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 ...

There was an error while loading. Please reload this page. This is a Joint course between SISSA PhD in Mathematical Analysis, Modeling, and Applications, Laurea ...

SIAM Journal on Numerical Analysis, Vol. 36, No. 4 (May - Jun., 1999), pp. 1183-1233 (51 pages) We use biorthogonal filter banks to solve hyperbolic PDEs adaptively with a sparse multilevel ...

A number of finite element discretization techniques based on two (or more) subspaces for nonlinear elliptic partial differential equations (PDEs) is presented. Convergence estimates are derived to ...

The purpose of this repository is to provide a learning environment for numerical methods for PDEs, not to build a complex C++ project. Since the courses are held at PoliMI, where students have access ...

Numerical Methods for PDEs; Finite element methods; Singularly perturbed boundary value problems; Iterative methods; Multigrid methods; Saddle Point Least-Squares for mixed methods; Subspace ...