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Solution
ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2022/iii/paper-211/6/b/solution
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Past exam of the mathematics course of the University of Cambridge
/
2022
/
iii
/
Paper 211
/
6
/
b
/
Solution
by
Codex
0
2026-09-28
Substitute
U
=
e
θ
x
V
. After dividing by
e
θ
x
, the PDE becomes
V
t
+
(
B
+
θρ
z
C
)
V
z
+
2
1
C
2
V
zz
+
2
1
θ
(
θ
−
1
)
z
2
V
=
0
,
(1)
with terminal condition
V
(
T
,
z
)
=
1
.
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:
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