MathGroup Archive: January 2004 [00254]

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Mathematica software for pde

To: mathgroup at smc.vnet.net
Subject: [mg45611] Mathematica software for pde
From: Mark Coleman <mark at markscoleman.com>
Date: Fri, 16 Jan 2004 06:05:31 -0500 (EST)
Sender: owner-wri-mathgroup at wolfram.com

Hi,

I'm searching for Mathematica code to solve 2 or 3-dimensional nonconstant
coefficient convection-diffusion pde's, with free boundary conditions
(these pde's are often used to model problems in quantitative finance
involving certain types of options securities). I have seen various
references to pde solvers written in Mathematica, but I have not done an
exhaustive search. I was hoping someone on MathGroup might be able to
point me in the right direction. Alternatively, if there are
established C or FORTRAN code libraries that I could compile and link
via MathLink, that would be very helpful as well.

Thanks.

Regards,

Mark

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