An Asymptotic Expansion for Solutions of Cauchy-Dirichlet Problem for Second Order Parabolic PDEs and its Application to Pricing Barrier Options

2012 ◽  
Author(s):  
Takashi Kato ◽  
Akihiko Takahashi ◽  
Toshihiro Yamada
Keyword(s):  
Asymptotic Expansion ◽  
Dirichlet Problem ◽  
Second Order ◽  
Barrier Options ◽  
Parabolic Pdes

A property of the asymptotic series for a class of Titchmarsh–Weyl m-functions

1986 ◽  
Vol 102 (3-4) ◽  
pp. 253-257 ◽  
Author(s):  
B. J. Harris
Keyword(s):  
Differential Equation ◽  
Asymptotic Expansion ◽  
Linear Differential Equation ◽  
Asymptotic Series ◽  
Second Order ◽  
Order Linear Differential Equation ◽  
Order Linear ◽  
The Real ◽  
Linear Differential ◽  
Image Position

SynopsisIn an earlier paper [6] we showed that if q ϵ CN[0, ε) for some ε > 0, then the Titchmarsh–Weyl m(λ) function associated with the second order linear differential equationhas the asymptotic expansionas |A| →∞ in a sector of the form 0 < δ < arg λ < π – δ.We show that if the real valued function q admits the expansionin a neighbourhood of 0, then

One method for the boundary value problem eigenvalues calcuating for a second-order differential equation with a fractional derivative

2019 ◽  
Vol 10 (01) ◽  
pp. 1941004
Author(s):  
Temirkhan Aleroev ◽  
Hedi Aleroeva ◽  
Lyudmila Kirianova
Keyword(s):  
Differential Equation ◽  
Perturbation Theory ◽  
Dirichlet Problem ◽  
Boundary Value Problem ◽  
Fractional Derivative ◽  
Fractional Derivatives ◽  
Order Differential Equation ◽  
Boundary Value ◽  
Second Order ◽  
Linear Operators

In this paper, we give a formula for computing the eigenvalues of the Dirichlet problem for a differential equation of second-order with fractional derivatives in the lower terms. We obtained this formula using the perturbation theory for linear operators. Using this formula we can write out the system of eigenvalues for the problem under consideration.

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