Eigenvalue problems are a cornerstone of modern applied mathematics, arising in diverse fields from quantum mechanics to structural engineering. At their heart, these problems seek scalar values and ...

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 ...

We propose a new approach to constructing weak numerical methods for finding solutions to stochastic systems with small noise. For these methods we prove an error ...

An important characterization of a numerical method for first order ODE's is the region of absolute stability. If all eigenvalues of the linear problem y' = Ay are inside this region, the numerical ...

Optical systems employ a rich array of physical effects which are described by well-understood equations. However, for all but the simplest devices these equations are typically too complex to permit ...

I've written about numerical calculations before, but perhaps they weren't too inspiring. What are numerical calculations? Here is my own definition. Numerical Calculations (numerical methods, ...

As the name of the "Virtual Engine and Numerical Methods" department suggests, this department combines research activities on the "virtual engine" and on cross-scale numerical methods as virtual test ...

This paper deals with numerical solutions to an impulse control problem arising from optimal portfolio liquidation with bid-ask spread and market price impact penalizing speedy execution trades. The ...