Multigrid methods originated earlier this century, in the personnel computing era. Someone who needed to compute an approximation to the solution of a partial di erential equation during that era would ll a room with people. After using very simple mechanical calculators to compute parts of the approximation, these people would pass their parts to the other people in the room who needed them. E...

We consider the construction of geometric integrators in the class of RKMK methods. Any di erential equation in the form of an in nitesimal generator on a homogeneous space is shown to be locally equivalent to a di erential equation on the Lie algebra corresponding to the Lie group acting on the homogenous space. This way we obtain a distinction between the coordinate-free phrasing of the di er...

A 2nd-order, L-stable Rosenbrock method from the eld of sti ordinary di erential equations is studied for application to atmospheric dispersion problems describing photochemistry, advective and turbulent di usive transport. Partial di erential equation problems of this type occur in the eld of air pollution modelling. The focal point of the paper is to examine the Rosenbrock method for reliable...

We give a short introduction to the stochastic calculus for Itô-Lévy processes, and review brie‡y the two main methods of optimal control of stochastic systems described by such processes, namely: (i) Dynamic programming and the Hamilton-Jacobi-Bellman (HJB) equation (ii) The stochastic maximum principle and its associated adjoint backward stochastic di¤erential equation (BSDE). The two methods...

We consider polynomials in two variables which satisfy an admissible second order partial differential equation of the form (*) Auxx + 2Buxy + Cuyy +Dux + Euy = u; and are orthogonal relative to a symmetric bilinear form de…ned by '(p; q) = h ; pqi+ h ; pxqxi ; where A; ; E are polynomials in x and y; is an eigenvalue parameter, and are linear functionals on polynomials. We …nd a condition for ...

This paper presents a comparison between variational iteration method (VIM) and modfied variational iteration method (MVIM) for approximate solution a system of Volterra integral equation of the first kind. We convert a system of Volterra integral equations to a system of Volterra integro-di®erential equations that use VIM and MVIM to approximate solution of this system and hence obtain an appr...

We classify all partial di¤erential equations with polynomial coe¢ cients in x and y of the form A(x)uxx + 2B(x; y)uxy + C(y)uyy +D(x)ux + E(y)uy = nu; which has weak orthogonal polynomials as solutions and show that partial derivatives of all order are orthogonal. Also, we construct orthogonal polynomials in d-variables satisfying second order partial di¤erential equations in d-variables.

We present an AXIOM environment called JET for geometric computations with partial dierential equations within the framework of the jet bundle formalism. This comprises especially the completion of a given dierential equation to an involutive one according to the Cartan-Kuranishi Theorem and the setting up of the determining system for the generators of classical and non-classical Lie symmetrie...

Prediction and ltering of continuous-time stochastic processes require a solver of a continuous-time di erential Lyapunov equation (cdle). Even though this can be recast into an ordinary di erential equation (ode), where standard solvers can be applied, the dominating approach in Kalman lter applications is to discretize the system and then apply the discrete-time di erence Lyapunov equation (d...

Let us consider the di erential equation