Dynamical low-rank approximation (DLRA) methods have emerged as a powerful numerical framework for addressing the challenges posed by high-dimensional problems. By restricting the evolution of a ...

SIAM Journal on Numerical Analysis, Vol. 31, No. 3 (Jun., 1994), pp. 655-679 (25 pages) The accuracy of numerical approximations to piecewise smooth solutions of hyperbolic partial differential ...

We propose a projection method to approximate the spectrum of a dissipative system which is a bounded perturbation of a skew-adjoint operator. We show that the associated discrete spectra approximate ...

Advanced study in Markov chain and continuous time Markov process models and applications, renewal processes, Brownian Motion,analytical and numerical approximation methods, Markov decision processes ...

An introduction to the theory, algorithms, approximations, and applications of stochastic processes. Topics studied include Markov chain and continuous and continuous time Markov process models and ...

This is a hands-on graduate-level course teaching key techniques to analyse and estimate macroeconomics models. It teaches the key building blocks of numerical analysis such as function approximation ...

In their 2001 paper, Longstaff and Schwartz suggested a method for American option pricing using simulation and regression, and since then this method has rapidly gained importance. However, the idea ...

On 28 June 2021, 14:00-18:00, an online workshop "PDE and Numerical Mathematics" is organised by the Mathematics Departments of the Universities of Münster and Twente. Please contact Mario Ohlberger ...