Browsing HVL Open by Author "Tambue, Antoine"
Now showing items 1-13 of 13
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Bayesian parameter estimation in glacier mass-balance modelling using observations with distinct temporal resolutions and uncertainties
Sjursen, Kamilla Hauknes; Dunse, Thorben; Tambue, Antoine; Schuler, Thomas Vikhamar; Andreassen, Liss Marie (Peer reviewed; Journal article, 2023)Empirical glacier mass-balance models are commonly used in assessments of glacier and runoff evolution. Recent satellite-borne geodetic mass-balance observations of global coverage facilitate large-scale model calibration ... -
Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities
Nyoumbi, Christelle; Tambue, Antoine (Peer reviewed; Journal article, 2023)In this article, we provide the rigorous mathematical convergence proof both in space and time of the two dimensional Black Scholes equation with stochastic volatility. The spatial approximation of this three dimensional ... -
Convergence of the Mimetic Finite Difference and Fitted Mimetic Finite Difference Method for Options Pricing
Attipoe Sena, David; Tambue, Antoine (Peer reviewed; Journal article, 2021)We present in this paper two novel numerical spatial discretization techniques based on the mimetic finite difference method for a degenerated partial differential equation (PDE) in one dimension. This PDE is well known ... -
A fitted finite volume method for stochastic optimal control problems in finance
Dleuna Nyoumbi, Christelle; Tambue, Antoine (Peer reviewed; Journal article, 2021)In this article, we provide a numerical method based on fitted finite volume method to approximate the Hamilton-Jacobi-Bellman (HJB) equation coming from stochastic optimal control problems in one and two dimensional domain. ... -
A fitted L-Multi-point Flux Approximation method for pricing options
Koffi, Stephane Rock; Tambue, Antoine (Peer reviewed; Journal article, 2021)In this paper, we introduce a special kind of finite volume method called Multi-Point Flux Approximation method (MPFA) to price European and American options in two dimensional domain. We focus on the L-MPFA method for ... -
Higher order stable schemes for stochastic convection-reaction-diffusion equations driven by additive Wiener noise
Tambue, Antoine; Mukam, Jean Daniel (Peer reviewed; Journal article, 2021)In this paper, we investigate the numerical approximation of stochastic convection–reaction–diffusion equations using two explicit exponential integrators. The stochastic partial differential equation (SPDE) is driven by ... -
A novel high dimensional fitted scheme for stochastic optimal control problems
Dleuna Nyoumbi, Christelle; Tambue, Antoine (Peer reviewed; Journal article, 2021)Stochastic optimal principle leads to the resolution of a partial differential equation (PDE), namely the Hamilton–Jacobi–Bellman (HJB) equation. In general, this equation cannot be solved analytically, thus numerical ... -
Novel numerical techniques based on mimetic finite difference method for pricing two dimensional options
Attipoe, David Sena; Tambue, Antoine (Peer reviewed; Journal article, 2022)The Black–Scholes differential operator which underlies the option pricing of European and American options is known to be degenerate close to the boundary at zero. At this singularity, important properties of the differential ... -
Optimal error estimate of the finite element approximation of second order semilinear non-autonomous parabolic PDEs
Tambue, Antoine; Mukam, Jean Daniel (Journal article; Peer reviewed, 2020)In this work, numerical approximation of the second order non-autonomous semilinear parabolic partial differential equations (PDEs) is investigated using the classical finite element method. To the best of our knowledge, ... -
Optimal strong convergence rates of some Euler-type timestepping schemes for the finite element discretization SPDEs driven by additive fractional Brownian motion and Poisson random measure
Noupelah, Jean Daniel; Tambue, Antoine (Peer reviewed; Journal article, 2020)In this paper, we study the numerical approximation of a general second order semilinear stochastic partial differential equation (SPDE) driven by a additive fractional Brownian motion (fBm) with Hurst parameter H>12 and ... -
Strong convergence of a fractional exponential integrator scheme for finite element discretization of time-fractional SPDE driven by fractional and standard Brownian motions
Noupelah, Aurelien Junior; Tambue, Antoine; Woukeng, Jean Louis (Peer reviewed; Journal article, 2023)The aim of this work is to provide the first strong convergence result of a numerical approximation of a general time-fractional second order stochastic partial differential equation involving a Caputo derivative in time ... -
Strong convergence of some Magnus-type schemes for the finite element discretization of non-autonomous parabolic SPDEs driven by additive fractional Brownian motion and Poisson random measure
Noupelah, Aurelien Junior; Mukam, Jean Daniel; Tambue, Antoine (Research report, 2024)The aim of this work is to provide the strong convergence results of numerical approximations of a general second order non-autonomous semilinear stochastic partial differential equation (SPDE) driven simultaneously by an ... -
Weak convergence of the finite element method for semilinear parabolic SPDEs driven by additive noise
Tambue, Antoine; Mukam, Jean Daniel (Peer reviewed; Journal article, 2023)This paper aims to investigate the finite element weak convergence rate for semilinear parabolic stochastic partial differential equations(SPDEs) driven by additive noise. In contrast to many results in the current scientific ...