Addison, J. A. and Howison, S. D. and King, J. R. (2006) Ray methods for free boundary problems. Quarterly of Applied Mathematics, 64 . pp. 41-59.
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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: | 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: | 20 Jul 2009 14:23 |
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