Explicit solutions of the \(G\)-heat equation for a class of initial conditions (Q714486)

The \(G\)-heat equation \[ {\partial u\over\partial t}-{1\over 2}\Biggl(\Biggl({\partial^2 u\over\partial x^2}\Biggr)^+- \sigma^2\Biggl({\partial^2u\over\partial x^2}\Biggr)^-\Biggr)= 0,\quad u(0,x)= x^{2n+1}\tag{1} \] is considered. The author proves the relation between the solution of (1) and the solution of the ordinary differential equation \[ (y'')^+- \sigma^2(y'')^-+ xy'- (2n+ 1)\,y= 0, \] \[ \lim_{t\to 0^+} t^{n+{1\over 2}} y\Biggl({x\over\sqrt{t}}\Biggr)= x^{2n+1}.\tag{2} \] He gives the form of the solution of this ordinary equation (2). The results are applied in mathematical finance.