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math.NA2024
A regularized eigenmatrix method for unstructured sparse recovery
Koung Hee Leem, Jun Liu, George Pelekanos
The recently developed data-driven eigenmatrix method shows very promising reconstruction accuracy in sparse recovery for a wide range of kernel functions and random sample locatio…
math.NA2024
Parallel-in-Time Iterative Methods for Pricing American Options
Xian-Ming Gu, Jun Liu, Cornelis W. Oosterlee
For pricing American options, %after suitable discretization in space and time, a sequence of discrete linear complementarity problems (LCPs) or equivalently Hamilton-Jacobi-Bellma…