Addison, J. A. and Howison, S. D. and King, J. R. (2006) Ray methods for free boundary problems. Quarterly of Applied Mathematics, 64 . pp. 4159.

PDF
249kB 
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:  Ray methods, free boundary problems, nonlinear diffusion, american option 
Subjects:  O  Z > Partial differential equations D  G > Game theory, mathematical finance, economics, social and behavioral sciences 
Research Groups:  Oxford Centre for Industrial and Applied Mathematics 
ID Code:  667 
Deposited By:  Sam Howison 
Deposited On:  12 Nov 2007 
Last Modified:  29 May 2015 18:26 
Repository Staff Only: item control page