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 ...
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 ...
Backward stochastic differential equations (BSDEs) have emerged as a pivotal mathematical tool in the analysis of complex systems across finance, physics and engineering. Their formulation, generally ...
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 ...
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 ...
The Applied Mathematics Research Group is one of the largest and most forward-thinking in Canada. Research in this group spans a broad variety of modern topics in applied mathematics, ranging from ...
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