Fourier analysis and numerical methods have long played a pivotal role in the solution of differential equations across science and engineering. By decomposing complex functions into sums of ...
Optimal control problems, which form a central pillar in applied mathematics and engineering, involve determining control strategies that steer physical, economic or biological systems to achieve a ...
We extend and unify Fourier-analytic methods for pricing a wide class of options on any underlying state variable whose characteristic function is known. In this ...
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