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 ...
Covers finite difference, finite element, finite volume, pseudo-spectral, and spectral methods for elliptic, parabolic, and hyperbolic partial differential equations. Prereq., APPM 5600. Recommended ...
This is a preview. Log in through your library . Abstract Spline collocation methods are proposed for the spatial discretization of a class of hyperbolic partial integro-differential equations arising ...
SIAM Journal on Numerical Analysis, Vol. 46, No. 5 (2008), pp. 2411-2442 (32 pages) This work proposes and analyzes an anisotropic sparse grid stochastic collocation method for solving partial ...
Calculation: A representation of a network of electromagnetic waveguides (left) being used to solve Dirichlet boundary value problems. The coloured diagrams at right represent the normalized ...
An intermediate level course in the analytical and numerical study of ordinary differential equations, with an emphasis on their applications to the real world. Exact solution methods for ordinary ...
Introductory course on using a range of finite-difference methods to solve initial-value and initial-boundary-value problems involving partial differential equations. The course covers theoretical ...
In this paper, we consider the numerical valuation of swing options in electricity markets based on a two-factor model. These kinds of contracts are modeled as path dependent options with multiple ...
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