375 citations · 608 across the 47 of their papers we have counts for
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math.NA2018
On local Fourier analysis of multigrid methods for PDEs with jumping and random coefficients
Prashant Kumar, Carmen Rodrigo, Francisco J. Gaspar +1
In this paper, we propose a novel non-standard Local Fourier Analysis (LFA) variant for accurately predicting the multigrid convergence of problems with random and jumping coeffici…
math.NA2018★ 12 cited
Stochastic grid bundling method for backward stochastic differential equations
Ki Wai Chau, Cornelis W. Oosterlee
In this work, we apply the Stochastic Grid Bundling Method (SGBM) to numerically solve backward stochastic differential equations (BSDEs). The SGBM algorithm is based on conditiona…