinite [Formula: see text]-inversely strongly ...

A stochastic calculus similar to Malliavin’s calculus is worked out for Brownian excursions. The analogue of the Malliavin derivative in this calculus is not a differential operator, but its adjoint is (like the Skorohod integral) an extension of the Itô integral. As an application, we obtain an expression for the integrand in the stochastic integral representation of square integrable Wiener f...

We have developed a structured adaptive mesh refinement (SAMR) method for parabolic partial differential equation (PDE) systems. Solutions are calculated using the finite-difference or finite-volume method in space and backward differentiation formula (BDF) integration in time. The combination of SAMR in space and BDF in time is designed for problems where the fine-scale profile of sharp fronts...