If the SINGLE option is not used, PROC MODEL computes values that simultaneously satisfy the model equations for the variables named in the SOLVE statement. PROC MODEL provides three iterative methods ...

Optimal control problems, which form a central pillar in applied mathematics and engineering, involve determining control strategies that steer physical, economic or biological systems to achieve a ...

Asymptotic error expansions have been obtained for certain numerical methods for linear Volterra integro-differential equations. These results permit the application ...

We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...

Find the forces on the object. Find the new momentum (based on the force and the small time interval) Find the new position (based on the velocity and time interval). Simple. And it even works most of ...

A We consider the numerical solution of projected algebraic Riccati equations using Newton's method. Such equations arise, for instance, in model reduction of descriptor systems based on positive real ...