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 ...

Exponential integrators represent an innovative class of numerical methods designed to address the challenges posed by stiff differential equations. By incorporating the matrix exponential to treat ...

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 ...

We analyze three one parameter families of approximations and show that they are symplectic in Lagrangian sence and can be related to symplectic schemes in Hamiltonian sense by different symplectic ...

My research interests are in applied and computational mathematics. I am interested in developing and analyzing high-order numerical methods for solving partial differential equations and fractional ...

Calculation: A representation of a network of electromagnetic waveguides (left) being used to solve Dirichlet boundary value problems. The coloured diagrams at right represent the normalized ...

This paper presents a novel and direct approach to solving boundary- and final-value problems, corresponding to barrier options, using forward pathwise deep learning and forward–backward stochastic ...

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 ...