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NUMERICAL ANALYSIS OF A SECOND ORDER PURE LAGRANGE-GALERKIN METHOD FOR CONVECTION-DIFFUSION PROBLEMS. PART I: TIME DISCRETIZATION

This is a preview. Log in through your library . Abstract We propose and analyze a second order pure Lagrangian method for variable coefficient convection (possibly degenerate) diffusion equations ...
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Numerical simulation and applications of the convection–diffusion–reaction equation with the radial basis function in a finite-difference mode

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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Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous-time mean–variance asset allocation under stochastic volatility

We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...
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Numerical analysis, machine learning and scientific computing

In this research field we are developing advanced computational methods centered around efficient solution strategies for partial differential equations. In numerical analysis, we focus on developing ...