Search results for: partial differential equation (PDE)
4209 Rayleigh Wave Propagation in an Orthotropic Medium under the Influence of Exponentially Varying Inhomogeneities
Authors: Sumit Kumar Vishwakarma
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The aim of the paper is to investigate the influence of inhomogeneity associated with the elastic constants and density of the orthotropic medium. The inhomogeneity is considered as exponential function of depth. The impact of gravity had been discussed. Using the concept of separation of variables, the system of a partial differential equation (equation of motion) has been converted into ordinary differential equation, which is coupled in nature. It further reduces to a biquadratic equation whose roots were found by using MATLAB. A suitable boundary condition is employed to derive the dispersion equation in a closed-form. Numerical simulations had been performed to show the influence of the inhomogeneity parameter. It was observed that as the numerical values of increases, the phase velocity of Rayleigh waves decreases at a particular wavenumber. Graphical illustrations were drawn to visualize the effect of the increasing and decreasing values of the inhomogeneity parameter. It can be concluded that it has a remarkable bearing on the phase velocity as well as damping velocity.Keywords: Rayleigh waves, orthotropic medium, gravity field, inhomogeneity
Procedia PDF Downloads 1214208 Dynamic Analysis of Differential Systems with Infinite Memory and Damping
Authors: Kun-Peng Jin, Jin Liang, Ti-Jun Xiao
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In this work, we are concerned with the dynamic behaviors of solutions to some coupled systems with infinite memory, which consist of two partial differential equations where only one partial differential equation has damping. Such coupled systems are good mathematical models to describe the deformation and stress characteristics of some viscoelastic materials affected by temperature change, external forces, and other factors. By using the theory of operator semigroups, we give wellposedness results for the Cauchy problem for these coupled systems. Then, with the help of some auxiliary functions and lemmas, which are specially designed for overcoming difficulties in the proof, we show that the solutions of the coupled systems decay to zero in a strong way under a few basic conditions. The results in this dynamic analysis of coupled systems are generalizations of many existing results.Keywords: dynamic analysis, coupled system, infinite memory, damping.
Procedia PDF Downloads 2134207 Differential Transform Method: Some Important Examples
Authors: M. Jamil Amir, Rabia Iqbal, M. Yaseen
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In this paper, we solve some differential equations analytically by using differential transform method. For this purpose, we consider four models of Laplace equation with two Dirichlet and two Neumann boundary conditions and K(2,2) equation and obtain the corresponding exact solutions. The obtained results show the simplicity of the method and massive reduction in calculations when one compares it with other iterative methods, available in literature. It is worth mentioning that here only a few number of iterations are required to reach the closed form solutions as series expansions of some known functions.Keywords: differential transform method, laplace equation, Dirichlet boundary conditions, Neumann boundary conditions
Procedia PDF Downloads 5284206 Unsteady Similarity Solution for a Slender Dry Patch in a Thin Newtonian Fluid Film
Authors: S. S. Abas, Y. M. Yatim
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In this paper the unsteady, slender, symmetric dry patch in an infinitely wide and thin liquid film of Newtonian fluid draining under gravity down an inclined plane in the presence of strong surface-tension effect is considered. A similarity transformation, named a travelling-wave similarity solution is used to reduce the governing partial differential equation into the ordinary differential equation which is then solved numerically using a shooting method. The introduction of surface-tension effect on the flow leads to a fourth-order ordinary differential equation. The solution obtained predicts that the dry patch has a quartic shape and the free surface has a capillary ridge near the contact line which decays in an oscillatory manner far from it.Keywords: dry patch, Newtonian fluid, similarity solution, surface-tension effect, travelling-wave, unsteady thin-film flow
Procedia PDF Downloads 3024205 Step Method for Solving Nonlinear Two Delays Differential Equation in Parkinson’s Disease
Authors: H. N. Agiza, M. A. Sohaly, M. A. Elfouly
