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 ...

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 ...

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

A new technical paper titled “Solving sparse finite element problems on neuromorphic hardware” was published by researchers at Sandia National Lab. Abstract “The finite element method (FEM) is one of ...

In this research field we are developing advanced computational methods centered around efficient solution strategies for partial differential equations. In numerical analysis, we focus on developing ...

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 ...

The purpose of the meeting is to discuss suitable abstractions of mathematical concepts used in numerical methods for PDEs and how to derive adequate interfaces for Numerical Software. Experts and ...