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Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
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I. Basic math.
II. Pricing and Hedging.
III. Explicit techniques.
IV. Data Analysis.
V. Implementation tools.
VI. Basic Math II.
VII. Implementation tools II.
1. Calculational Linear Algebra.
2. Wavelet Analysis.
3. Finite element method.
4. Construction of approximation spaces.
5. Time discretization.
A. Change of variables for parabolic equation.
a. Change of spacial variable for evolution equation.
b. Multiplicative change of unknown function for evolution equation.
c. Orthogonal transformation for evolution equation.
B. Discontinuous Galerkin technique.
C. Laplace quadrature.
6. Variational inequalities.
VIII. Bibliography
Notation. Index. Contents.

Multiplicative change of unknown function for evolution equation.

e introduce two unknown functions $v,w$ instead of one $u$ : MATH The idea is to set the form of $w$ later to simplify the problem. We calculate MATH and the LHS of the equation ( Generic parabolic PDE ) takes the form MATH Thus, the equation for $v$ takes the form MATH with MATH

Notation. Index. Contents.

Copyright 2007