Related papers: Laplace transformation method for the Black-Schole…
This paper examines solutions to the Laplace equation using analytical techniques, including separation of variables and the Poisson integral formula, and probabilistic methods, such as Brownian motion. We address applications to imaging,…
The Laplace transform method for solving of a wide class of initial value problems for fractional differential equations is introduced. The method is based on the Laplace transform of the Mittag-Leffler function in two parameters. To extend…
We present the spline-interpolation approximate solution of the Dirichlet problem for the Laplace equation in the bodies of revolution, cones and cylinders. Our method is based on reduction of the 3D problem to the sequence of 2D Dirichlet…
The problem of solution transfer between meshes arises frequently in computational physics, e.g. in Lagrangian methods where remeshing occurs. The interpolation process must be conservative, i.e. it must conserve physical properties, such…
A generalized Black-Scholes equation is considered on the semi-axis. It is transformed on the interval (0,1) in order to make the computational domain finite. The new parabolic operator degenerates at the both ends of the interval and we…
Optimization is a critical tool for addressing a broad range of human and technical problems. However, the paradox of advanced optimization techniques is that they have maximum utility for problems in which the relationship between the…
We discuss several aspects of Mellin transform, including distributional Mellin transform and inversion of multiple Mellin-Barnes integrals in $\mathbb{C}^n$ and its connection to residue expansion or evaluation of Laplace integrals. These…
In this paper, we study the Dirichlet problem for Laplace's equation in an open disk. The uniqueness of solutions is ensured by the well-known weak maximum principle. We introduce a novel approach to demonstrate the existence of a solution…
In this paper we discuss a projection model order reduction (MOR) method for a class of parametric linear evolution PDEs, which is based on the application of the Laplace transform. The main advantage of this approach consists in the fact…
The author presents alternatives to the Black-Scholes european call option pricing model by incorporating different transaction cost structures in the replicating strategy. In particular, an exponentially decreasing structure is proposed…
The 1993 Laplace transform approach of Geman and Yor is a celebrated advance in valuing Asian options. Its insights are fundamental from both a mathematical and a financial perspective. In this paper, we discuss two observations regarding…
In this work, we present a semi-numerical solution of a fractal telegraphic dual-porosity fluid flow model. It combines Laplace transform and finite difference schemes. The Laplace transform handles the time variable whereas the finite…
In this work we present a generalized Laplace method for a formal, simple, quasi-classical, determination of the outer and inner horizon radius of Kerr-Newman black hole. We consider classical gravitational interaction between a thin, with…
The Black-Scholes model (sometimes known as the Black-Scholes-Merton model) gives a theoretical estimate for the price of European options. The price evolution under this model is described by the Black-Scholes formula, one of the most…
We study approximations to the Moreau envelope -- and infimal convolutions more broadly -- based on Laplace's method, a classical tool in analysis which ties certain integrals to suprema of their integrands. We believe the connection…
Using the option delta systematically, we derive tighter lower and upper bounds of the Black-Scholes implied volatility than those in Tehranchi [SIAM J. Financ. Math. 7 (2016), 893-916]. As an application, we propose a Newton-Raphson…
In this paper we study the inverse Laplace transform. We first derive a new global logarithmic stability estimate that shows that the inversion is severely ill-posed. Then we propose a regularization method to compute the inverse Laplace…
A new algorithm for solving large-scale convex optimization problems with a separable objective function is proposed. The basic idea is to combine three techniques: Lagrangian dual decomposition, excessive gap and smoothing. The main…
We present a simple and effective method for evaluating double-and single-layer potentials for Laplace's equation in three dimensions close to the boundary. The close evaluation of these layer potentials is challenging because they are…
An estimation method is proposed for a wide variety of discrete time stochastic processes that have an intractable likelihood function but are otherwise conveniently specified by an integral transform such as the characteristic function,…