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 ...

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 ...

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 ...

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 ...

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 ...

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 ...

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 ...