Parabolic partial differential equations (PDEs) are fundamental in modelling a wide range of diffusion processes in physics, finance and engineering. The numerical approximation of these equations ...

We present an error analysis in using Fourier methods for pricing European options when the underlying asset follows an exponential Levy process. The derived bound is minimised to achieve optimal ...

The numerical solution of wave scattering from large objects or from a large cluster of scatterers requires excessive computational resources and it becomes necessary to use approximate-but ...

ZHONGHUA QIAO, TAO TANG, HEHU XIE, ERROR ANALYSIS OF A MIXED FINITE ELEMENT METHOD FOR THE MOLECULAR BEAM EPITAXY MODEL, SIAM Journal on Numerical Analysis, Vol. 53, No. 1 (2015), pp. 184-205 ...

Numerical Solution of Systems of Linear Equations, Iterative Methods Formulation and analysis of basic stationary methods e.g. Gauss-Jacobi, Gauss-Seidel. The numerical solution of Poisson's equation.

In numerical analysis, we focus on developing and analysing advanced discretization schemes, including their stability and convergence properties, using, e.g., tools from functional analysis.