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Optimal solution of a diffusion equation with a discrete source term [PDF]

open access: yes, 1997
In this paper we study the numerical behavior of a diffusion equation with a discrete control source term. The equation is discretized in space by finite differences and in time by an implicit scheme.
Araújo, A.   +2 more
core   +1 more source

Robust One Period Option Modelling [PDF]

open access: yes
AMS classifications: 90C15; 90C20; 90C90; 49M29;return on investment;option pricing models;optimization;portfolio ...
Lutgens, F., Sturm, J.F.
core   +1 more source

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