MATH 590FFinite Difference Method PDE

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The finite difference method is one of the most widely used numerical methods for solving differential equations. In this course, we will learn how to solve boundary value and initial value problems using this method, the theory behind it, its computer implementation, and its applications in various fields such as computational fluid dynamics, computational biology, computational finance, and image processing. Iterative methods for the large-scale linear systems arising from the finite difference method will also be discussed. Prerequisite: A grade of C or better in Math 445 or Math 446, or consent of instructor.