Exponential integrators represent an innovative class of numerical methods designed to address the challenges posed by stiff differential equations. By incorporating the matrix exponential to treat ...

Matrix functions, such as the exponential, square root and cosine, play an indispensable role in various fields including quantum mechanics, control theory and numerical solution of differential ...

In this paper we consider optimal stopping problems for a general class of reward functions under matrix-exponential jump-diffusion processes. Given an American call-type reward function in this class ...

We consider the problem (posed by A. G. Laurent) of "anti-projecting" certain hyperspherical distributions from a subspace of matrices to the full space. Using certain fractional differentiation ...

We propose a new, unified approach to solving jump-diffusion partial integrodifferential equations (PIDEs), which often appear in mathematical finance. Our method consists of the following steps.