Finite difference methods have become a cornerstone in the simulation of seismic wave propagation, providing a robust numerical framework to approximate the differential equations that govern seismic ...

The finite difference migration, proposed and developed by J. F. Claerbout[1], is now widely used in seismic data processing. The method has a limitation that the events are not dipping too much.

Mean field-type models describing the limiting behavior of stochastic differential games as the number of players tends to +∞ were recently introduced by Lasry and Lions. Under suitable assumptions, ...

In this paper we investigate the effectiveness of alternating direction implicit (ADI) time-discretization schemes in the numerical solution of the three-dimensional Heston-Hull-White partial ...

Peter Austing shows how to set up finite difference solvers to exactly recover the prices of all vanilla options on the grid. The approach leads to a specific discretisation of Dupire’s formula. It ...