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math.NA2026
Schwarz Modulus Based Matrix Splittings with Minimal Polynomial Extrapolation Acceleration for linear complementarity problems arising from American option pricing
Martin J. Gande, Si-Wei Liao, Liu-Di Lu
Pricing American options is more complicated than pricing European options, because they can be exercised at any time, and one thus needs to solve a linear complementarity problem…
math.NA2026
From PDEs constrained optimization to controllability problems via time domain decomposition
Pierre-Henri Cocquet, Liu-Di Lu
This paper focuses on the application of time domain decomposition to solve partial differential equations constrained optimization problems and controllability problems. After cla…