SIAM Journal on Numerical Analysis, Vol. 34, No. 1 (Feb., 1997), pp. 22-47 (26 pages) We suggest a general method for the construction of highly continuous interpolants for one-step methods applied to ...

Backward stochastic differential equations (BSDEs) have emerged as a pivotal mathematical tool in the analysis of complex systems across finance, physics and engineering. Their formulation, generally ...

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 ...