Optimality of the change-of-variable y = f(x) used to transform the boundary at infinity
Ascertain whether the specific change of variables y = f(x), with f^{-1}(·) = ∫_{·}^{∞} dη/σ(η) as defined in equation (3.5), is optimal for numerically solving the alternative Cauchy problem (2.5) by transforming the boundary at infinity to zero, and, if not, characterize preferable transformations in terms of numerical performance (e.g., truncation error reduction and coefficient regularity).
References
Whether the choice of f is optimal is not clear, and f is not necessarily obtained from σ in an explicit form.
— Boundary conditions at infinity for Black-Scholes equations
(2401.05549 - Tsuzuki, 10 Jan 2024) in Section 5.1.4 (Çetin (2018))