Partial Differential Equations (PDEs) are mathematical equations that involve unknown multivariate functions and their partial derivatives. They are the cornerstone of modelling a vast array of ...
We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...
Reduced-order modeling (ROM) commonly refers to the construction, based on a few solutions (referred to as snapshots) of an expensive discretized partial differential equation (PDE), and the ...
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