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 ...

A simple and efficient algorithm for least-squares estimation of the parameters of a numerically solved diffusion model is presented. The algorithm has been specially developed for the analysis of ...

Mathematics of Computation, Vol. 49, No. 180 (Oct., 1987), pp. 523-542 (20 pages) We present Runge-Kutta methods of high accuracy for stochastic differential ...

Researchers from the Institute of Cosmos Sciences of the University of Barcelona (ICCUB) have developed a new framework based ...

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

Differential equations are fundamental tools in physics: they are used to describe phenomena ranging from fluid dynamics to general relativity. But when these equations become stiff (i.e. they involve ...

In this paper, we discuss efficient pricing methods via a partial differential equation (PDE) approach for long-dated foreign exchange (FX) interest rate hybrids under a three-factor multicurrency ...

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 ...