Approximation theory and asymptotic methods form a foundational framework that bridges classical ideas with modern numerical analysis, enabling researchers to obtain practical, near‐optimal solutions ...

We consider the numerical approximation of a semilinear fractional order evolution equation involving a Caputo derivative in time of order α ϵ (0,1). Assuming a Lipschitz continuous nonlinear source ...

Abstract. Numerical approximations to the solution of a linear singularly perturbed parabolic convection-diffusion problem are generated using a backward Euler method in time and an upwinded finite ...

Fourier analysis and numerical methods have long played a pivotal role in the solution of differential equations across science and engineering. By decomposing complex functions into sums of ...

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 ...

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 ...

Optical systems employ a rich array of physical effects which are described by well-understood equations. However, for all but the simplest devices these equations are typically too complex to permit ...

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 ...