Download or read book Generalized Integral Transforms In Mathematical Finance written by Andrey Itkin and published by World Scientific. This book was released on 2021-10-12 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes several techniques, first invented in physics for solving problems of heat and mass transfer, and applies them to various problems of mathematical finance defined in domains with moving boundaries. These problems include: (a) semi-closed form pricing of options in the one-factor models with time-dependent barriers (Bachelier, Hull-White, CIR, CEV); (b) analyzing an interconnected banking system in the structural credit risk model with default contagion; (c) finding first hitting time density for a reducible diffusion process; (d) describing the exercise boundary of American options; (e) calculating default boundary for the structured default problem; (f) deriving a semi-closed form solution for optimal mean-reverting trading strategies; to mention but some.The main methods used in this book are generalized integral transforms and heat potentials. To find a semi-closed form solution, we need to solve a linear or nonlinear Volterra equation of the second kind and then represent the option price as a one-dimensional integral. Our analysis shows that these methods are computationally more efficient than the corresponding finite-difference methods for the backward or forward Kolmogorov PDEs (partial differential equations) while providing better accuracy and stability.We extend a large number of known results by either providing solutions on complementary or extended domains where the solution is not known yet or modifying these techniques and applying them to new types of equations, such as the Bessel process. The book contains several novel results broadly applicable in physics, mathematics, and engineering.

Download or read book Integral Transforms of Generalized Functions and Their Applications written by Ram Shankar Pathak and published by Routledge. This book was released on 2017-07-05 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: For those who have a background in advanced calculus, elementary topology and functional analysis - from applied mathematicians and engineers to physicists - researchers and graduate students alike - this work provides a comprehensive analysis of the many important integral transforms and renders particular attention to all of the technical aspects of the subject. The author presents the last two decades of research and includes important results from other works.

Download or read book Generalized Integral Transformations written by Armen H. Zemanian and published by . This book was released on 1968 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Integral Transforms of Generalized Functions written by Brychkov and published by CRC Press. This book was released on 1989-04-20 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: English translation (from revised and enlarged versions of the Russian editions of 1977 and 1984) of a reference work which makes available to engineers, physicists and applied mathematicians theoretical and tabular material pertaining to certain extensions of standard integral transform techniques. Diverse transforms are touched upon, but the emphasis (particularly in the tables) is on generalized Fourier and Laplace transforms. Some multi-dimensional results are presented. Expensive, but nicely produced, and redundant with nothing standard to the reference shelves of mathematical libraries. (NW) Annotation copyrighted by Book News, Inc., Portland, OR

Download or read book Integral Transformations Operational Calculus and Generalized Functions written by R.G. Buschman and published by Springer. This book was released on 2013-11-26 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is not the object of the author to present comprehensive cov erage of any particular integral transformation or of any particular development of generalized functions, for there are books available in which this is done. Rather, this consists more of an introductory survey in which various ideas are explored. The Laplace transforma tion is taken as the model type of an integral transformation and a number of its properties are developed; later, the Fourier transfor mation is introduced. The operational calculus of Mikusinski is pre sented as a method of introducing generalized functions associated with the Laplace transformation. The construction is analogous to the construction of the rational numbers from the integers. Further on, generalized functions associated with the problem of extension of the Fourier transformation are introduced. This construction is anal ogous to the construction of the reals from the rationals by means of Cauchy sequences. A chapter with sections on a variety of trans formations is adjoined. Necessary levels of sophistication start low in the first chapter, but they grow considerably in some sections of later chapters. Background needs are stated at the beginnings of each chapter. Many theorems are given without proofs, which seems appro priate for the goals in mind. A selection of references is included. Without showing many of the details of rigor it is hoped that a strong indication is given that a firm mathematical foundation does actu ally exist for such entities as the "Dirac delta-function".

Download or read book Applied Integral Transforms written by M. Ya. Antimirov and published by American Mathematical Soc.. This book was released on 2007 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constructs the kernels of integral transforms by solving the generalized Sturm-Liouville problems associated with the partial differential equations at hand. In the first part of the book, the authors construct the kernels and use them to solve elementary problems of mathematical physics. This part requires little mathematical background and provides an introduction to the subject of integral transforms as it proceeds mainly by examples and includes a variety of exercises. In the second part of the book, the method of integral transforms is used to solve modern applied problems in convective stability, temperature fields in oil strata, and eddy-current testing. The choice of topics reflects the authors' research experience and involvement in industrial applications. The first part of the book is accessible to undergraduates, while the second part is aimed at graduate students and researchers. Because of the applications, the book will interest engineers (especially petroleum engineers) and physicists.

