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 represent an innovative class of numerical methods designed to address the challenges posed by stiff differential equations. By incorporating the matrix exponential to treat ...

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 ...

We introduce a new class of exponential integrators for the numerical integration of large-scale systems of stiff differential equations. These so-called Rosenbrock-type methods linearize the flow in ...