Carla L. Dias (2012)
ESAIM: Proceedings
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We discuss the geometric structures defined by Young in [9, 10], which are used to prove the existence of an ergodic absolutely continuous invariant probability measure and to study the decay of correlations in expanding or hyperbolic systems on large parts.
Vincent Calvez, Jean Gabriel Houot, Nicolas Meunier, Annie Raoult, Gabriela Rusnakova (2010)
ESAIM: Proceedings
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This article is devoted to the construction of a mathematical model describing the early formation of atherosclerotic lesions. The early stage of atherosclerosis is an inflammatory process that starts with the penetration of low density lipoproteins in the intima and with their oxidation. This phenomenon is closely linked to the local blood flow dynamics. Extending a previous work [5] that was mainly restricted to a one-dimensional setting,...
Shige Peng, Mingyu Xu (2011)
ESAIM: Mathematical Modelling and Numerical Analysis
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In this paper we study different algorithms for backward stochastic differential equations (BSDE in short) basing on random walk framework for 1-dimensional Brownian motion. Implicit and explicit schemes for both BSDE and reflected BSDE are introduced. Then we prove the convergence of different algorithms and present simulation results for different types of BSDEs.
Shige Peng, Mingyu Xu (2011)
ESAIM: Mathematical Modelling and Numerical Analysis
Similarity:
In this paper we study different algorithms for backward stochastic differential equations (BSDE in short) basing on random walk framework for 1-dimensional Brownian motion. Implicit and explicit schemes for both BSDE and reflected BSDE are introduced. Then we prove the convergence of different algorithms and present simulation results for different types of BSDEs.