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 ...
The small dispersion limit of solutions to the Camassa-Holm (CH) equation is characterized by the appearance of a zone of rapid modulated oscillations. An asymptotic description of these oscillations ...
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 ...
Researchers from the Institute of Cosmos Sciences of the University of Barcelona (ICCUB) have developed a new framework based ...
Focuses on numerical solution of nonlinear equations, interpolation, methods in numerical integration, numerical solution of linear systems, and matrix eigenvalue problems. Stresses significant ...
This paper develops two local mesh-free methods for designing stencil weights and spatial discretization, respectively, for parabolic partial differential equations (PDEs) of ...
In this paper we introduce two methods for the efficient and accurate numerical solution of Black–Scholes models of American options: a penalty method and a front-fixing scheme. In the penalty ...
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