منابع مشابه
The Method of Fundamental Solutions with Eigenfunction Expansion Method for Nonhomogeneous Diffusion Equation
In this article we describe a numerical method to solve a nonhomogeneous diffusion equation with arbitrary geometry by combining the method of fundamental solutions (MFS), the method of particular solutions (MPS), and the eigenfunction expansion method (EEM). This forms a meshless numerical scheme of the MFS-MPS-EEM model to solve nonhomogeneous diffusion equations with time-independent source ...
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This paper develops an eigenfunction expansion approach to pricing options on scalar diffusion processes. All derivative securities are unbundled into portfolios of primitive securities termed eigensecurities. Eigensecurities are eigenvectors of the pricing operator (present value operator). Pricing is then immediate by the linearity property of the pricing operator and the eigenvector property...
متن کاملCalculation of Coherent Wiggler Radiation Using Eigenfunction Expansion Method
An analytic method originated by Y. H. Chin was extended to calculate the electromagnetic fields and the longitudinal impedance due to coherent wiggler radiation (CWR) in a rectangular chamber. The method used dyadic Green functions based on eigenfunction expansion method in electromagnetic theory and was rigorous for the case of straight chamber. We re-derived the theory and did find the full ...
متن کاملEigenfunction Expansion Based Galerkin Approaches for Stochastic Finite Element Analysis
A novel approach is suggested to compute the response of discretized stochastic elliptic partial differential equations by utilising the stochastic finite element analysis method. The mathematical form of the approach is established by projecting random scalars onto a random basis. By implementing an eigendecomposition of a system’s stiffness matrix, the random scalars and random basis are comp...
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We propose an efficient method to evaluate callable and putable bonds under a wide class of interest rate models, including the popular short rate diffusion models, as well as their time changed versions with jumps. The method is based on the eigenfunction expansion of the pricing operator. Given the set of call and put dates, the callable and putable bond pricing function is the value function...
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ژورنال
عنوان ژورنال: Transactions of the American Mathematical Society
سال: 1965
ISSN: 0002-9947
DOI: 10.1090/s0002-9947-1965-0181793-1