A non-linear PDE for XVA by forward Monte Carlo Vladimir Piterbarg considers a non-linear partial differentiation equation that appears in a number of XVA-related contexts, including a one-way ...

The intent of this expository paper is to draw the attention of the applied mathematics community to an interesting two-dimensional mathematical model arising in solid mechanics involving a single ...

A second branch of this project studies the dynamical and asymptotic properties of linear and nonlinear wave equations and hyperbolic systems that become “weakly hyperbolic”, i.e. in which the ...

Boundary value problems (BVPs) and partial differential equations (PDEs) are critical components of modern applied mathematics, underpinning the theoretical and practical analyses of complex systems.

In this article, a solution to a semi-linear PDE is obtained by taking the minimum of solutions to related linear PDEs over an infinite-dimensional space of discount boundaries. By restricting the ...