Numerical Methods in Computational Finance. Daniel J. Duffy

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alt="theta"/> 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:

StartLayout 1st Row italic d x equals left-parenthesis StartFraction partial-differential v Over partial-differential y EndFraction italic d u minus StartFraction partial-differential u Over partial-differential y EndFraction d v right-parenthesis slash upper J 2nd Row Blank 3rd Row italic d y equals left-parenthesis minus StartFraction partial-differential v Over partial-differential x EndFraction italic d u plus StartFraction partial-differential u Over partial-differential x EndFraction d v right-parenthesis slash upper J EndLayout

      where J is the Jacobian determinant defined by:

upper J equals Start 2 By 2 Determinant 1st Row 1st Column StartFraction partial-differential u Over partial-differential x EndFraction 2nd Column StartFraction partial-differential u Over partial-differential y EndFraction 2nd Row 1st Column StartFraction partial-differential v Over partial-differential x EndFraction 2nd Column StartFraction partial-differential v Over partial-differential y EndFraction EndDeterminant equals StartFraction partial-differential left-parenthesis u comma v right-parenthesis Over partial-differential left-parenthesis x comma y right-parenthesis EndFraction period

      We can thus conclude the following result.

      Theorem 1.1 The functions x equals upper F left-parenthesis u comma v right-parenthesis and y equals upper G left-parenthesis u comma v right-parenthesis exist if:

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