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 ...

Inspired by path integral solutions to the quantum relaxation problem, we develop a numerical method to solve classical stochastic differential equations with multiplicative noise that avoids ...

This is a preview. Log in through your library . Abstract This paper concerns the application of Ortiz' recursive formulation of the Tau method to the construction of piecewise polynomial ...

Analysis and application of numerical methods for solving large systems of linear equations, which often represent the bottleneck when computing solutions to equations arising in fluid mechanics, ...