http://sro.sussex.ac.uk/ http://sro.sussex.ac.uk/images/sitelogo.png http://sro.sussex.ac.uk/ Sat, 18 Nov 2023 03:37:03 +0000 Sat, 18 Nov 2023 03:37:03 +0000 en Tue, 27 Sep 2022 10:29:54 +0100 http://sro.sussex.ac.uk/id/eprint/108155/ http://sro.sussex.ac.uk/id/eprint/108155/ Jensen, Max and Jaroszkowski, Bartosz (2023) Valuation of European options under an uncertain market price of volatility risk. Applied Mathematical Finance, 29 (3). pp. 213-226. ISSN 1350-486X Thu, 23 Jun 2022 17:33:42 +0100 http://sro.sussex.ac.uk/id/eprint/106583/ http://sro.sussex.ac.uk/id/eprint/106583/ Jensen, Max, Kiss, Istvan, Rempała, Grzegorz A, Di Lauro, Francesco, KhudaBukhsh, Wasiur R and Kenah, Eben (2022) Dynamic survival analysis for non-Markovian epidemic models. Journal of the Royal Society Interface, 19 (191). pp. 1-16. ISSN 1742-5662 Thu, 03 Feb 2022 10:08:43 +0000 http://sro.sussex.ac.uk/id/eprint/97466/ http://sro.sussex.ac.uk/id/eprint/97466/ Jaroszkowski, Bartosz and Jensen, Max (2022) Finite element methods for isotropic Isaacs equations with viscosity and strong Dirichlet boundary conditions. Applied Mathematics and Optimization, 85. a8 1-32. ISSN 1432-0606 Wed, 21 Aug 2019 12:43:15 +0100 http://sro.sussex.ac.uk/id/eprint/85577/ http://sro.sussex.ac.uk/id/eprint/85577/ Carrilo, José A, Düring, Bertram, Kreusser, Lisa Maria and Schöenlieb, Carola-Bibiane (2019) Stability analysis of line patterns of an anisotropic interaction model. SIAM Journal on Applied Dynamical Systems, 18 (4). pp. 1798-1845. ISSN 1536-0040 Mon, 18 Mar 2019 14:56:06 +0000 http://sro.sussex.ac.uk/id/eprint/82508/ http://sro.sussex.ac.uk/id/eprint/82508/ Jensen, Max, Majee, Ananta K, Prohl, Andreas and Schellnegger, Christian (2019) Dynamic programming for finite ensembles of nanomagnetic particles. Journal of Scientific Computing, 80 (1). pp. 351-375. ISSN 0885-7474 Mon, 11 Mar 2019 10:14:04 +0000 http://sro.sussex.ac.uk/id/eprint/82416/ http://sro.sussex.ac.uk/id/eprint/82416/ Düring, Bertram and Pitkin, Alexander (2019) High-order compact finite difference scheme for option pricing in stochastic volatility with contemporaneous jump models. In: Faragó, István, Izsák, Ferenc and Simon, Péter L (eds.) Progress in Industrial Mathematics at ECMI 2018. The European Consortium for Mathematics in Industry . Springer Verlag. ISBN 9783030275495 Fri, 01 Feb 2019 12:09:46 +0000 http://sro.sussex.ac.uk/id/eprint/81599/ http://sro.sussex.ac.uk/id/eprint/81599/ Düring, Bertram and Pitkin, Alexander (2019) High-order compact finite difference scheme for option pricing in stochastic volatility jump models. Journal of Computational and Applied Mathematics, 355. pp. 201-217. ISSN 0377‐0427 Tue, 15 Jan 2019 13:23:31 +0000 http://sro.sussex.ac.uk/id/eprint/81278/ http://sro.sussex.ac.uk/id/eprint/81278/ Düring, Bertram, Gottschlich, Carsten, Huckemann, Stephan, Kreusser, Lisa Maria and Schönlieb, Carola-Bibiane (2019) An anisotropic interaction model for simulating fingerprints. Journal of Mathematical Biology, 78 (7). pp. 