Partial differential equations (PDE) describe the behavior of fluids, structures, heat transfer, wave propagation, and other physical phenomena of scientific and engineering interest. This course ...

Optical systems employ a rich array of physical effects which are described by well-understood equations. However, for all but the simplest devices these equations are typically too complex to permit ...

In this paper we introduce two methods for the efficient and accurate numerical solution of Black–Scholes models of American options: a penalty method and a front-fixing scheme. In the penalty ...

What Are FEM, FDM and FVM? FEM, FDM and FVM differ from one another in important ways. Understanding these distinctions is key to selecting the method most appropriate for your purposes. The ...