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 ...

Covers finite difference, finite element, finite volume, pseudo-spectral, and spectral methods for elliptic, parabolic, and hyperbolic partial differential equations. Prereq., APPM 5600. Recommended ...

This is a preview. Log in through your library . Abstract Spline collocation methods are proposed for the spatial discretization of a class of hyperbolic partial integro-differential equations arising ...

SIAM Journal on Numerical Analysis, Vol. 46, No. 5 (2008), pp. 2411-2442 (32 pages) This work proposes and analyzes an anisotropic sparse grid stochastic collocation method for solving partial ...

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 ...

Studies properties and solutions of partial differential equations. Covers methods of characteristics, well-posedness, wave, heat and Laplace equations, Green's functions, and related integral ...

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 ...

To fulfill 2 core Courses, take one Core Life Science and one Core Computing. Please see available Computational Life Science (CLS) Core Courses below. Core Courses must be taken from two separate ...

Accounting for default risk in the valuation of financial derivatives has become increasingly important, especially since the 2007–8 financial crisis. Under some assumptions, the valuation of ...