Browsing Mathematics (Faculty of) by Subject "finite difference"
Now showing items 1-3 of 3
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The Mimetic Approach to Incompressible Surface Tension Flows
(University of Waterloo, 2016-04-27)Water has many aesthetic properties that can have a strong impact on our perceptions. For instance, coffee can bring a feeling of liveliness, rain drops on a window may spark nostalgia, morning dew on a leaf can suggest ... -
Numerical Methods for Hamilton-Jacobi-Bellman Equations with Applications
(University of Waterloo, 2019-08-26)Hamilton-Jacobi-Bellman (HJB) equations are nonlinear controlled partial differential equations (PDEs). In this thesis, we propose various numerical methods for HJB equations arising from three specific applications. First, ... -
Numerical Methods for Optimal Stochastic Control in Finance
(University of Waterloo, 2008-06-17)In this thesis, we develop partial differential equation (PDE) based numerical methods to solve certain optimal stochastic control problems in finance. The value of a stochastic control problem is normally identical to the ...