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 ...
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 ...
Numerical Methods for PDEs; Finite element methods; Singularly perturbed boundary value problems; Iterative methods; Multigrid methods; Saddle Point Least-Squares for mixed methods; Subspace ...
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 ...
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