Scientific Research Publishing

L-Stable Block Hybrid Second Derivative Algorithm for Parabolic Partial Differential Equations ()

An L-stable block method based on hybrid second derivative algorithm (BHSDA) is provided by a continuous second derivative method that is defined for all values of the independent variable and applied ...
Risk

A reduced basis method for parabolic partial differential equations with parameter functions and application to option pricing

We consider the Heston model as an example of a parameterized parabolic partial differential equation. A space-time variational formulation is derived that allows for parameters in the coefficients ...
IEEE

Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations

Abstract: Efficient numerical algorithms for a class of forward–backward stochastic differential equations (FBSDEs) and related quasi-linear parabolic partial differential equations are proposed. The ...
Nature

Error Analysis and Numerical Methods for Parabolic Partial Differential Equations

Parabolic partial differential equations (PDEs) are fundamental in modelling a wide range of diffusion processes in physics, finance and engineering. The numerical approximation of these equations ...
Frontiers

Numerical treatment of singularly perturbed parabolic partial differential equations with nonlocal boundary condition

1 Department of Applied Mathematics, Adama Science and Technology University, Adama, Ethiopia 2 Department of Mathematics, Jimma University, Jimma, Ethiopia In general, the classical numerical methods ...
Scientific Research Publishing

Parabolic Partial Differential Equations as Inverse Moments Problem ()

1 Grupo de Aplicaciones Matematicas y Estadisticas de la Facultad de Ingenieria (GAMEFI), Universidad Nacional de La Plata (UNLP), La Plata, Argentina. 2 Departamento de Matematica, Facultad de ...