Finite Difference Schemes and Partial Differential Equations John Strikwerda
Publisher: SIAM: Society for Industrial and Applied Mathematics

In the finite difference algorithm we approximated the derivatives in the PDE using standard central approximation with a Crank-Nicolson scheme, equally weighing an implicit and an explicit scheme. We show how to implement highly efficient GPU solvers for one dimensional PDEs based on finite difference schemes. Application scenarios include market making, real time pricing, and risk management. Finite Difference Schemes and Partial Differential Equations is available on a new fast download service with over 2,210,000 Files to choose from. From Torrent, Mediafire, Rapidshare or Hotfile. UNIT IV FINITE DIFFERENCE METHODS FOR PARABOLIC EQUATIONS 9. And Griffith D.F., The Finite difference method in partial differential equations, John Wiley and sons, New York (1980). One dimensional parabolic equation – Explicit and Crank-Nicolson Schemes – Thomas Algorithm – Weighted average approximation – Dirichlet and Neumann Mitchell A.R. Parametric form – Physical applications:Fluid flow and heat flow problems. The typical use case is to price a large number of similar or related derivatives in parallel. High performance finite difference PDE solvers on GPUs | CUDA, Finance, Finite difference, nVidia, Partial differential equations, PDEs, Risk Management, Tesla C1060.