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beardgh
02-04-2010, 12:29 AM
hello ,veryone!
Can we solve the PDE using IMSL C#,there are examples do?

ed
02-04-2010, 05:33 AM
There are two ODE classes in the IMSL C# Library (OdeAdamsGear (http://www.vni.com/products/imsl/cSharp/imslcs600/manual/WordDocuments/api/Imsl.Math.OdeAdamsGear.html) and OdeRungeKutta (http://www.vni.com/products/imsl/cSharp/imslcs600/manual/WordDocuments/api/Imsl.Math.OdeRungeKutta.html)) but we don't have any general PDE solvers. However, we do have the FeynmanKac (http://www.vni.com/products/imsl/cSharp/imslcs600/manual/WordDocuments/api/Imsl.Math.FeynmanKac.html) class, which solves the Feynman-Kac PDE.

The Feynman-Kac PDE is of the form:
http://www.vni.com/products/imsl/cSharp/imslcs600/manual/WordDocuments/api/eqn/eqn_1123.png