In this paper I develop a new computational method for pricing path-dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform ...
The boundary element method (BEM) provides a robust framework for solving linear partial differential equations by transforming the problem domain into integrals over its boundary. This technique is ...
Studies properties and solutions of partial differential equations. Covers methods of characteristics, well-posedness, wave, heat and Laplace equations, Green's functions, and related integral ...
Abstract: Partial state consensus problem is investigated for continuous-time large-scale systems. A novel design philosophy of partial state consensus control is proposed and a centralized ...
Text: Partial Differential Equations, An Introduction to Theory and Applications by Michael Shearer and Rachel Levy, Princeton University Press, 2015.
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