Solving the Heat Equation using Nonstandard Analysis

MaRDI QIDQ6250745zbMATH OpenFDO

Authors Tristram de Piro

Publication date 14 April 2014

Abstract: We use the nonstandard Fourier transform method, along with an established nonstandard approach to ODE's, to find a solution to the heat equation, on $(0,infty)imesmathcalR$, with a given boundary condition $g$ at $t=0$. We use this result to find an algorithm, converging to a solution of this equation, with applications to derivatives pricing in finance.

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