The Mathematical Institute, University of Oxford, Eprints Archive

Ray methods for Free Boundary Problems

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
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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