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Parkinson's disease (PD) is a heterogeneous disorder with common age of onset, symptoms, and progression levels. In this paper we will solve analytically the PD model as a non-linear delay differential equation using the steps method. The step method transforms a system of delay differential equations (DDEs) into systems of ordinary differential equations (ODEs). On some numerical examples, the analytical solution will be difficult. So we will approximate the analytical solution using Picard method and Taylor method to ODEs.Keywords: Parkinson's disease, step method, delay differential equation, two delays
Procedia PDF Downloads 1964204 Existence of positive periodic solutions for certain delay differential equations
Authors: Farid Nouioua, Abdelouaheb Ardjouni
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In this article, we study the existence of positive periodic solutions of certain delay differential equations. In the process we convert the differential equation into an equivalent integral equation after which appropriate mappings are constructed. We then employ Krasnoselskii's fixed point theorem to obtain sufficient conditions for the existence of a positive periodic solution of the differential equation. The obtained results improve and extend the results in the literature. Finally, an example is given to illustrate our results.Keywords: delay differential equations, positive periodic solutions, integral equations, Krasnoselskii fixed point theorem
Procedia PDF Downloads 4294203 Development of Extended Trapezoidal Method for Numerical Solution of Volterra Integro-Differential Equations
Authors: Fuziyah Ishak, Siti Norazura Ahmad
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Volterra integro-differential equations appear in many models for real life phenomena. Since analytical solutions for this type of differential equations are hard and at times impossible to attain, engineers and scientists resort to numerical solutions that can be made as accurately as possible. Conventionally, numerical methods for ordinary differential equations are adapted to solve Volterra integro-differential equations. In this paper, numerical solution for solving Volterra integro-differential equation using extended trapezoidal method is described. Formulae for the integral and differential parts of the equation are presented. Numerical results show that the extended method is suitable for solving first order Volterra integro-differential equations.Keywords: accuracy, extended trapezoidal method, numerical solution, Volterra integro-differential equations
Procedia PDF Downloads 4164202 A Novel Method for Solving Nonlinear Whitham–Broer–Kaup Equation System
Authors: Ayda Nikkar, Roghayye Ahmadiasl
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In this letter, a new analytical method called homotopy perturbation method, which does not need small parameter in the equation is implemented for solving the nonlinear Whitham–Broer–Kaup (WBK) partial differential equation. In this method, a homotopy is introduced to be constructed for the equation. The initial approximations can be freely chosen with possible unknown constants which can be determined by imposing the boundary and initial conditions. Comparison of the results with those of exact solution has led us to significant consequences. The results reveal that the HPM is very effective, convenient and quite accurate to systems of nonlinear equations. It is predicted that the HPM can be found widely applicable in engineering.Keywords: homotopy perturbation method, Whitham–Broer–Kaup (WBK) equation, Modified Boussinesq, Approximate Long Wave
Procedia PDF Downloads 3034201 Stochastic Age-Structured Population Models
Authors: Arcady Ponosov
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Many well-known age-structured population models are derived from the celebrated McKendrick-von Foerster equation (MFE), also called the biological conservation law. A similar technique is suggested for the stochastically perturbed MFE. This technique is shown to produce stochastic versions of the deterministic population models, which appear to be very different from those one can construct by simply appending additive stochasticity to deterministic equations. In particular, it is shown that stochastic Nicholson’s blowflies model should contain both additive and multiplicative stochastic noises. The suggested transformation technique is similar to that used in the deterministic case. The difference is hidden in the formulas for the exact solutions of the simplified boundary value problem for the stochastically perturbed MFE. The analysis is also based on the theory of stochastic delay differential equations.Keywords: boundary value problems, population models, stochastic delay differential equations, stochastic partial differential equation
Procedia PDF Downloads 2424200 Super Harmonic Nonlinear Lateral Vibration of an Axially Moving Beam with Rotating Prismatic Joint
Authors: M. Najafi, S. Bab, F. Rahimi Dehgolan