Download or read book Handbook of Function and Generalized Function Transformations written by Ahmed I. Zayed and published by CRC Press. This book was released on 2019-08-21 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt: Function transformations, which include linear integral transformations, are some of the most important mathematical tools for solving problems in all areas of engineering and the physical sciences. They allow one to quickly solve a problem by breaking it down into a series of smaller, more manageable problems. The author has compiled the most important and widely used of these function transforms in applied mathematics and electrical engineering. In addition to classical transforms, newer transforms such as wavelets, Zak, and Radon are included. The book is neither a table of transforms nor a textbook, but it is a source book that provides quick and easy access to the most important properties and formulas of function and generalized function transformations. It is organized for convenient reference, with chapters broken down into the following sections:

Download or read book Integral Transforms in Computational Heat and Fluid Flow written by Renato Machado Cotta and published by CRC Press. This book was released on 2020-12-18 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: Integral Transforms in Computational Heat and Fluid Flow is a comprehensive volume that emphasizes the generalized integral transform technique (G.I.T.T.) and the developments that have made the technique a powerful computational tool of practical interest. The book progressively demonstrates the approach through increasingly difficult extensions and test problems. It begins with an overview of the generalized integral transform technique in contrast with classical analytical ideas. Various applications are presented throughout the book, including transient fin analysis with time-dependent surface dissipation, laminar forced convection inside externally finned tubes, metals oxidation at high temperatures, forced convection in liquid metals, and Navier-Stokes equations.

Download or read book Integral Transforms and their Applications written by B. Davies and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: In preparing this second edition I have restricted myself to making small corrections and changes to the first edition. Two chapters have had extensive changes made. First, the material of Sections 14.1 and 14.2 has been rewritten to make explicit reference to the book of Bleistein and Handelsman, which appeared after the original Chapter 14 had been written. Second, Chapter 21, on numerical methods, has been rewritten to take account of comparative work which was done by the author and Brian Martin, and published as a review paper. The material for all of these chapters was in fact, prepared for a transla tion of the book. Considerable thought has been given to a much more com prehensive revision and expansion of the book. In particular, there have been spectacular advances in the solution of some non-linear problems using isospectra1 methods, which may be re garded as a generalization of the Fourier transform. However, the subject is a large one, and even a modest introduction would have added substantially to the book. Moreover, the recent book by Dodd et al. is at a similar level to the present volume. Similarly, I have refrained from expanding the chapter on num erical methods into a complete new part of the book, since a specialized monograph on numerical methods is in preparation in collaboration with a colleague.

Download or read book Integral Transformations Operational Calculus and Their Applications written by Hari Mohan Srivastava and published by MDPI. This book was released on 2021-01-20 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume consists of a collection of 14 accepted submissions (including several invited feature articles) to the Special Issue of MDPI's journal Symmetry on the general subject area of integral transformations, operational calculus and their applications from many different parts around the world. The main objective of the Special Issue was to gather review, expository, and original research articles dealing with the state-of-the-art advances in integral transformations and operational calculus as well as their multidisciplinary applications, together with some relevance to the aspect of symmetry. Various families of fractional-order integrals and derivatives have been found to be remarkably important and fruitful, mainly due to their demonstrated applications in numerous diverse and widespread areas of mathematical, physical, chemical, engineering, and statistical sciences. Many of these fractional-order operators provide potentially useful tools for solving ordinary and partial differential equations, as well as integral, differintegral, and integro-differential equations; fractional-calculus analogues and extensions of each of these equations; and various other problems involving special functions of mathematical physics and applied mathematics, as well as their extensions and generalizations in one or more variables.

Download or read book Mortality written by Christopher Hitchens and published by Allen & Unwin. This book was released on 2012-09-01 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt: Courageous, insightful and candid thoughts on malady and mortality from one of our most celebrated writers.

Download or read book Generalized Integral Transformations written by Zemanian and published by . This book was released on 1987-05-01 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Integral Transforms and Their Applications written by Lokenath Debnath and published by CRC Press. This book was released on 2016-04-19 with total page 723 pages. Available in PDF, EPUB and Kindle. Book excerpt: Keeping the style, content, and focus that made the first edition a bestseller, Integral Transforms and their Applications, Second Edition stresses the development of analytical skills rather than the importance of more abstract formulation. The authors provide a working knowledge of the analytical methods required in pure and applied mathematics, physics, and engineering. The second edition includes many new applications, exercises, comments, and observations with some sections entirely rewritten. It contains more than 500 worked examples and exercises with answers as well as hints to selected exercises. The most significant changes in the second edition include: New chapters on fractional calculus and its applications to ordinary and partial differential equations, wavelets and wavelet transformations, and Radon transform Revised chapter on Fourier transforms, including new sections on Fourier transforms of generalized functions, Poissons summation formula, Gibbs phenomenon, and Heisenbergs uncertainty principle A wide variety of applications has been selected from areas of ordinary and partial differential equations, integral equations, fluid mechanics and elasticity, mathematical statistics, fractional ordinary and partial differential equations, and special functions A broad spectrum of exercises at the end of each chapter further develops analytical skills in the theory and applications of transform methods and a deeper insight into the subject A systematic mathematical treatment of the theory and method of integral transforms, the book provides a clear understanding of the subject and its varied applications in mathematics, applied mathematics, physical sciences, and engineering.

