Parabolic partial differential equations (PDEs) are fundamental in modelling a wide range of diffusion processes in physics, finance and engineering. The numerical ...

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 ...

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 ...

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 ...

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 ...