We develop a family of fast methods for approximating the solutions to a wide class of static Hamilton-Jacobi PDEs; these fast methods include both semi-Lagrangian and fully Eulerian versions.
If the SINGLE option is not used, PROC MODEL computes values that simultaneously satisfy the model equations for the variables named in the SOLVE statement. PROC MODEL provides three iterative methods ...
A mixed finite element approximation of H² solutions to the fully nonlinear Hamilton-Jacobi-Bellman equation, with coefficients that satisfy the Cordes condition, is ...
A relic from long before the age of supercomputers, a 169-year-old math strategy called the Jacobi iterative method is widely dismissed today as too slow to be useful. But thanks to a curious, numbers ...
We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...
Many nonlinear option pricing problems can be formulated as optimal control problems, leading to Hamilton–Jacobi–Bellman (HJB) or Hamilton– Jacobi–Bellman–Isaacs (HJBI) equations. We show that such ...
Jacobi stability and dynamical systems analysis form a powerful framework for understanding the robustness and intricate evolution of nonlinear systems across diverse disciplines. By employing a ...
Parallel algorithms for singular value decomposition (SVD) have risen to prominence as an indispensable tool in high-performance numerical linear algebra. They offer significant improvements in the ...
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