We propose a projection method to approximate the spectrum of a dissipative system which is a bounded perturbation of a skew-adjoint operator. We show that the associated discrete spectra approximate ...

SIAM Journal on Numerical Analysis, Vol. 31, No. 3 (Jun., 1994), pp. 655-679 (25 pages) The accuracy of numerical approximations to piecewise smooth solutions of hyperbolic partial differential ...

Dynamical low-rank approximation (DLRA) methods have emerged as a powerful numerical framework for addressing the challenges posed by high-dimensional problems. By restricting the evolution of a ...

In their 2001 paper, Longstaff and Schwartz suggested a method for American option pricing using simulation and regression, and since then this method has rapidly gained importance. However, the idea ...

We propose to use stratified approximations based on the gamma and lognormal distributions for the pricing of options on average, such as Asian options and bond prices in the Dothan model. We show ...

Advanced study in Markov chain and continuous time Markov process models and applications, renewal processes, Brownian Motion,analytical and numerical approximation methods, Markov decision processes ...

An introduction to the theory, algorithms, approximations, and applications of stochastic processes. Topics studied include Markov chain and continuous and continuous time Markov process models and ...

On 28 June 2021, 14:00-18:00, an online workshop "PDE and Numerical Mathematics" is organised by the Mathematics Departments of the Universities of Münster and Twente. Please contact Mario Ohlberger ...