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 ...
SIAM Journal on Numerical Analysis, Vol. 54, No. 5 (2016), pp. 2750-2774 (25 pages) We consider robust iterative methods for discontinuous Galerkin (DG) H(div, Ω)-conforming discretizations of the ...
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 ...
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