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 ...

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 ...

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 ...