1 code implementation • 2 Sep 2020 • Christian Bayer, Eric Joseph Hall, Raúl Tempone
We prove rate $H + 1/2$ for the weak convergence of the Euler method for the rough Stein-Stein model, which treats the volatility as a linear function of the driving fractional Brownian motion, and, surprisingly, we prove rate one for the case of quadratic payoff functions.
no code implementations • 6 Jan 2019 • Kimoon Um, Eric Joseph Hall, Markos A. Katsoulakis, Daniel M. Tartakovsky
The global sensitivity indices are used to rank the effect of uncertainty in microscopic parameters on macroscopic QoIs, to quantify the impact of causality on the multiscale model's predictions, and to provide physical interpretations of these results for hierarchical nanoporous materials.