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arxiv: 2112.00949 · v2 · pith:EPZBUHNT · submitted 2021-12-02 · q-fin.PR · physics.chem-ph· q-fin.CP· q-fin.MF

Multilayer heat equations and their solutions via oscillating integral transforms

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classification q-fin.PR physics.chem-phq-fin.CPq-fin.MF
keywords multilayertransformsequationsfinanceheatintegraloscillatingprevious
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By expanding the Dirac delta function in terms of the eigenfunctions of the corresponding Sturm-Liouville problem, we construct some new (oscillating) integral transforms. These transforms are then used to solve various finance, physics, and mathematics problems, which could be characterized by the existence of a multilayer spatial structure and moving (time-dependent) boundaries (internal interfaces) between the layers. Thus, constructed solutions are semi-analytical and extend the authors' previous work (Itkin, Lipton, Muravey, Multilayer heat equations: application to finance, FMF, 1, 2021). However, our new method doesn't duplicate the previous one but provides alternative representations of the solution which have different properties and serve other purposes.

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