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 ...
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 ...
Optimal control problems, which form a central pillar in applied mathematics and engineering, involve determining control strategies that steer physical, economic or biological systems to achieve a ...
A new technical paper titled “Solving sparse finite element problems on neuromorphic hardware” was published by researchers ...
Maximum drawdown is a risk measure that plays an important role in portfolio management. In this paper, we address the question of computing the expected value of the maximum drawdown using a partial ...
The Applied Mathematics Research Group is one of the largest and most forward-thinking in Canada. Research in this group spans a broad variety of modern topics in applied mathematics, ranging from ...
The moving mesh PDE (MMPDE) method for variational mesh generation and adaptation is studied theoretically at the discrete level, in particular the nonsingularity of the obtained meshes. Meshing ...
The Applied Mathematics Research Group is one of the largest and most forward-thinking in Canada. Research in this group spans a broad variety of modern topics in applied mathematics, ranging from ...
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