THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM

DOI10.1093/QJMAM/36.4.487MaRDI QIDQ3673283zbMATH OpenOpenAlexFDO

Authors L. N. Tao

Publication date 1983

Published in The Quarterly Journal of Mechanics and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/qjmam/36.4.487

zbMATH Keywords

analyticity of interfacial boundaryarbitrarily prescribed initial conditionsat freezing pointCauchy-Stefan problemconvergenceexact solutionsexistencefour different casesgeneral solutionimmediate solidification with surface temperature below freezing pointinitial conditions expressed in series of fractional powers of space variablelate solidification preceded by presolidification periodno solidification whatsoeversolidification problemtemperature solutionstwo semi-infinite materialsuniqueness

Mathematics Subject Classification ID

Series solutions to PDEs (35C10) Heat equation (35K05) Free boundary problems for PDEs (35R35) Thermodynamics in solid mechanics (74A15)

Cited in

(12)

• Multiscale analysis of a perpetual American option with the stochastic elasticity of variance
• A closed-form analytic correction to the Black-Scholes-Merton price for perpetual American options
• SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
• Investment timing under hybrid stochastic and local volatility
• A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility
• A spectral-collocation method for pricing perpetual American puts with stochastic volatility
• An exact and explicit solution for the valuation of American put options
• Pricing perpetual American options under a stochastic-volatility model with fast mean reversion
• Pricing American lookback options under a stochastic volatility model
• Analytic approximations for pricing perpetual American strangle options under constant elasticity of variance model with stochastic volatility
• Pricing for perpetual American strangle options under stochastic volatility with fast mean reversion
• Pricing perpetual American options under multiscale stochastic elasticity of variance

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