Many nonlinear option pricing problems can be formulated as optimal control problems, leading to Hamilton–Jacobi–Bellman (HJB) or Hamilton– Jacobi–Bellman–Isaacs (HJBI) equations. We show that such ...

The filter bank method is designed to avoid the problems that appear when using wavelet decompositions of L2 to solve hyperbolic PDEs (for example, inefficient pointwise multiplication, long stencils ...

Numerical Methods for PDEs; Finite element methods; Singularly perturbed boundary value problems; Iterative methods; Multigrid methods; Saddle Point Least-Squares for mixed methods; Subspace ...

Description: The first part of the course focuses on numerical integration techniques and methods for ODEs. The second part concentrates on numerical methods for PDEs based on finite difference ...

Description: The first part of the course focuses on numerical integration techniques and methods for ODEs. The second part concentrates on numerical methods for PDEs based on finite difference ...