Quasimonotone schemes for scalar conservation laws. part 1
SIAM Journal on Numerical Analysis
Solving ordinary differential equations I (2nd revised. ed.): nonstiff problems
Solving ordinary differential equations I (2nd revised. ed.): nonstiff problems
Parallel, adaptive finite element methods for conservation laws
Proceedings of the third ARO workshop on Adaptive methods for partial differential equations
Numerical analysis of American option pricing in a jump-diffusion model
Mathematics of Operations Research
A Posteriori Finite Element Error Estimation for Diffusion Problems
SIAM Journal on Scientific Computing
Scientific Computing with Ordinary Differential Equations
Scientific Computing with Ordinary Differential Equations
Finite Element Method for Elliptic Problems
Finite Element Method for Elliptic Problems
On the Valuation of Asian Options by Variational Methods
SIAM Journal on Scientific Computing
A Finite Element Splitting Extrapolation for Second Order Hyperbolic Equations
SIAM Journal on Scientific Computing
An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
Journal of Computational and Applied Mathematics
Asset liquidity and the valuation of derivative securities
Journal of Computational and Applied Mathematics
| Hi-index | 7.29 |
Ultraparabolic equations arise from the characterization of the performance index of stochastic optimal control relative to ultradiffusion processes; they evidence multiple temporal variables and may be regarded as parabolic along characteristic directions. We consider theoretical and approximation aspects of a temporally order and step size adaptive extrapolation discontinuous Galerkin method coupled with a spatial Lagrange second-order finite element approximation for a prototype ultraparabolic problem. As an application, we value a so-called Asian option from mathematical finance.