Search results for "Scheme"
showing 10 items of 527 documents
Mean square rate of convergence for random walk approximation of forward-backward SDEs
2020
AbstractLet (Y,Z) denote the solution to a forward-backward stochastic differential equation (FBSDE). If one constructs a random walk$B^n$from the underlying Brownian motionBby Skorokhod embedding, one can show$L_2$-convergence of the corresponding solutions$(Y^n,Z^n)$to$(Y, Z).$We estimate the rate of convergence based on smoothness properties, especially for a terminal condition function in$C^{2,\alpha}$. The proof relies on an approximative representation of$Z^n$and uses the concept of discretized Malliavin calculus. Moreover, we use growth and smoothness properties of the partial differential equation associated to the FBSDE, as well as of the finite difference equations associated to t…
Generation of Entangled Two-Photon Binomial States in Two Spatially Separate Cavities
2006
We propose a conditional scheme to generate entangled two-photon generalized binomial states inside two separate single-mode high-Q cavities. This scheme requires that the two cavities are initially prepared in entangled one-photon generalized binomial states and exploits the passage of two appropriately prepared two-level atoms one in each cavity. The measurement of the ground state of both atoms is finally required when they exit the cavities. We also give a brief evaluation of the experimental feasibility of the scheme.
On surrogating 0–1 knapsack constraints
1999
In this note, we present a scheme for tightening 0–1 knapsack constraints based on other knapsack constraints surrogating.
Simulation of BSDEs with jumps by Wiener Chaos Expansion
2016
International audience; We present an algorithm to solve BSDEs with jumps based on Wiener Chaos Expansion and Picard's iterations. This paper extends the results given in Briand-Labart (2014) to the case of BSDEs with jumps. We get a forward scheme where the conditional expectations are easily computed thanks to chaos decomposition formulas. Concerning the error, we derive explicit bounds with respect to the number of chaos, the discretization time step and the number of Monte Carlo simulations. We also present numerical experiments. We obtain very encouraging results in terms of speed and accuracy.
Donsker-Type Theorem for BSDEs: Rate of Convergence
2019
In this paper, we study in the Markovian case the rate of convergence in Wasserstein distance when the solution to a BSDE is approximated by a solution to a BSDE driven by a scaled random walk as introduced in Briand, Delyon and Mémin (Electron. Commun. Probab. 6 (2001) Art. ID 1). This is related to the approximation of solutions to semilinear second order parabolic PDEs by solutions to their associated finite difference schemes and the speed of convergence. peerReviewed
Random walk approximation of BSDEs with H{\"o}lder continuous terminal condition
2018
In this paper, we consider the random walk approximation of the solution of a Markovian BSDE whose terminal condition is a locally Hölder continuous function of the Brownian motion. We state the rate of the L2-convergence of the approximated solution to the true one. The proof relies in part on growth and smoothness properties of the solution u of the associated PDE. Here we improve existing results by showing some properties of the second derivative of u in space. peerReviewed
WENO schemes applied to the quasi-relativistic Vlasov-Maxwell model for laser-plasma interaction
2014
Abstract In this paper we focus on WENO-based methods for the simulation of the 1D Quasi-Relativistic Vlasov–Maxwell (QRVM) model used to describe how a laser wave interacts with and heats a plasma by penetrating into it. We propose several non-oscillatory methods based on either Runge–Kutta (explicit) or Time-Splitting (implicit) time discretizations. We then show preliminary numerical experiments.
PRIVANET: An Efficient Pseudonym Changing and Management Framework for Vehicular Ad-Hoc Networks
2020
Protecting the location privacy is one of the main challenges in vehicular ad-hoc networks (VANETs). Although, standardization bodies, such as IEEE and ETSI, have adopted a pseudonym-based scheme as a solution for this problem, an efficient pseudonym changing and management is still an open issue. In this paper, we propose PRIVANET, a complete and efficient pseudonym changing and management framework. The PRIVANET has a hierarchical structure and considers the vehicular geographic area as a grid. Each cell of this grid contains one or many logical zones, called vehicular location privacy zones (VLPZs). These zones can easily be deployed over the widespread roadside infrastructures (RIs), su…
A framework for PACS development in cardiology
2003
The authors develop a framework for the integration of cardiology into hospitalwide picture archiving and communication systems (PACSs) by the definition of user requirements in cardiology image information systems. These user requirements have to be based on the consensus of users and industry. A topdown layered scheme is proposed for the development of documents based on user requirements. The structure of committees within the European Society of Cardiology that are working in this field is discussed. >
Annihilation Operators for Exponential Spaces in Subdivision
2022
We investigate properties of differential and difference operators annihilating certain finite-dimensional subspaces of exponential functions in two variables that are connected to the representation of real-valued trigonometric and hyperbolic functions. Although exponential functions appear in a variety of contexts, the motivation behind this work comes from considering subdivision schemes with the capability of preserving those exponential functions required for an exact description of surfaces parametrized in terms of trigonometric and hyperbolic functions.