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 ...

SIAM Journal on Numerical Analysis, Vol. 42, No. 2 (2005), pp. 800-825 (26 pages) We describe and analyze two numerical methods for a linear elliptic problem with stochastic coefficients and ...

We study the finite element method for stochastic parabolic partial differential equations driven by nuclear or space-time white noise in the multidimensional case. The discretization with respect to ...

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

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 ...

Computational and applied mathematicians model phenomena from a wide variety of science and engineering disciplines and design computer algorithms to solve the resulting mathematical problems. Faculty ...

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 ...

A partial differential equation (PDE) is a mathematical equation that involves multiple independent variables, an unknown function that is dependent on those variables, and partial derivatives of the ...