We consider cell centered nite di erence discretizations with lo cal re nement for nonsymmetric boundary value problems Preconditioners with mesh independent convergence properties for corresponding matrices are constructed The method is illustrated with numerical experiments

We investigate numerical valuation of cross-currency interest rate-based derivatives under Babbs' extended Vasicek-style model by numerical solution of the associated partial di erential equation (PDE) | in particular, we consider the terminable di erential (di ) swap. Firstly we precisely formulate, in terms of their cash ows, various types of single and cross-currency swaps and swaptions. We ...

A modi ed triangle based adaptive di erence stencil for the numerical approximation of scalar hyperbolic conservation laws in two space dimensions is constructed. The scheme satis es the maximum principle and approximates the ux with second order accuracy. 3

We compare two load balancing techniques for Cayley graphs based on information and load exchange between neighboring vertices. In the rst scheme, called natural di usion, each vertex gives (or receives) a xed part of the load di erence to (from) its direct neighbors. In the second scheme, called Cayley di usion, each vertex successively gives (or receives) a part of the load di erence to (or f...

In the last decades, fractional diierential equations have become more and more popular among scientists and daring engineers in order to model various stable physical phenomena with anomalous decay, say that are not of exponential type. Moreover in discrete-time series analysis, so-called fractional ARMA models have been proposed in the literature in order to model stochastic processes, the au...

We present benchmark simulations for the 8:1 di erentially heated cavity problem, the focus of a special session at the rst MIT conference on Computational Fluid and Solid Mechanics in June 2001. The numerical scheme is a fourth-order nite di erence method based on the vorticity-stream function formulation of the Boussinesq equations. The momentum equation is discretized by a compact scheme wit...

We analyse different sequential algorithms for the recovery of object shape from a single shading pattern generated under the assumption of a linear reflectance map. The algorithms are based on the finite difference approximation of the derivatives. They operate on a rectangular discrete image (or part of it) and use the height of the sought-after surface along a curve in the image (image bound...

The work of interval arithmetic was originally introduced by Dwyer [3] in 1951. The development of interval arithmetic as a formal system and evidence of its value as a computational device was provided by Moore [15] and Moore and Yang [16]. Furthermore, Moore and others [3]; [4]; [10] and [17] have developed applications to differential equations. Chiao in [2] introduced sequence of interval n...

The probability density for the solution yn of a stochastic di erence equation is considered. Following Knessl, Matkowsky, Schuss, and Tier [1] it is shown to satisfy a master equation, which is solved asymptotically for large values of the index n. The method is illustrated by deriving the large deviation results for a sum of independent identically distributed random variables and for the joi...

We present a multilevel high order ADI method for separable generalized Helmholtz equations. The discretization method we use is a 1-D fourth order compact nite di erence applied to each directional component of the Laplace operator, resulting a discrete system e ciently solvable by ADI methods. We apply this high order di erence scheme to all levels of grids, and then starting from the coarses...