This paper considers a class of discontinuous Galerkin method, which is constructed by Wong-Zakai approximation with the orthonormal Fourier basis, for numerically solving nonautonomous Stratonovich ...

Mathematics of Computation, Vol. 49, No. 180 (Oct., 1987), pp. 523-542 (20 pages) We present Runge-Kutta methods of high accuracy for stochastic differential ...

Maxwell's equations form the cornerstone of electromagnetic theory, offering a complete description of how electric and magnetic fields interact with matter. In combination with state‐of‐the‐art ...

Partial differential equations (PDE) describe the behavior of fluids, structures, heat transfer, wave propagation, and other physical phenomena of scientific and engineering interest. This course ...

An intermediate level course in the analytical and numerical study of ordinary differential equations, with an emphasis on their applications to the real world. Exact solution methods for ordinary ...

Introductory course on using a range of finite-difference methods to solve initial-value and initial-boundary-value problems involving partial differential equations. The course covers theoretical ...

Analysis and implementation of numerical methods for random processes: random number generators, Monte Carlo methods, Markov chains, stochastic differential equations, and applications. Recommended ...

This paper presents a novel and direct approach to solving boundary- and final-value problems, corresponding to barrier options, using forward pathwise deep learning and forward–backward stochastic ...