INSTITUTIONAL DIGITAL REPOSITORY

A parallel cyclic reduction algorithm for pentadiagonal systems with application to a convection-dominated heston pde

Show simple item record

dc.contributor.author Ghosh, A.
dc.contributor.author Mishra, C.
dc.date.accessioned 2021-07-29T20:36:06Z
dc.date.available 2021-07-29T20:36:06Z
dc.date.issued 2021-07-30
dc.identifier.uri http://localhost:8080/xmlui/handle/123456789/2274
dc.description.abstract Based on the parallel cyclic reduction technique, a promising new parallel algorithm is designed for pentadiagonal systems. Subject to fulfilling stability conditions, this highly parallelizable algorithm works very well for systems of any size. The solver is implemented on a graphics processing unit using the CUDA programming platform where it is empirically studied for its performance in comparison with some of the present-day prominent parallel solvers. The construction of the new algorithm is originally motivated by a real-world application in computational finance. Accordingly, it is employed successfully to numerically solve the convection-dominated Heston partial differential equation for pricing a financial option, and implementation of the full solver is discussed in detail. © 2021 Society for Industrial and Applied Mathematics Publications. All rights reserved. en_US
dc.language.iso en_US en_US
dc.subject Parallel Cyclic Reduction en_US
dc.subject convection-dominated PDE en_US
dc.subject GPU computing en_US
dc.subject HPC in Finance en_US
dc.subject ADI en_US
dc.title A parallel cyclic reduction algorithm for pentadiagonal systems with application to a convection-dominated heston pde en_US
dc.type Article en_US


Files in this item

This item appears in the following Collection(s)

Show simple item record

Search DSpace


Advanced Search

Browse

My Account