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The motion of an axially moving beam with rotating prismatic joint with a tip mass on the end is analyzed to investigate the nonlinear vibration and dynamic stability of the beam. The beam is moving with a harmonic axially and rotating velocity about a constant mean velocity. A time-dependent partial differential equation and boundary conditions with the aid of the Hamilton principle are derived to describe the beam lateral deflection. After the partial differential equation is discretized by the Galerkin method, the method of multiple scales is applied to obtain analytical solutions. Frequency response curves are plotted for the super harmonic resonances of the first and the second modes. The effects of non-linear term and mean velocity are investigated on the steady state response of the axially moving beam. The results are validated with numerical simulations.Keywords: super harmonic resonances, non-linear vibration, axially moving beam, Galerkin method
Procedia PDF Downloads 3854199 Stability Analysis of Two-delay Differential Equation for Parkinson's Disease Models with Positive Feedback
Authors: M. A. Sohaly, M. A. Elfouly
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Parkinson's disease (PD) is a heterogeneous movement disorder that often appears in the elderly. PD is induced by a loss of dopamine secretion. Some drugs increase the secretion of dopamine. In this paper, we will simply study the stability of PD models as a nonlinear delay differential equation. After a period of taking drugs, these act as positive feedback and increase the tremors of patients, and then, the differential equation has positive coefficients and the system is unstable under these conditions. We will present a set of suggested modifications to make the system more compatible with the biodynamic system. When giving a set of numerical examples, this research paper is concerned with the mathematical analysis, and no clinical data have been used.Keywords: Parkinson's disease, stability, simulation, two delay differential equation
Procedia PDF Downloads 1234198 Finite Element and Split Bregman Methods for Solving a Family of Optimal Control Problem with Partial Differential Equation Constraint
Authors: Mahmoud Lot
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In this article, we will discuss the solution of elliptic optimal control problem. First, by using the nite element method, we obtain the discrete form of the problem. The obtained discrete problem is actually a large scale constrained optimization problem. Solving this optimization problem with traditional methods is difficult and requires a lot of CPU time and memory. But split Bergman method converts the constrained problem to an unconstrained, and hence it saves time and memory requirement. Then we use the split Bregman method for solving this problem, and examples show the speed and accuracy of split Bregman methods for solving these types of problems. We also use the SQP method for solving the examples and compare with the split Bregman method.Keywords: Split Bregman Method, optimal control with elliptic partial differential equation constraint, finite element method
Procedia PDF Downloads 1484197 The Construction of Exact Solutions for the Nonlinear Lattice Equation via Coth and Csch Functions Method
Authors: A. Zerarka, W. Djoudi
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The method developed in this work uses a generalised coth and csch funtions method to construct new exact travelling solutions to the nonlinear lattice equation. The technique of the homogeneous balance method is used to handle the appropriated solutions.Keywords: coth functions, csch functions, nonlinear partial differential equation, travelling wave solutions
Procedia PDF Downloads 6514196 Study on the Central Differencing Scheme with the Staggered Version (STG) for Solving the Hyperbolic Partial Differential Equations
Authors: Narumol Chintaganun
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In this paper we present the second-order central differencing scheme with the staggered version (STG) for solving the advection equation and Burger's equation. This scheme based on staggered evolution of the re-constructed cell averages. This scheme results in the second-order central differencing scheme, an extension along the lines of the first-order central scheme of Lax-Friedrichs (LxF) scheme. All numerical simulations presented in this paper are obtained by finite difference method (FDM) and STG. Numerical results are shown that the STG gives very good results and higher accuracy.Keywords: central differencing scheme, STG, advection equation, burgers equation
Procedia PDF Downloads 5524195 Asymptotic Expansion of the Korteweg-de Vries-Burgers Equation
Authors: Jian-Jun Shu
