Ordinary differential equations (ODEs) and difference equations serve as complementary tools in the mathematical modelling of processes evolving in continuous and discrete time respectively. Together ...

In many biological and physical systems, feedback mechanisms depend on a set of thresholds associated with the state variables. Each feedback has a characteristic time scale. We suggest that ...

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 ...