We consider a rough differential equation indexed by a small parameter ε > 0. When the rough differential equation is driven by fractional Brownian motion with Hurst parameter H (1/4 < H < 1/2), we ...

Differential equations are fundamental tools in physics: they are used to describe phenomena ranging from fluid dynamics to general relativity. But when these equations become stiff (i.e. they involve ...

This course is available on the BSc in Mathematics and Economics, BSc in Mathematics with Data Science, BSc in Mathematics with Economics and BSc in Mathematics, Statistics and Business. This course ...

We design a numerical scheme for solving a Dynamic Programming equation with Malliavin weights arising from the time-discretization of backward stochastic differential equations with the integration ...