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It is common knowledge that many physical problems (such as non-linear shallow-water waves and wave motion in plasmas) can be described by the Korteweg-de Vries (KdV) equation, which possesses certain special solutions, known as solitary waves or solitons. As a marriage of the KdV equation and the classical Burgers (KdVB) equation, the Korteweg-de Vries-Burgers (KdVB) equation is a mathematical model of waves on shallow water surfaces in the presence of viscous dissipation. Asymptotic analysis is a method of describing limiting behavior and is a key tool for exploring the differential equations which arise in the mathematical modeling of real-world phenomena. By using variable transformations, the asymptotic expansion of the KdVB equation is presented in this paper. The asymptotic expansion may provide a good gauge on the validation of the corresponding numerical scheme.Keywords: asymptotic expansion, differential equation, Korteweg-de Vries-Burgers (KdVB) equation, soliton
Procedia PDF Downloads 2434194 Operational Matrix Method for Fuzzy Fractional Reaction Diffusion Equation
Authors: Sachin Kumar
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Fuzzy fractional diffusion equation is widely useful to depict different physical processes arising in physics, biology, and hydrology. The motive of this article is to deal with the fuzzy fractional diffusion equation. We study a mathematical model of fuzzy space-time fractional diffusion equation in which unknown function, coefficients, and initial-boundary conditions are fuzzy numbers. First, we find out a fuzzy operational matrix of Legendre polynomial of Caputo type fuzzy fractional derivative having a non-singular Mittag-Leffler kernel. The main advantages of this method are that it reduces the fuzzy fractional partial differential equation (FFPDE) to a system of fuzzy algebraic equations from which we can find the solution of the problem. The feasibility of our approach is shown by some numerical examples. Hence, our method is suitable to deal with FFPDE and has good accuracy.Keywords: fractional PDE, fuzzy valued function, diffusion equation, Legendre polynomial, spectral method
Procedia PDF Downloads 1924193 A Hyperexponential Approximation to Finite-Time and Infinite-Time Ruin Probabilities of Compound Poisson Processes
Authors: Amir T. Payandeh Najafabadi
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This article considers the problem of evaluating infinite-time (or finite-time) ruin probability under a given compound Poisson surplus process by approximating the claim size distribution by a finite mixture exponential, say Hyperexponential, distribution. It restates the infinite-time (or finite-time) ruin probability as a solvable ordinary differential equation (or a partial differential equation). Application of our findings has been given through a simulation study.Keywords: ruin probability, compound poisson processes, mixture exponential (hyperexponential) distribution, heavy-tailed distributions
Procedia PDF Downloads 3324192 An Efficient Collocation Method for Solving the Variable-Order Time-Fractional Partial Differential Equations Arising from the Physical Phenomenon
Authors: Haniye Dehestani, Yadollah Ordokhani
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In this work, we present an efficient approach for solving variable-order time-fractional partial differential equations, which are based on Legendre and Laguerre polynomials. First, we introduced the pseudo-operational matrices of integer and variable fractional order of integration by use of some properties of Riemann-Liouville fractional integral. Then, applied together with collocation method and Legendre-Laguerre functions for solving variable-order time-fractional partial differential equations. Also, an estimation of the error is presented. At last, we investigate numerical examples which arise in physics to demonstrate the accuracy of the present method. In comparison results obtained by the present method with the exact solution and the other methods reveals that the method is very effective.Keywords: collocation method, fractional partial differential equations, legendre-laguerre functions, pseudo-operational matrix of integration
Procedia PDF Downloads 1594191 Nonhomogeneous Linear Second Order Differential Equations and Resonance through Geogebra Program
Authors: F. Maass, P. Martin, J. Olivares