2171-2206. ISSN 0303-6812 Mon, 07 Jan 2019 13:07:50 +0000 http://sro.sussex.ac.uk/id/eprint/81088/ http://sro.sussex.ac.uk/id/eprint/81088/ Deckelnick, Klaus, Elliott, Charles M, Miura, Tatsu-Hiko and Styles, Vanessa (2019) Hamilton-Jacobi equations on an evolving surface. Mathematics of Computation. ISSN 0025-5718 Tue, 27 Nov 2018 12:43:47 +0000 http://sro.sussex.ac.uk/id/eprint/80449/ http://sro.sussex.ac.uk/id/eprint/80449/ Düring, Bertram, Torregrossa, Marco and Wolfram, Marie-Therese (2019) Boltzmann and Fokker-Planck equations modelling the Elo rating system with learning effects. Journal of Nonlinear Science, 29 (3). pp. 1095-1128. ISSN 0938-8974 Fri, 12 Oct 2018 11:31:48 +0100 http://sro.sussex.ac.uk/id/eprint/79377/ http://sro.sussex.ac.uk/id/eprint/79377/ Garcke, Harald, Lam, Kei Fong and Styles, Vanessa (2018) Cahn--Hilliard inpainting with the double obstacle potential. SIAM Journal on Imaging Sciences, 11 (3). pp. 2064-2089. ISSN 1936-4954 Mon, 13 Aug 2018 09:44:51 +0100 http://sro.sussex.ac.uk/id/eprint/77755/ http://sro.sussex.ac.uk/id/eprint/77755/ D¨uring, Bertram, Pareschi, Lorenzo and Toscani, Giuseppe (2018) Kinetic models for optimal control of wealth inequalities. European Physical Journal B: Condensed Matter and Complex Systems, 91 (10). 265 1-12. ISSN 1434-6028 Mon, 30 Apr 2018 13:29:31 +0100 http://sro.sussex.ac.uk/id/eprint/75216/ http://sro.sussex.ac.uk/id/eprint/75216/ Düring, Bertram and Pitkin, Alexander (2018) Efficient hedging in Bates model using high-order compact finite differences. The 5th AMMCS International Conference, Waterloo, Ontario, Canada, August 18-23, 2019. Published in: Makarov, Roman, (ed.) Recent Advances in Mathematical and Statistical Methods for Scientific and Engineering Applications. 259 489-498. Springer Verlag ISSN 2194-1009 Tue, 20 Feb 2018 13:07:35 +0000 http://sro.sussex.ac.uk/id/eprint/73726/ http://sro.sussex.ac.uk/id/eprint/73726/ Jensen, Max and Smears, Iain (2018) On the notion of boundary conditions in comparison principles for viscosity solutions. In: Kalise, Dante, Kunisch, Karl and Rao, Zhiping (eds.) Hamilton-Jacobi-Bellman Equations: Numerical Methods and Applications in Optimal Control. Radon Series on Computational and Applied Mathematics . De Gruyter, Berlin, pp. 143-154. ISBN 9783110543599 Tue, 20 Feb 2018 12:51:08 +0000 http://sro.sussex.ac.uk/id/eprint/73725/ http://sro.sussex.ac.uk/id/eprint/73725/ Jensen, Max (2018) Numerical solution of the simple Monge–Ampère equation with nonconvex dirichlet data on non-convex domains. In: Dante, Kalise, Kunisch, Karl and Zhiping, Rao (eds.) Hamilton-Jacobi-Bellman Equations: Numerical Methods and Applications in Optimal Control. Radon Series on Computational and Applied Mathematics . De Gruyter, Berlin,, pp. 129-142. ISBN 9783110543599 Wed, 24 Jan 2018 14:49:06 +0000 http://sro.sussex.ac.uk/id/eprint/73117/ http://sro.sussex.ac.uk/id/eprint/73117/ Giesselmann, Jan, Makridakis, Charalambos and Pryer, Tristan (2014) Energy consistent DG methods for the