We develop a family of fast methods for approximating the solutions to a wide class of static Hamilton-Jacobi PDEs; these fast methods include both semi-Lagrangian and fully Eulerian versions.

If the SINGLE option is not used, PROC MODEL computes values that simultaneously satisfy the model equations for the variables named in the SOLVE statement. PROC MODEL provides three iterative methods ...

Parallel algorithms for singular value decomposition (SVD) have risen to prominence as an indispensable tool in high-performance numerical linear algebra. They offer significant improvements in the ...

This is a preview. Log in through your library . Abstract We construct a finite element like scheme for fully nonlinear integro-partial differential equations arising in optimal control of ...

Many nonlinear option pricing problems can be formulated as optimal control problems, leading to Hamilton–Jacobi–Bellman (HJB) or Hamilton– Jacobi–Bellman–Isaacs (HJBI) equations. We show that such ...

A relic from long before the age of supercomputers, a 169-year-old math strategy called the Jacobi iterative method is widely dismissed today as too slow to be useful. But thanks to a curious, numbers ...