Addison, J. A. and Howison, S. D. and King, J. R. (2005) *Ray methods for Free Boundary Problems.* Quarterly of Applied Mathematics . (In Press)

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## 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 |
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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 |

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