Navier-Stokes-Korteweg system. Mathematics of Computation, 83 (289). pp. 2071-2099. ISSN 0025-5718 Wed, 24 Jan 2018 10:12:51 +0000 http://sro.sussex.ac.uk/id/eprint/73106/ http://sro.sussex.ac.uk/id/eprint/73106/ Karakashian, Ohannes and Makridakis, Charalambos (2014) A posteriori error estimates for discontinuous Galerkin Methods for the Generalised Korteweg-de Vries Equation. Mathematics of Computation, 84. pp. 1145-1167. ISSN 0025-5718 Tue, 16 Jan 2018 08:11:45 +0000 http://sro.sussex.ac.uk/id/eprint/72881/ http://sro.sussex.ac.uk/id/eprint/72881/ Deckelnick, Klaus and Styles, Vanessa (2018) Stability and error analysis for a diffuse interface approach to an advection-diffusion equation on a moving surface. Numerische Mathematik, 139 (3). pp. 709-741. ISSN 0029-599X Fri, 01 Dec 2017 10:17:54 +0000 http://sro.sussex.ac.uk/id/eprint/66125/ http://sro.sussex.ac.uk/id/eprint/66125/ McCormick, David S, Olson, Eric J, Robinson, James C, Rodrigo, Jose L, Vidal-López, Alejandro and Zhou, Yi (2016) Lower bounds on blowing-up solutions of the three-dimensional Navier–Stokes equations in H˙^{3/2}, H˙^{5/2}, and B˙^{5/2}_{2,1}. SIAM Journal on Mathematical Analysis (SIMA), 48 (3). pp. 2119-2132. ISSN 0036-1410 Fri, 27 Oct 2017 14:34:30 +0100 http://sro.sussex.ac.uk/id/eprint/70715/ http://sro.sussex.ac.uk/id/eprint/70715/ Carrillo, José A, Düring, Bertram, Matthes, Daniel and McCormick, David S (2018) A Lagrangian scheme for the solution of nonlinear diffusion equations using moving simplex meshes. Journal of Scientific Computing, 75 (3). pp. 1463-1499. ISSN 0885-7474 Wed, 18 Oct 2017 13:19:53 +0100 http://sro.sussex.ac.uk/id/eprint/70558/ http://sro.sussex.ac.uk/id/eprint/70558/ Burger, Martin, Düring, Bertram, Kreusser, Lisa Maria, Markowich, Peter A and Schönlieb, Carola-Bibiane (2018) Pattern formation of a nonlocal, anisotropic interaction model. Mathematical Models and Methods in Applied Sciences, 28 (3). pp. 409-451. ISSN 0218-2025 Mon, 04 Sep 2017 08:08:57 +0100 http://sro.sussex.ac.uk/id/eprint/69974/ http://sro.sussex.ac.uk/id/eprint/69974/ Dűring, Bertram and Heuer, Christof (2017) Essentially high-order compact schemes with application to stochastic volatility models on non-uniform grids. In: Erhhardt, Matthias, Gunther, Michael and ter Maten, E. Jan W (eds.) Novel Methods of Computational Finance. The European Consortium of Mathematics in Industry, 25 . Springer International, pp. 313-319. ISBN 9783319612829 Fri, 01 Sep 2017 15:24:36 +0100 http://sro.sussex.ac.uk/id/eprint/69972/ http://sro.sussex.ac.uk/id/eprint/69972/ Düring, Bertram, Miles, James and Hendricks, Christian (2017) Sparse grid high-order ADI scheme for option pricing in stochastic volatility models. In: Erhhardt, Matthias, Gunther, Michael and ter Maten, E. Jan W. (eds.) Novel Methods of Computational Finance. The European Consortium of Mathematics in Industry, 25 . Springer International, pp. 295-312. ISBN 9783319612829 Fri, 01 Sep 2017 11:57:13 +0100 http://sro.sussex.ac.uk/id/eprint/69967/ http://sro.sussex.ac.uk/id/eprint/69967/ During, Bertram, Georgiou, Nicos and Scalas, Enrico (2017) A stylised model for wealth distribution. In: Akura, Yuji and Kirman, Alan (eds.) Economic Foundations of Social Complexity Science. Springer Singapore, Singapore, pp. 95-117. ISBN 9789811057045 Wed, 08 Mar 2017 14:51:40 +0000 http://sro.sussex.ac.uk/id/eprint/67029/ http://sro.sussex.ac.uk/id/eprint/67029/ Barrett, John W, Deckelnick, Klaus and Styles, Vanessa (2017) Numerical analysis for a system coupling curve evolution to reaction-diffusion on the curve. SIAM Journal on Numerical Analysis (SINUM), 55 (2). pp. 1080-1100. ISSN 0036-1429 Thu, 12 Jan 2017 12:12:14 +0000 http://sro.sussex.ac.uk/id/eprint/66123/ http://sro.sussex.ac.uk/id/eprint/66123/ Fefferman, Charles L, McCormick, David S, Robinson, James C and Rodrigo, Jose L (2017) Local existence for the non-resistive MHD equations in nearly optimal Sobolev spaces. Archive for Rational Mechanics and Analysis, 223 (2). pp. 677-691. ISSN 0003-9527 Thu, 12 Jan 2017 11:46:06 +0000 http://sro.sussex.ac.uk/id/eprint/59612/ http://sro.sussex.ac.uk/id/eprint/59612/ Chemin, Jean-Yves, McCormick, David S, Robinson, James C and Rodrigo, Jose L (2016) Local existence for the non-resistive MHD equations in Besov spaces. Advances in Mathematics, 286. pp. 1-31. ISSN 0001-8708 Thu, 12 Jan 2017 11:39:39 +0000 http://sro.sussex.ac.uk/id/eprint/59611/ http://sro.sussex.ac.uk/id/eprint/59611/ McCormick, David S, Robinson, James C and Rodrigo, Jose L (2015) Existence and uniqueness for a coupled parabolic-elliptic model with applications to magnetic relaxation. Archive for Rational Mechanics and Analysis, 214 (2). pp. 503-523. ISSN 0003-9527 Thu, 12 Jan 2017 11:27:16 +0000 http://sro.sussex.ac.uk/id/eprint/59610/ http://sro.sussex.ac.uk/id/eprint/59610/ Fefferman, Charles L, McCormick, David S, Robinson, James C and Rodrigo, Jose L (2015) Higher order commutator estimates and local existence for the non-resistive MHD equations and related models. Journal of Functional Analysis, 267 (4). pp. 1035-1056. ISSN 0022-1236 Thu, 12 Jan 2017 11:11:22 +0000 http://sro.sussex.ac.uk/id/eprint/59609/ http://sro.sussex.ac.uk/id/eprint/59609/ McCormick, David S, Robinson, James C and Rodrigo, Jose L (2013) Generalised Gagliardo–Nirenberg inequalities using weak Lebesgue spaces and BMO. Milan Journal of Mathematics, 81 (2). pp. 265-289. ISSN 1424-9286 Thu, 12 Jan 2017 11:00:40 +0000 http://sro.sussex.ac.uk/id/eprint/59608/ http://sro.sussex.ac.uk/id/eprint/59608/ Brett, C E A, Lam, K F, Law, K J H, McCormick, D S, Scott, M R and Stuart, A M (2013) Accuracy and stability of filters for dissipative PDEs. Physica D: Nonlinear Phenomena, 245 (1). pp. 34-45. ISSN 0167-2789 Wed, 07 Dec 2016 15:45:49 +0000 http://sro.sussex.ac.uk/id/eprint/65848/ http://sro.sussex.ac.uk/id/eprint/65848/ Feng, Xiaobing and Jensen, Max (2017) Convergent semi-Lagrangian methods for the Monge-Ampère equation on unstructured grids. SIAM Journal on Numerical Analysis, 55 (2). pp. 691-712. ISSN 0036-1429 