We propose a hybrid spatial finite-difference/pseudospectral discretization for European option-pricing problems under the Heston and Heston–Hull–White models. In ...

Finite difference methods have become a cornerstone in the simulation of seismic wave propagation, providing a robust numerical framework to approximate the differential equations that govern seismic ...

SIAM Journal on Numerical Analysis, Vol. 49, No. 1/2 (2011), pp. 845-868 (24 pages) We bound the difference between the solution to the continuous Rudin—Osher—Fatemi (ROF) image smoothing model and ...

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We consider the application of finite-difference methods to the numerical solution of boundary-value problems. In particular we are concerned to study the feasibility and convergence of the difference ...

Developed a CUDA version of the FDTD method and achieved a speedup 40x. Implemented on a NVIDIA Quadro FX 3800 GPU, which has 192 SPs, 1GB global memory, and a memory bandwidth of 51.2 GB/s.