Ordinary differential equations (ODEs) and difference equations serve as complementary tools in the mathematical modelling of processes evolving in continuous and discrete time respectively. Together ...

We survey many old and new results on solutions of the following pair of adjoint differential-difference equations: \begin{align*} \tag{1} up'(u) = - ap(u) - bp(u - 1 ...

In this paper we investigate the effectiveness of alternating direction implicit (ADI) time-discretization schemes in the numerical solution of the three-dimensional Heston-Hull-White partial ...