Wed, 07 Dec 2016 11:38:45 +0000 http://sro.sussex.ac.uk/id/eprint/65843/ http://sro.sussex.ac.uk/id/eprint/65843/ Richardson, G, Please, C and Styles, V (2017) Derivation and solution of effective-medium equations for bulk heterojunction organic solar cells. European Journal of Applied Mathematics, 28 (6). pp. 973-1014. ISSN 0956-7925 Tue, 01 Nov 2016 13:45:46 +0000 http://sro.sussex.ac.uk/id/eprint/65209/ http://sro.sussex.ac.uk/id/eprint/65209/ Düring, Bertram and Miles, James (2016) High-order ADI scheme for option pricing in stochastic volatility models. Journal of Computational and Applied Mathematics, 316. pp. 109-121. ISSN 0377-0427 Fri, 26 Aug 2016 14:55:30 +0100 http://sro.sussex.ac.uk/id/eprint/63034/ http://sro.sussex.ac.uk/id/eprint/63034/ Yang, Feng Wei, Venkataraman, Chandrasekhar, Styles, Vanessa and Madzvamuse, Anotida (2017) A robust and efficient adaptive multigrid solver for the optimal control of phase field formulations of geometric evolution laws. Communications in Computational Physics, 21 (1). pp. 65-92. ISSN 1815-2406 Fri, 05 Aug 2016 08:36:37 +0100 http://sro.sussex.ac.uk/id/eprint/62233/ http://sro.sussex.ac.uk/id/eprint/62233/ Düring, Bertram, Schönlieb, Carola-Bibiane and Wolfram, Wolfram, eds. (2016) Gradient flows: from theory to application. ESAIM: Proceedings and Surveys, 54 . EDP Sciences, SMAI. Thu, 23 Jun 2016 12:09:30 +0100 http://sro.sussex.ac.uk/id/eprint/61690/ http://sro.sussex.ac.uk/id/eprint/61690/ Düring, Bertram, Jüngel, Ansgar and Trussardi, Lara (2017) A kinetic equation for economic value estimation with irrationality and herding. Kinetic and Related Models, 10 (1). pp. 239-261. ISSN 1937-5093 Thu, 11 Feb 2016 10:42:57 +0000 http://sro.sussex.ac.uk/id/eprint/59616/ http://sro.sussex.ac.uk/id/eprint/59616/ Düring, Bertram, Fournié, Michel and Heuer, Christof (2014) High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. Journal of Computational and Applied Mathematics, 271. pp. 247-266. ISSN 0377-0427 Thu, 11 Feb 2016 10:32:40 +0000 http://sro.sussex.ac.uk/id/eprint/59615/ http://sro.sussex.ac.uk/id/eprint/59615/ Calatroni, Luca, Düring, Bertram and Schönlieb, Carola-Bibiane (2014) ADI splitting schemes for a fourth-order nonlinear partial differential equation from image processing. Discrete and Continuous Dynamical Systems - Series A, 34 (3). pp. 931-957. ISSN 1078-0947 Fri, 04 Sep 2015 11:15:11 +0100 http://sro.sussex.ac.uk/id/eprint/56531/ http://sro.sussex.ac.uk/id/eprint/56531/ Düring, Bertram and Heuer, Christof (2015) High-order compact schemes for parabolic problems with mixed derivatives in multiple space dimensions. SIAM Journal on Numerical Analysis, 53 (5). pp. 2113-2134. ISSN 0036-1429 Tue, 24 Mar 2015 12:55:10 +0000 http://sro.sussex.ac.uk/id/eprint/51499/ http://sro.sussex.ac.uk/id/eprint/51499/ Düring, Bertram and Heuer, Christof (2015) High-order compact schemes for Black-Scholes basket options. In: Progress in industrial mathematics at ECMI 2014. Mathematics in industry . Springer. ISBN 9783642427596