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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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2 results for “Bogacki-Shampine”
Sixth-Order Compact Differencing with Staggered Boundary Schemes and 3(2) Bogacki-Shampine Pairs for Pricing Free-Boundary Optionsq-fin.CP

A fast, accurate method for pricing American options with free boundaries.

problem Pricing American options with free boundaries efficiently and accurately.
method A sixth-order compact finite difference scheme with a dynamic staggered boundary scheme and 3(2) R-K Bogacki-Shampine time stepping.
result An efficient sixth-order compact scheme for pricing American options with free boundaries.
American optionsfree boundariessixth-order compactstaggered boundaryBogacki-Shampine
2022-07-28abs ↗pdf ↗
Adaptive Runge-Kutta Step Control Buys Training Loss, Not Generalization: An Honest Compute-Matched Study of RK-Adam Optimizerscs.LG

A higher-order Runge-Kutta optimizer performs poorly compared to Adam when evaluated fairly.

problem Evaluating the performance of adaptive Runge-Kutta optimizers under strict conditions.
method Built and evaluated a representative Adam variant using a Bogacki-Shampine 3(2) RK pair, FSAL reuse, and local-error step control.
result The adaptive nature of the RK optimizer is illusory; it behaves like a fixed-step optimizer with gradient averaging.
Runge-KuttaoptimizationAdamtraining lossgeneralization
2026-07-16abs ↗pdf ↗