Numerical Methods in Computational Finance. Daniel J. Duffy. Читать онлайн. Newlib. NEWLIB.NET

Автор: Daniel J. Duffy
Издательство: John Wiley & Sons Limited
Серия:
Жанр произведения: Ценные бумаги, инвестиции
Год издания: 0
isbn: 9781119719724
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rel="nofollow" href="#ulink_2f0c603b-366c-552e-bc31-ed9ca6848c96">(1.11)

      We now wish to transform this equation into an equation in a circular region defined by the polar coordinates:

      The derivative in r is given by:

      and you can check that the derivative with respect to

is:

      hence:

      and:

      Thus, the original heat equation in Cartesian coordinates is transformed to a PDE of convection-diffusion type in polar coordinates.

      We can find a solution to this problem using the Separation of Variables method, for example.

      Some problems use functions of two variables that are written in the implicit form:

      In this case we have an implicit relationship between the variables x and y. We assume that y is a function of x. The basic result for the differentiation of this implicit function is:

      (1.12a)

      or:

      (1.12b)

      We now use this result by posing the following problem. Consider the transformation:

      and suppose we wish to transform back:

      To this end, we examine the following differentials: