Ray methods for free boundary problems

DOI10.1090/S0033-569X-06-00993-4zbMATH Open1117.35083OpenAlexW2115434847MaRDI QIDQ3429097FDOQ3429097

Authors: J. A. Addison, J. R. King, S. D. Howison 

Publication date: 30 March 2007

Published in: Quarterly of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0033-569x-06-00993-4

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zbMATH Keywords

approximationStefan problemray methodsBlack-Scholes problemWKB ansatz

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Multidimensional problems (41A63) Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Degenerate parabolic equations (35K65) Free boundary problems for PDEs (35R35) Asymptotic analysis for problems in thermodynamics and heat transfer (80M35)

Cites Work

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Cited In (5)

• On a free boundary problem for an American put option under the CEV process
• Asymptotics of barrier option pricing under the CEV process
• Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary
• Title not available (Why is that?)
• Matched asymptotic expansions in financial engineering

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