The theoretical analysis and computational implementation of factorization-based methods for the numerical solution of linear boundary value problems for ordinary differential equations are presented.

The numerical solution of large-scale continuous-time Lyapunov matrix equations is of great importance in many application areas. Assuming that the coefficient matrix is positive definite, but not ...

Focuses on numerical solution of nonlinear equations, interpolation, methods in numerical integration, numerical solution of linear systems, and matrix eigenvalue problems. Stresses significant ...

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 ...

General aspects of polynomial interpolation theory. Formulations in different basis, e.g. Lagrange, Newton etc. and their approximation and computational properties ...

In this paper we introduce two methods for the efficient and accurate numerical solution of Black–Scholes models of American options: a penalty method and a front-fixing scheme. In the penalty ...

A numerical error is either of two kinds of error in a calculation. The first (a rounding error) is caused by the finite precision of computations involving floating ...