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 ...
The complex-step method is a clever way of obtaining a numerical approximation to the first derivative of a function, avoiding the round-off error that plagues ...
An error analysis of approximation of deltas (derivatives of the solution to the Cauchy problem for parabolic equations) by finite differences is given, taking into ...
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