Abstract. This article proposes a new capture basin algorithm for computing the numerical solution of a class of Hamilton-Jacobi-Bellman (HJB) partial differential equations (PDEs)...
Alexandre M. Bayen, Christian G. Claudel, Patrick ...
This paper considers the optimisation of a nonlinear functional for image segmentation and noise reduction. Equations optimising this functional are derived and employed to detect...
We study properties of solutions to fully nonlinear versions of the standard Black– Scholes partial differential equation. These equations have been introduced in financial mat...
We study a stochastic control problem where the state process is described by a stochastic differential equation driven by a Brownian motion and a Poisson random measure, being af...
The exponential Euler method is a nonstandard approximation scheme that was developed specifically for the Hodgkin-Huxley differential equation models that arise in neuroscience a...