This paper deals with convergence model of interest rates, which explains the evolution of interest rate in connection with the adoption of Euro currency. Its dynamics is described by two stochastic differential equations – the domestic and the European short rate. Bond prices are then solutions to partial differential equations. For the special case with constant volatilities closed form solut...

For optical waveguides with high index contrast and sharp corners, high order full-vectorial mode solvers are difficult to develop, due to the field singularities at the corners. A recently developed method (the so-called BIENtD method) based on boundary integral equations (BIEs) and Neumannto-Dirichlet (NtD) maps achieves high order of accuracy for dielectric waveguides. In this paper, we deve...

Stein’s method is used to approximate sums of discrete and locally dependent random variables by a centered and symmetric Binomial distribution. Under appropriate smoothness properties of the summands, the same order of accuracy as in the Berry-Essen Theorem is achieved. The approximation of the total number of points of a point processes is also considered. The results are applied to the excee...

High order finite difference methods obeying a summation-by-parts (SBP) rule are developed for equidistant grids. With curvilinear grids, a coordinate transformation operator that does not destroy the SBP property must be used. We show that it is impossible to construct such an operator without decreasing the order of accuracy of the method.

We present a novel and efficient method for solving the Poisson equation, the heat equation, and Stefan-type problems with Robin boundary conditions over potentially moving, arbitrarily-shaped domains. The method utilizes a level set framework, thus it has all of the benefits of a sharp, implicitly-represented interface such as the ease of handling complex topological changes. This method is st...

In this article we outline the structure of a general relativistic astrometric model which has been developed to deduce the position and proper motion of stars from 1-microarcsecond optical observations made by an astrometric satellite orbiting around the Sun. The basic assumption of our model is that the Solar System is the only source of gravity, hence we show how we modeled the satellite obs...