A Parallel Cyclic Reduction Algorithm for Pentadiagonal Systems with Application to a Convection-Dominated Heston PDE
DOI10.1137/20M1311053OpenAlexW3159846083MaRDI QIDQ4997346
Abhijit Ghosh, Chittaranjan Mishra
Publication date: 29 June 2021
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/20m1311053
ADIGPU computingparallel cyclic reductionconvection-dominated PDEhigh performance computing in finance
Numerical methods (including Monte Carlo methods) (91G60) Parallel algorithms in computer science (68W10) Parallel numerical computation (65Y05) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)
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Cites Work
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