Equivalence and new exact solutions to the Black Scholes and diffusion equations.

Sukhomlin, Nikolay; Ortiz, Jan Marcos

Displaying similar documents to “Equivalence and new exact solutions to the Black Scholes and diffusion equations.”

Diffusion Limit of the Lorentz Model: Asymptotic Preserving Schemes

Christophe Buet, Stéphane Cordier, Brigitte Lucquin-Desreux, Simona Mancini (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

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This paper deals with the diffusion limit of a kinetic equation where the collisions are modeled by a Lorentz type operator. The main aim is to construct a discrete scheme to approximate this equation which gives for any value of the Knudsen number, and in particular at the diffusive limit, the right discrete diffusion equation with the same value of the diffusion coefficient as in the continuous case. We are also naturally interested with a discretization which can be used with few...

Information denoising and quantization by diffusion reaction model.

Belahmidi, Abdelmounim (2006)

APPS. Applied Sciences

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Diffusion of Zinc in Doped NaCl Crystals

Viera Paulíny-Tothová (1966)

Matematicko-fyzikálny časopis

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Saddle-shaped solutions of bistable diffusion equations in all of ℝ2m

Xavier Cabré, Joana Terra (2009)

Journal of the European Mathematical Society

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Fast optical tracking of diffusion in time-dependent environment of brain extracellular space

Hrabě, Jan

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An improved version of the Integrative Optical Imaging (IOI) method for diffusion measurements in a geometrically complex environment of the brain extracellular space has been developed. We present a theory for this Fast Optical Tracking Of Diffusion (FOTOD) which incorporates a time-dependent effective diffusion coefficient in homogeneous anisotropic media with time-dependent nonspecific linear clearance. FOTOD can be used to measure rapid changes in extracellular diffusion permeability...