Editor's note: As the following article is a chapter (Chapter 8) from David Koenig's book, Practical Control Engineering: Guide for Engineers, Managers, and Practitioners (MATLAB Examples) (McGraw ...

In this paper, we develop a strong Milstein approximation scheme for solving stochastic delay differential equations (SDDEs). The scheme has convergence order 1. In order to establish the scheme, we ...

Various discrete-time stochastic processes have some kind of recursive or regenerative structure that can be exploited in the study of their properties. Examples include branching processes, ...

SIAM Journal on Numerical Analysis, Vol. 55, No. 3 (2017), pp. 1243-1263 (21 pages) The Heston stochastic volatility model is one of the most fundamental models in mathematical finance. In the ...

A team of scientists from the Department of Physics at King’s College London has discovered a set of mathematical equations ...

This course is compulsory on the MSc in Financial Mathematics and MSc in Risk and Stochastics. This course is available on the MSc in Applicable Mathematics, MSc in Econometrics and Mathematical ...