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 consider the Heston model as an example of a parameterized parabolic partial differential equation. A space-time variational formulation is derived that allows for parameters in the coefficients ...

In this article we define a surface finite element method (SFEM) for the numerical solution of parabolic partial differential equations on hypersurfaces Γ in ℝn+1. The key idea is based on the ...

This is a preview. Log in through your library . Abstract A stochastic collocation method for solving linear parabolic partial differential equations with random coefficients, forcing terms, and ...

An advanced course in the analytical and numerical study of ordinary and partial differential equations, building on techniques developed in Differential Equations I. Ordinary differential equations: ...

This course is available on the BSc in Business Mathematics and Statistics, BSc in Mathematics and Economics, BSc in Mathematics with Economics and BSc in Mathematics, Statistics and Business. This ...