SIAM Journal on Numerical Analysis, Vol. 26, No. 6 (Dec., 1989), pp. 1474-1486 (13 pages) An explicit finite difference algorithm is developed to approximate the solution of a nonlinear and nonlocal ...
SIAM Journal on Numerical Analysis contains research articles on the development and analysis of numerical methods including their convergence, stability, and error ...
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Mathematical approaches for numerically solving partial differential equations. The focus will be (a) iterative solution methods for linear and non-linear equations, (b) spatial discretization and ...
A free-boundary formulation is considered for the price of American options under jump-diffusion models with finite jump activity. On the free boundary a Cauchy boundary condition holds, due to the ...
This paper develops two local mesh-free methods for designing stencil weights and spatial discretization, respectively, for parabolic partial differential equations (PDEs) of ...
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