F-Transform Based Numerical Solution Of Partial Differential Equations

PROCEEDINGS OF THE 20TH CZECH-JAPAN SEMINAR ON DATA ANALYSIS AND DECISION MAKING UNDER UNCERTAINTY(2017)

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摘要
In this paper, we propose a numerical method based on the F-transform for solving a certain type of partial differential equations (PDEs) with homogeneous Dirichlet boundary conditions and initial conditions. We show how the PDEs, after the application of the Crank-Nicolson scheme for time discretization, can be approximated by a system of linear equations with the direct F-transform components as their variables. The numerical solution of PDEs is obtained by solving the system of linear equations and the application of the inverse F-transform. The proposed method is then adjusted to the three-dimensional boundary value problem.
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关键词
Partial differential equations, multivariate F-transform, Black-Scholes equation, Financial modeling
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