6.9 D03 Partial Differential Equations

d03 - Partial Differential Equations

d03 Chapter Introduction

Routine Name Mark of Introduction Purpose
d03ncc 7 nag_pde_bs_1d
Finite difference solution of the Black-Scholes equations
d03ndc 7 nag_pde_bs_1d_analytic
Analytic solution of the Black-Scholes equations
d03nec 7 nag_pde_bs_1d_means
Compute average values for nag_pde_bs_1d_analytic (d03ndc)
d03pcc 7 nag_pde_parab_1d_fd
General system of parabolic PDEs, method of lines, finite differences, one space variable
d03pdc 7 nag_pde_parab_1d_coll
General system of parabolic PDEs, method of lines, Chebyshev C0 collocation, one space variable
d03pec 7 nag_pde_parab_1d_keller
General system of first-order PDEs, method of lines, Keller box discretisation, one space variable
d03pfc 7 nag_pde_parab_1d_cd
General system of convection-diffusion PDEs with source terms in conservative form, method of lines, upwind scheme using numerical flux function based on Riemann solver, one space variable
d03phc 7 nag_pde_parab_1d_fd_ode
General system of parabolic PDEs, coupled DAEs, method of lines, finite differences, one space variable
d03pjc 7 nag_pde_parab_1d_coll_ode
General system of parabolic PDEs, coupled DAEs, method of lines, Chebyshev C0 collocation, one space variable
d03pkc 7 nag_pde_parab_1d_keller_ode
General system of first-order PDEs, coupled DAEs, method of lines, Keller box discretisation, one space variable
d03plc 7 nag_pde_parab_1d_cd_ode
General system of convection-diffusion PDEs with source terms in conservative form, coupled DAEs, method of lines, upwind scheme using numerical flux function based on Riemann solver, one space variable
d03ppc 7 nag_pde_parab_1d_fd_ode_remesh
General system of parabolic PDEs, coupled DAEs, method of lines, finite differences, remeshing, one space variable
d03prc 7 nag_pde_parab_1d_keller_ode_remesh
General system of first-order PDEs, coupled DAEs, method of lines, Keller box discretisation, remeshing, one space variable
d03psc 7 nag_pde_parab_1d_cd_ode_remesh
General system of convection-diffusion PDEs, coupled DAEs, method of lines, upwind scheme, remeshing, one space variable
d03puc 7 nag_pde_parab_1d_euler_roe
Roe's approximate Riemann solver for Euler equations in conservative form, for use with nag_pde_parab_1d_cd (d03pfc), nag_pde_parab_1d_cd_ode (d03plc) and nag_pde_parab_1d_cd_ode_remesh (d03psc)
d03pvc 7 nag_pde_parab_1d_euler_osher
Osher's approximate Riemann solver for Euler equations in conservative form, for use with nag_pde_parab_1d_cd (d03pfc), nag_pde_parab_1d_cd_ode (d03plc) and nag_pde_parab_1d_cd_ode_remesh (d03psc)
d03pwc 7 nag_pde_parab_1d_euler_hll
Modified HLL Riemann solver for Euler equations in conservative form, for use with nag_pde_parab_1d_cd (d03pfc), nag_pde_parab_1d_cd_ode (d03plc) and nag_pde_parab_1d_cd_ode_remesh (d03psc)
d03pxc 7 nag_pde_parab_1d_euler_exact
Exact Riemann Solver for Euler equations in conservative form, for use with nag_pde_parab_1d_cd (d03pfc), nag_pde_parab_1d_cd_ode (d03plc) and nag_pde_parab_1d_cd_ode_remesh (d03psc)]
d03pyc 7 nag_pde_interp_1d_coll
PDEs, spatial interpolation with nag_pde_parab_1d_coll (d03pdc) or nag_pde_parab_1d_coll_ode (d03pjc)
d03pzc 7 nag_pde_interp_1d_fd
PDEs, spatial interpolation with nag_pde_parab_1d_fd (d03pcc), nag_pde_parab_1d_keller (d03pec), nag_pde_parab_1d_cd (d03pfc), nag_pde_parab_1d_fd_ode (d03phc), nag_pde_parab_1d_keller_ode (d03pkc), nag_pde_parab_1d_cd_ode (d03plc), nag_pde_parab_1d_fd_ode_remesh (d03ppc), nag_pde_parab_1d_keller_ode_remesh (d03prc) or nag_pde_parab_1d_cd_ode_remesh (d03psc)