The fundamental solution, u , is the solution of the diffusion equation on x and 0 with u(x, 0) (x) Use this solution to solve the more general problem with u(x, 0) u 0 (x) a u ne ax2 on oo 0,...

To solve the problem using the fundamental solution we can express the solution ux t as a convolutio ...

The fundamental solution, u , is the solution of the diffusion equation on < x <

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The fundamental solution, u_δ , is the solution of the diffusion equation on−∞ < x < ∞ and τ > 0 with u(x, 0) = δ(x). Use this solution to solve the more general problem:

a?u ne ax2 on - oo 0,

with u(x, 0) = u₀(x).

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Introduces Quantitative Finance

ISBN: 978-0470319581

2nd edition

Authors: Paul Wilmott

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Question Posted: Sep 23, 2020 05:56 AM

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The fundamental solution, u , is the solution of the diffusion equation on < x <

Question:

a?u ne ax2 on - oo 0,

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To solve the problem using the fundamental solution we can express the solution ux t as a convolutio...View the full answer

Introduces Quantitative Finance

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