Download or read book The Hypergeometric Approach to Integral Transforms and Convolutions written by S.B. Yakubovich and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 335 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this book is to develop a new approach which we called the hyper geometric one to the theory of various integral transforms, convolutions, and their applications to solutions of integro-differential equations, operational calculus, and evaluation of integrals. We hope that this simple approach, which will be explained below, allows students, post graduates in mathematics, physicists and technicians, and serious mathematicians and researchers to find in this book new interesting results in the theory of integral transforms, special functions, and convolutions. The idea of this approach can be found in various papers of many authors, but systematic discussion and development is realized in this book for the first time. Let us explain briefly the basic points of this approach. As it is known, in the theory of special functions and its applications, the hypergeometric functions play the main role. Besides known elementary functions, this class includes the Gauss's, Bessel's, Kummer's, functions et c. In general case, the hypergeometric functions are defined as a linear combinations of the Mellin-Barnes integrals. These ques tions are extensively discussed in Chapter 1. Moreover, the Mellin-Barnes type integrals can be understood as an inversion Mellin transform from the quotient of products of Euler's gamma-functions. Thus we are led to the general construc tions like the Meijer's G-function and the Fox's H-function.

Download or read book Integral and Discrete Transforms with Applications and Error Analysis written by Abdul Jerri and published by CRC Press. This book was released on 2021-11-19 with total page 848 pages. Available in PDF, EPUB and Kindle. Book excerpt: This reference/text desribes the basic elements of the integral, finite, and discrete transforms - emphasizing their use for solving boundary and initial value problems as well as facilitating the representations of signals and systems.;Proceeding to the final solution in the same setting of Fourier analysis without interruption, Integral and Discrete Transforms with Applications and Error Analysis: presents the background of the FFT and explains how to choose the appropriate transform for solving a boundary value problem; discusses modelling of the basic partial differential equations, as well as the solutions in terms of the main special functions; considers the Laplace, Fourier, and Hankel transforms and their variations, offering a more logical continuation of the operational method; covers integral, discrete, and finite transforms and trigonometric Fourier and general orthogonal series expansion, providing an application to signal analysis and boundary-value problems; and examines the practical approximation of computing the resulting Fourier series or integral representation of the final solution and treats the errors incurred.;Containing many detailed examples and numerous end-of-chapter exercises of varying difficulty for each section with answers, Integral and Discrete Transforms with Applications and Error Analysis is a thorough reference for analysts; industrial and applied mathematicians; electrical, electronics, and other engineers; and physicists and an informative text for upper-level undergraduate and graduate students in these disciplines.

Download or read book GENERALIZED INTEGRAL TRANSFORMS OF DISTRIBUTIONS written by Dr. B. B. Waphare and published by Lulu Publication. This book was released on 2021-02-03 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: 1.1 Introduction In recent years, integral transforms have become essential working tools of every engineer and applied scientist. The Laplace transform, which undoubtedly is the most familiar example, is being suited to solving boundary value problems. The classical methods of solution of initial and boundary value problems in physics and engineering sciences have their roots in Fourier’s pioneering work. An alternative approach through integral transforms methods emerged primarily through Heaviside’s efforts on operational techniques. In addition to being of great theoretical interest to mathematicians, integral transform methods have been found to provide easy and effective ways of solving a variety of problems arising in engineering and physical science. The use of integral transforms is somewhat analogous to that of logarithms. That is, a problem involving multiplication or division can be reduced to one involving simple processes addition or subtraction by taking logarithms. For almost two centuries the method of function transformations has been used successfully in solving many problems in engineering, mathematical physics and applied mathematics. Function transformations include, but are not limited to the well-known technique of linear integral transformations. A function transformation simply means a mathematical operation through which a real or complex valued function f is transformed into an other F, or into a sequence of numbers, or more generally into a set of data. Since its birth in the 1780’s in the work of the great mathematician Laplace, on probability theory, the theory of function transformations has flourished and continues to do so. In the last few years, in particular, it has received a great impetus from the advent of wavelets. Not only is the wavelet transform an example of how practical function transformations can be, but it is also an example of a transformation that has gone beyond what it was designed to do as a technique. It has contributed to the development of modern mathematical analysis just as the Fourier transformation contributed to the advancement of classical analysis in the earliest years of the nineteenth century.

Download or read book Transform Analysis of Generalized Functions written by O.P. Misra and published by Elsevier. This book was released on 1986-01-01 with total page 347 pages. Available in PDF, EPUB and Kindle. Book excerpt: Transform Analysis of Generalized Functions concentrates on finite parts of integrals, generalized functions and distributions. It gives a unified treatment of the distributional setting with transform analysis, i.e. Fourier, Laplace, Stieltjes, Mellin, Hankel and Bessel Series. Included are accounts of applications of the theory of integral transforms in a distributional setting to the solution of problems arising in mathematical physics. Information on distributional solutions of differential, partial differential equations and integral equations is conveniently collected here. The volume will serve as introductory and reference material for those interested in analysis, applications, physics and engineering.