Backward stochastic differential equations (BSDEs) have emerged as a pivotal mathematical tool in the analysis of complex systems across finance, physics and engineering. Their formulation, generally ...

SIAM Journal on Numerical Analysis, Vol. 5, No. 3 (Sep., 1968), pp. 530-558 (29 pages) A new iterative method has been developed for solving the large sets of algebraic equations that arise in the ...

An important characterization of a numerical method for first order ODE's is the region of absolute stability. If all eigenvalues of the linear problem y' = Ay are inside this region, the numerical ...

Abstract: Iterative solver of linear systems is a key component for numerical solutions of differential equations, playing an important role in numerical analysis and scientific computing. While there ...