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Laplace transform identities for diffusions, with applications to rebates and barrier options

Hardy Hulley, Eckhard Platen (2008)

Banach Center Publications

We start with a general time-homogeneous scalar diffusion whose state space is an interval I ⊆ ℝ. If it is started at x ∈ I, then we consider the problem of imposing upper and/or lower boundary conditions at two points a,b ∈ I, where a < x < b. Using a simple integral identity, we derive general expressions for the Laplace transform of the transition density of the process, if killing or reflecting boundaries are specified. We also obtain a number of useful expressions for the Laplace transforms...

Laplace ultradistributions supported by a cone

Sławomir Michalik (2010)

Banach Center Publications

The space of Laplace ultradistributions supported by a convex proper cone is introduced. The Seeley type extension theorem for ultradifferentiable functions is proved. The Paley-Wiener-Schwartz type theorem for Laplace ultradistributions is shown. As an application, the structure theorem and the kernel theorem for this space of ultradistributions are given.

Low-rank tensor representation of Slater-type and Hydrogen-like orbitals

Martin Mrovec (2017)

Applications of Mathematics

The paper focuses on a low-rank tensor structured representation of Slater-type and Hydrogen-like orbital basis functions that can be used in electronic structure calculations. Standard packages use the Gaussian-type basis functions which allow us to analytically evaluate the necessary integrals. Slater-type and Hydrogen-like orbital functions are physically more appropriate, but they are not analytically integrable. A numerical integration is too expensive when using the standard discretization...

On an integral transform by R. S. Phillips

Sten Bjon (2010)

Open Mathematics

The properties of a transformation f ↦ f ˜ h by R.S. Phillips, which transforms an exponentially bounded C 0-semigroup of operators T(t) to a Yosida approximation depending on h, are studied. The set of exponentially bounded, continuous functions f: [0, ∞[→ E with values in a sequentially complete L c-embedded space E is closed under the transformation. It is shown that ( f ˜ h ) k ˜ = f ˜ h + k for certain complex h and k, and that f ( t ) = lim h → 0 + f ˜ h ( t ) , where the limit is uniform in t on compact subsets of the positive real line. If f is Hölder-continuous...

Currently displaying 81 – 100 of 185