Risk

Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous-time mean–variance asset allocation under stochastic volatility

We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...
Nature

Boundary Value Problems and Partial Differential Equations

Boundary value problems (BVPs) and partial differential equations (PDEs) are critical components of modern applied mathematics, underpinning the theoretical and practical analyses of complex systems.
uni

Online workshop "PDE and Numerical Mathematics"

On 28 June 2021, 14:00-18:00, an online workshop "PDE and Numerical Mathematics" is organised by the Mathematics Departments of the Universities of Münster and Twente. Please contact Mario Ohlberger ...
Risk

Numerical simulation and applications of the convection–diffusion–reaction equation with the radial basis function in a finite-difference mode

This paper develops two local mesh-free methods for designing stencil weights and spatial discretization, respectively, for parabolic partial differential equations (PDEs) of ...
CU Boulder News & Events

Data-Driven Equation Discovery

Governing equations in the form of ordinary and partial differential equations are valuable models for physical systems. However they can be difficult to derive, making them unknown, particularly for ...