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 ...

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 ...

This is a preview. Log in through your library . Abstract Spline collocation methods are proposed for the spatial discretization of a class of hyperbolic partial integro-differential equations arising ...

In this research field we are developing advanced computational methods centered around efficient solution strategies for partial differential equations. In numerical analysis, we focus on developing ...

Field of expertise: Numerical analysis, machine learning and scientific computing Selected Projects • Mathematical Theory for Deep Learning It is the key goal of this project to provide a rigorous ...

Description: This is a methods course for juniors in any branch of engineering and science, designed to follow MA 262. Basic techniques for solving systems of linear ordinary differential equations.