""" f: a vector of functions x: a n (>1) dimensional vector, where f(x) is evaluated. dx: a finite change in the given point method: use central-difference approximation by default; use ...
Abstract: The backward interpolation approximation scheme of first-order differential based on Lagrange interpolation method is derived in this paper. According to the idea of Lubich, the ...
The Annals of Applied Probability, Vol. 25, No. 4 (August 2015), pp. 2301-2338 (38 pages) We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton–Jacobi–Bellman (HJB) ...
Backward stochastic differential equations (BSDEs) have emerged as a pivotal mathematical tool in the analysis of complex systems across finance, physics and engineering. Their formulation, generally ...
ABSTRACT: To overcome the problem of calculation errors in the Born approximation when the forward accumulation effect is strong in VTI media, this article combines the De Wolf approximation method ...
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