Parabolic partial differential equations (PDEs) are fundamental in modelling a wide range of diffusion processes in physics, finance and engineering. The numerical approximation of these equations ...
The complex-step method is a clever way of obtaining a numerical approximation to the first derivative of a function, avoiding the round-off error that plagues ...
This paper is concerned with numerical integration over the unit cube in s dimensions of functions that have reasonably smooth periodic extensions in each dimension ...
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