Multilayer heat equations and their solutions via oscillating integral transforms
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DOI: 10.1016/j.physa.2022.127544
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References listed on IDEAS
- Carr, Elliot J. & March, Nathan G., 2018. "Semi-analytical solution of multilayer diffusion problems with time-varying boundary conditions and general interface conditions," Applied Mathematics and Computation, Elsevier, vol. 333(C), pages 286-303.
- A. Itkin & A. Lipton & D. Muravey, 2021. "Multilayer heat equations: application to finance," Papers 2102.08338, arXiv.org.
- Andrey Itkin & Alexander Lipton & Dmitry Muravey, 2021. "Generalized Integral Transforms in Mathematical Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 12147, October.
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Cited by:
- Andrey Itkin, 2023. "Semi-analytic pricing of American options in time-dependent jump-diffusion models with exponential jumps," Papers 2308.08760, arXiv.org, revised Feb 2024.
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Keywords
Multilayer diffusion; Oscillating integral transforms; Time-dependent models; Time-dependent boundaries; Semi-analytical solution; Applications to finance and physics;All these keywords.
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