C. W. Oosterlee - researchr alias

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Viewing Publication 1 - 17 from 17

2023

Convergence of a Robust Deep FBSDE Method for Stochastic ControlKristoffer Andersson 0003, Adam Andersson, C. W. Oosterlee. siamsc, 45(1):226, February 2023. [doi]

2018

Monolithic multigrid method for the coupled Stokes flow and deformable porous medium systemPeiyao Luo, Carmen Rodrigo, Francisco José Gaspar, C. W. Oosterlee. jcphy, 353:148-168, 2018. [doi]

The COS method for option valuation under the SABR dynamicsZ. van der Have, C. W. Oosterlee. ijcm, 95(2):444-464, 2018. [doi]

2017

On an Uzawa smoother in multigrid for poroelasticity equationsP. Luo, Carmen Rodrigo, Francisco José Gaspar, C. W. Oosterlee. nla, 24(1), 2017. [doi]

Pricing early-exercise and discrete barrier options by Shannon wavelet expansionsS. C. Maree, Luis Ortiz-Gracia, C. W. Oosterlee. nm, 136(4):1035-1070, 2017. [doi]

2015

Pricing Bermudan options under Merton jump-diffusion asset dynamicsF. Cong, C. W. Oosterlee. ijcm, 92(12):2406-2432, 2015. [doi]

2012

Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial OptionsM. J. Ruijter, C. W. Oosterlee. siamsc, 34(5), 2012. [doi]

An ENO-Based Method for Second-Order Equations and Application to the Control of Dike LevelsS. P. van der Pijl, C. W. Oosterlee. jscic, 50(2):462-492, 2012. [doi]

2011

GPU implementation of a Helmholtz Krylov solver preconditioned by a shifted Laplace multigrid methodH. Knibbe, C. W. Oosterlee, Cornelis Vuik. jcam, 236(3):281-293, 2011. [doi]

2007

A Fast Method for Pricing Early-Exercise Options with the FFTR. Lord, F. Fang, F. Bervoets, C. W. Oosterlee. iccS 2007: 415-422 [doi]

Greedy Tikhonov regularization for large linear ill-posed problemsH. Bin Zubair, C. C. W. Leentvaar, C. W. Oosterlee. ijcm, 84(8):1131-1149, 2007. [doi]

2000

Error analysis for a potential problem on locally refined gridsTakumi Washio, C. W. Oosterlee. nm, 86(3):539-563, 2000. [doi]

1996

Real Applications on the New Parallel System NEC Cenju-3Rolf Hempel, Robin Calkin, Reinhold Hess, Wolfgang Joppich, C. W. Oosterlee, Hubert Ritzdorf, Peter Wypior, Wolfgang Ziegler, Nubohiko Koike, Takashi Washio, Udo Keller. pc, 22(1):131-148, 1996.

1995

A Robust Parallel Solver for 3D Fluid Flow Problems Using a High-Level Communications LibraryC. W. Oosterlee, Hubert Ritzdorf. parco 1996: 77-84

1994

Parallel Multigrid Reesults for Euler Equations and Grid Partitioning into a Large Number of BlocksC. W. Oosterlee, Hubert Ritzdorf, Anton Schüller, Barbara Steckel. hpcn 1994: 145-150

1993

A Robust Multigrid Method for a Discretization of the Incompressible Navier-Stokes Equations in General CoordinatesC. W. Oosterlee, P. Wesseling. impact, 5(2):128-151, 1993. [doi]

Multigrid Schemes for Time-Dependent Incompressible Navier-Stokes EquationsC. W. Oosterlee, P. Wesseling. impact, 5(3):153-175, 1993. [doi]

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