scholarly journals Existence of a fundamental solution of partial differential equations associated to Asian options

2021 ◽  
Vol 62 ◽  
pp. 103373
Author(s):  
Francesca Anceschi ◽  
Silvia Muzzioli ◽  
Sergio Polidoro
2014 ◽  
Vol 69 (12) ◽  
pp. 725-732 ◽  
Author(s):  
Andrew G. Johnpillai ◽  
Fazal M. Mahomed ◽  
Saeid Abbasbandy

AbstractWe firstly show how one can use the invariant criteria for a scalar linear (1+1) parabolic partial differential equations to perform reduction under equivalence transformations to the first Lie canonical form for a class of brain tumor models. Fundamental solution for the underlying class of models via these transformations is thereby found by making use of the well-known fundamental solution of the classical heat equation. The closed-form solution of the Cauchy initial value problem of the model equations is then obtained as well. We also demonstrate the utility of the invariant method for the extended form of the class of brain tumor models and find in a simple and elegant way the possible forms of the arbitrary functions appearing in the extended class of partial differential equations. We also derive the equivalence transformations which completely classify the underlying extended class of partial differential equations into the Lie canonical forms. Examples are provided as illustration of the results.


2019 ◽  
Vol 15 (2) ◽  
pp. 317-336 ◽  
Author(s):  
Tarun Kansal

PurposeThe purpose of this paper to construct the fundamental solution of partial differential equations in the generalized theory of thermoelastic diffusion materials with double porosity.Design/methodology/approachThe paper deals with the study of pseudo oscillations in the generalized theory of thermoelastic diffusion materials with double porosity.FindingsThe paper finds the fundamental solution of partial differential equations in terms of elementary functions.Originality/valueAssuming the displacement vector, volume fraction fields, temperature change and chemical potential functions in terms of oscillation frequency in the governing equations, pseudo oscillations have been studied and finally the fundamental solution of partial differential equations in case of pseudo oscillations in terms of elementary functions has been constructed.


2001 ◽  
Vol 11 (03) ◽  
pp. 475-497 ◽  
Author(s):  
E. BARUCCI ◽  
S. POLIDORO ◽  
V. VESPRI

We analyze partial differential equations arising in the evaluation of Asian options. The equations are strongly degenerate partial differential equations in three dimensions. We show that the solution of the no-arbitrage partial differential equation is sufficiently regular and standard numerical methods can be employed to approximate it.


All the algebraically special, wave-like solutions of Einstein’s equations so far discovered admit hypersurface-orthogonal propagation vectors. Little is known about metrics with curling propagation vectors. Even in electrodynamics, few solutions of this type have been exhibited. This note presents a method of constructing classes of new solutions to linear, special relativistic partial differential equations. In particular, the method may be used to produce null, curling solutions of Maxwell’s and linearized Einstein’s equations. It consists in a generalization of a procedure used by Synge to obtain regular wave-packets from the fundamental solution ( t 2 - x 2 - y 2 - z 2 ) -1 (Synge 1960 a, b )


2020 ◽  
Author(s):  
Bianca Kretz ◽  
Willi Freeden ◽  
Volker Michel

<p>The aspect of poroelasticity is anywhere interesting where a solid material and a fluid come into play and have an effect on each other. This is the case in many applications and we want to focus on geothermics. It is useful to consider this aspect since the replacement of the water in the reservoir below the Earth's surface has an effect on the sorrounding material and vice versa. The underlying physical processes can be described by partial differential equations, called the quasistatic equations of poroelasticity (QEP). From a mathematical point of view, we have a set of three (for two space and one time dimension) partial differential equations with the unknowns u (displacement) and p (pore pressure) depending on the space and the time.</p><p>Our aim is to do a decomposition of the data given for u and p in order that we can see underlying structures in the different decomposition scales that cannot be seen in the whole data.<br>For this process, we need the fundamental solution tensor of the QEP (cf. [1],[5]).<br>That means we assume that we have given data for u and p (they can be obtained for example by a method of fundamental solutions, cf. [1]) and want to investigate a post-processing method to these data. Here we follow the basic approaches for the Laplace-, Helmholtz- and d'Alembert equation (cf. [2],[4],[6]) and the  Cauchy-Navier equation as a tensor-valued ansatz (cf. [3]). That means we want to modify our elements of the fundamental solution tensor in such a way that we smooth the singularity concerning a parameter set τ=(τ<sub>x</sub>,τ<sub>t</sub>). <br>With the help of these modified functions, we construct scaling functions which have to fulfil the properties of an approximate identity.<br>They are convolved with the given data to extract more details of u and p.</p><p><strong>References</strong></p><p>[1] M. Augustin: A method of fundamental solutions in poroelasticity to model the stress field in geothermal reservoirs, PhD Thesis, University of Kaiserslautern, 2015, Birkhäuser, New York, 2015.<br>[2] C. Blick, Multiscale potential methods in geothermal research: decorrelation reflected post-processing and locally based inversion, PhD Thesis, Geomathematics Group, Department of Mathematics, University of Kaiserslautern, 2015.<br>[3] C. Blick, S. Eberle, Multiscale density decorrelation by Cauchy-Navier wavelets, Int. J. Geomath. 10, 2019, article 24.<br>[4] C. Blick, W. Freeden, H. Nutz: Feature extraction of geological signatures by multiscale gravimetry. Int. J. Geomath. 8: 57-83, 2017.<br>[5] A.H.D. Cheng and E. Detournay: On singular integral equations and fundamental solutions of poroelasticity. Int. J. Solid. Struct. 35, 4521-4555, 1998.<br>[6] W. Freeden, C. Blick: Signal decorrelation by means of multiscale methods, World of Mining, 65(5):304-317, 2013.<br><br></p>


2007 ◽  
Vol 18 (3) ◽  
pp. 323-335 ◽  
Author(s):  
MERAB SVANADZE ◽  
GERARDO IOVANE

In this article the linear theory of thermoviscoelastic mixtures is considered. The fundamental solution of the system of linear-coupled partial differential equations of steady oscillations (steady vibrations) of the theory of thermoviscoelastic mixtures is constructed in terms of elementary functions and basic properties are established.


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