Registered Data

Contents

[CT077]

Session Date & Time : 4C (Aug.24, 13:20-15:00)
Type : Contributed Talk
Abstract : In this paper, we study the convergence of numerical solution of Reflected Backward Stochastic Equations (RBSDEs) by the penalisation approach and we apply this on the pricing problem of American option. Usually the obstacle-related problem is studied by Snell Envelope and penalisation is used on proving existence. Here we fill the gap between penalisation and numerical solution. As result, we proved successfully the convergence rate for both continuous and discrete penalised solution.
Classification : 60Hxx, 65Cxx, 60H35, 65C30, 60G40
Author(s) :
- Wanqing WANG (Ecole Polytechnique)
- Emmanuel Gobet (Ecole Polytechnique)
- Mingyu Xu (Fudan University)

Session Date & Time : 4C (Aug.24, 13:20-15:00)
Type : Contributed Talk
Abstract : In this presentation, we consider a stochastic Zika virus transmission model. The stochastic model predicts the possibility of disease extinction even though the deterministic model predicts a continuous infection without any prevention. We derived the extinction probability using the Galton-Watson branching process. Finally, we derived the implicit equation of expected time to disease extinction and illustrated graphically the effect of the model parameters on the expected time to extinction.
Classification : 60J28
Author(s) :
- Partha Sarathi Mandal (National Institute of Technology Patna)

Session Date & Time : 4C (Aug.24, 13:20-15:00)
Type : Contributed Talk
Abstract : In this study, we perform asset pricing model using Brownian motion as a stochastic process and then we will adopt a dynamic volatility model, namely range-based volatility. This model suggests including a range measurement defined as the difference between the maximum and minimum price of an asset within a time interval. We provide the empirical analysis to see the performance of this volatility model and comparing with the classical volatility model.
Classification : 60J65, 91B70, 60G10, 91G70, 62P05
Author(s) :
- Nurma Diyanni Mulya (Institut Teknologi Bandung)
- Darin Sabrina (Institut Teknologi Bandung)
- Khreshna Syuhada (Institut Teknologi Bandung)

Session Date & Time : 4C (Aug.24, 13:20-15:00)
Type : Contributed Talk
Abstract : This study provides a mathematical study of the Susceptible, Exposed, Infected, Recovered, and Vaccinated population model of the COVID-19 pandemic by the bias of reaction-diffusion equations. We showed the spatial distribution of the model compartments when the basic reproduction rate R0 < 1 and R0 > 1. We demonstrate the model's effectiveness by performing numerical simulations and then investigated the impact of vaccination and the significance of spatial distribution parameters in the spread of COVID-19 epidemic.
Classification : 60J70, 62H12, 00A71
Author(s) :
- Kayode Oshinubi (Northern Arizona University)
- Jacques Demongeot (University of Grenoble Alpes)
- Brice Kammegne (University of Dschang )

Session Date & Time : 4C (Aug.24, 13:20-15:00)
Type : Contributed Talk
Abstract : Boundary Value Methods, BVMs are methods based on the Linear Multistep Methods, LMMs. The BVMs were introduced to overcome some of the limitations of the LMMs. In this work, a BVM based on the Numerov method is derived. This is achieved by constructing the Numerov method via interpolation and collocation process and implementing it as a BVM. Numerical tests on both linear and nonlinear Boundary Value Problems, BVPs were presented using this enhanced Numerov method.
Classification : 65-XX
Author(s) :
- Grace Oluwafunke ALAO (Covenant University)