Addison, J. A. and Howison, S. D. and King, J. R. (2005) Ray methods for Free Boundary Problems. Quarterly of Applied Mathematics . (In Press)
![[img]](/style/images/fileicons/application_pdf.png)
| PDF 243Kb |
Abstract
We discuss the use of the WKB ansatz in a variety of parabolic problems involving a small parameter. We analyse the Stefan problem for small latent heat, the Black--Scholes problem for an American put option, and some nonlinear diffusion equations, in each case constructing an asymptotic solution by the use of ray methods.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Stefan problem, American option, nonlinear diffusion, WKB method, ray method |
| Subjects: | O - Z > Partial differential equations A - C > Approximations and expansions D - G > Game theory, mathematical finance, economics, social and behavioral sciences |
| Research Groups: | Oxford Centre for Industrial and Applied Mathematics |
| ID Code: | 179 |
| Deposited By: | Sam Howison |
| Deposited On: | 26 May 2005 |
| Last Modified: | 20 Jul 2009 14:19 |
Repository Staff Only: item control page
