Special Session 118: Recent advances in mathematical finance

Multilayer heat equations and their solutions via oscillating integral transforms

Dmitry Muravey
ADIA
United Arab Emirates
Co-Author(s):    Andrey Itkin, Alexander Lipton
Abstract:
By using series expansion of the Dirac delta function into eigenfunctions of the corresponding Sturm-Liouville problem we construct some new (oscillating) integral transforms. These transforms are then used for solving various problems in finance, physics and mathematics which could be characterized by existence of a multilayer spatial structure and moving (time-dependent) boundaries (internal interfaces) between the layers. Thus constructed solutions are semi-analytical and extend previous work of the authors.