On some potential applications of the heat equation with a repulsive point interaction to derivative pricing
In this note we first investigate in detail the “heat equation” with the free Laplacian replaced by the one with a repulsive point interaction centred at the origin in the case where the initial condition is given by any function proportional to e^x/2 χ(−∞,0](x). The solution is expressed in terms...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Sapienza Università Editrice
2011-01-01
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| Series: | Rendiconti di Matematica e delle Sue Applicazioni |
| Subjects: | |
| Online Access: | https://www1.mat.uniroma1.it/ricerca/rendiconti/ARCHIVIO/2011(1-2)/35-52.pdf |