Partial differential equations (PDE) describe the behavior of fluids, structures, heat transfer, wave propagation, and other physical phenomena of scientific and engineering interest. This course ...
Mean field-type models describing the limiting behavior of stochastic differential games as the number of players tends to +∞ were recently introduced by Lasry and Lions. Under suitable assumptions, ...
This paper develops two local mesh-free methods for designing stencil weights and spatial discretization, respectively, for parabolic partial differential equations (PDEs) of ...
Inspired by path integral solutions to the quantum relaxation problem, we develop a numerical method to solve classical stochastic differential equations with multiplicative noise that avoids ...
Humans have problems with quantum mechanics. We have excellent intuition about the motion of a tennis ball tossed in the air, but what about an electron trapped in a box? The tendency is to use the ...
In this paper we investigate the effectiveness of alternating direction implicit (ADI) time-discretization schemes in the numerical solution of the three-dimensional Heston-Hull-White partial ...
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