Parabolic partial differential equations (PDEs) are fundamental in modelling a wide range of diffusion processes in physics, finance and engineering. The numerical approximation of these equations ...
We study the finite element method for stochastic parabolic partial differential equations driven by nuclear or space-time white noise in the multidimensional case. The discretization with respect to ...
Covers finite difference, finite element, finite volume, pseudo-spectral, and spectral methods for elliptic, parabolic, and hyperbolic partial differential equations. Prereq., APPM 5600. Recommended ...
Mathematics of Computation, Vol. 59, No. 200 (Oct., 1992), pp. 403-420 (18 pages) We apply Runge-Kutta methods to linear partial differential equations of the form u t (x, t) = L (x, ∂)u(x, t) + f(x, ...
Computational and applied mathematicians model phenomena from a wide variety of science and engineering disciplines and design computer algorithms to solve the resulting mathematical problems. Faculty ...
In this paper, we discuss efficient pricing methods via a partial differential equation (PDE) approach for long-dated foreign exchange (FX) interest rate hybrids under a three-factor multicurrency ...
An intermediate level course in the analytical and numerical study of ordinary differential equations, with an emphasis on their applications to the real world. Exact solution methods for ordinary ...
A partial differential equation (PDE) is a mathematical equation that involves multiple independent variables, an unknown function that is dependent on those variables, and partial derivatives of the ...
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