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 ...

Exponential Integrators: Numerical methods that use the matrix exponential to integrate the linear part of a differential equation exactly, thereby mitigating stiffness-related challenges.

MARLIS HOCHBRUCK, ALEXANDER OSTERMANN, JULIA SCHWEITZER, EXPONENTIAL ROSENBROCK-TYPE METHODS, SIAM Journal on Numerical Analysis, Vol. 47, No. 1 (2008/2009), pp. 786-803 ...

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 ...