If the SINGLE option is not used, PROC MODEL computes values that simultaneously satisfy the model equations for the variables named in the SOLVE statement. PROC MODEL provides three iterative methods ...

We develop a family of fast methods for approximating the solutions to a wide class of static Hamilton-Jacobi PDEs; these fast methods include both semi-Lagrangian and fully Eulerian versions.

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 ...

Parallel algorithms for singular value decomposition (SVD) have risen to prominence as an indispensable tool in high-performance numerical linear algebra. They offer significant improvements in the ...

The convergence rates on polynomial interpolation in most cases are estimated by Lebesgue constants. These estimates may be overestimated for some special points of sets for functions of limited ...