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Now showing items 11-13 of 13
Numerical Studies For M-Matrix Algebraic Riccati Equations
(Mathematics, 2013-10-22)
A new doubling algorithm - Alternating-Directional Doubling Algorithm (ADDA) - is developed for computing the unique minimal nonnegative solution of an M-Matrix Algebraic Riccati Equation (MARE). It is argued by both ...
The Polynomial Chaos Method With Applications To Random Differential Equations
(Mathematics, 2013-10-22)
The role of randomness in mathematical models is of paramount importance, with emphasis placed upon the accuracy and reliability of predictions a rational approach is the use of differential equations with random parameters ...
Optimal Stopping For Markov Modulated Ito-diffusion With Applications To Finance
(Mathematics, 2013-07-22)
Despite the outstanding success of the Black-Scholes model, it relies on the assumption that drift and volatility of the underlying equity remain constant throughout time. This inaccuracy has motivated a number of interesting ...