Abstract. Numerical approximations to the solution of a linear singularly perturbed parabolic convection-diffusion problem are generated using a backward Euler method in time and an upwinded finite ...

Exponential integrability properties of numerical approximations are a key tool for establishing positive rates of strong and numerically weak convergence for a large class of nonlinear stochastic ...

It teaches the key building blocks of numerical analysis such as function approximation and numerical integration. The course shows how these techniques are used in perturbation and projection methods ...

It is now possible to improve the precision of well survey calculations by order of magnitude with numerical approximation.

Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression Lars Stentoft ...