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 ...

Partial differential equations (PDE) describe the behavior of fluids, structures, heat transfer, wave propagation, and other physical phenomena of scientific and engineering interest. This course ...

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 ...

Maximum drawdown is a risk measure that plays an important role in portfolio management. In this paper, we address the question of computing the expected value of the maximum drawdown using a partial ...

This is a preview. Log in through your library . Abstract We consider the probabilistic numerical scheme for fully nonlinear partial differential equations suggested in [Comm. Pure Appl. Math. 60 ...

One of the common classes of equations that is encountered in several branches of science is partial differential equations. So in this article, I look at a software package called FreeFem++ that is ...

Journal of Computational Mathematics, Vol. 26, No. 3, SPECIAL ISSUE DEDICATED TO THE 70TH BIRTHDAY OF PROFESSOR JUNZHI CUI (May 2008), pp. 336-346 (11 pages) High order fast sweeping methods have been ...

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 design of modern aircrafts involves a balance of competing cost and performance requirements, usually combining experimental and theoretical approaches. The propagation of waves around aircrafts ...