Sinc methods are now recognized as an efficient numerical method for problems whose solutions may have singularities, or infinite domains, or boundary layers. This work deals with the sinc-collocation ...

Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included for comparison.

Abstract: Point collocation based on radial basis function approximation is one of the main methods used in meshless method. Because of the simplicity implementation and exponential convergence, it ...

SIAM Journal on Numerical Analysis, Vol. 46, No. 1 (2007/2008), pp. 344-364 (21 pages) New numerical techniques are presented for the solution of a class of linear partial integro-differential ...

Abstract: Orthogonal collocation methods are direct approaches for solving optimal control problems (OCP). A high solution accuracy is achieved with few optimization variables, making it more ...

In a previous paper [SIAM J. Numer. Anal., 51 (2013), pp. 2238-2259] we analyzed the optimal orders of convergence of piecewise polynomial collocation solutions for systems of integralalgebraic ...