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The aim of this work is the application of the program GeoGebra in teaching the study of nonhomogeneous linear second order differential equations with constant coefficients. Different kind of functions or forces will be considered in the right hand side of the differential equations, in particular, the emphasis will be placed in the case of trigonometrical functions producing the resonance phenomena. In order to obtain this, the frequencies of the trigonometrical functions will be changed. Once the resonances appear, these have to be correlationated with the roots of the second order algebraic equation determined by the coefficients of the differential equation. In this way, the physics and engineering students will understand resonance effects and its consequences in the simplest way. A large variety of examples will be shown, using different kind of functions for the nonhomogeneous part of the differential equations.Keywords: education, geogebra, ordinary differential equations, resonance
Procedia PDF Downloads 2374190 Impact of the Time Interval in the Numerical Solution of Incompressible Flows
Authors: M. Salmanzadeh
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In paper, we will deal with incompressible Couette flow, which represents an exact analytical solution of the Navier-Stokes equations. Couette flow is perhaps the simplest of all viscous flows, while at the same time retaining much of the same physical characteristics of a more complicated boundary-layer flow. The numerical technique that we will employ for the solution of the Couette flow is the Crank-Nicolson implicit method. Parabolic partial differential equations lend themselves to a marching solution; in addition, the use of an implicit technique allows a much larger marching step size than would be the case for an explicit solution. Hence, in the present paper we will have the opportunity to explore some aspects of CFD different from those discussed in the other papers.Keywords: incompressible couette flow, numerical method, partial differential equation, Crank-Nicolson implicit
Procedia PDF Downloads 5274189 A Study on the Solutions of the 2-Dimensional and Forth-Order Partial Differential Equations
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In this study, we will carry out a comparative study between the reduced differential transform method, the adomian decomposition method, the variational iteration method and the homotopy analysis method. These methods are used in many fields of engineering. This is been achieved by handling a kind of 2-Dimensional and forth-order partial differential equations called the Kuramoto–Sivashinsky equations. Three numerical examples have also been carried out to validate and demonstrate efficiency of the four methods. Furthermost, it is shown that the reduced differential transform method has advantage over other methods. This method is very effective and simple and could be applied for nonlinear problems which used in engineering.Keywords: reduced differential transform method, adomian decomposition method, variational iteration method, homotopy analysis method
Procedia PDF Downloads 4264188 A New Computational Method for the Solution of Nonlinear Burgers' Equation Arising in Longitudinal Dispersion Phenomena in Fluid Flow through Porous Media
Authors: Olayiwola Moruf Oyedunsi
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This paper discusses the Modified Variational Iteration Method (MVIM) for the solution of nonlinear Burgers’ equation arising in longitudinal dispersion phenomena in fluid flow through porous media. The method is an elegant combination of Taylor’s series and the variational iteration method (VIM). Using Maple 18 for implementation, it is observed that the procedure provides rapidly convergent approximation with less computational efforts. The result shows that the concentration C(x,t) of the contaminated water decreases as distance x increases for the given time t.Keywords: modified variational iteration method, Burger’s equation, porous media, partial differential equation
Procedia PDF Downloads 3134187 The Dynamics of Unsteady Squeezing Flow between Parallel Plates (Two-Dimensional)
Authors: Jiya Mohammed, Ibrahim Ismail Giwa
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Unsteady squeezing flow of a viscous fluid between parallel plates is considered. The two plates are considered to be approaching each other symmetrically, causing the squeezing flow. Two-dimensional rectangular Cartesian coordinate is considered. The Navier-Stokes equation was reduced using similarity transformation to a single fourth order non-linear ordinary differential equation. The energy equation was transformed to a second order coupled differential equation. We obtained solution to the resulting ordinary differential equations via Homotopy Perturbation Method (HPM). HPM deforms a differential problem into a set of problem that are easier to solve and it produces analytic approximate expression in the form of an infinite power series by using only sixth and fifth terms for the velocity and temperature respectively. The results reveal that the proposed method is very effective and simple. Comparisons among present and existing solutions were provided and it is shown that the proposed method is in good agreement with Variation of Parameter Method (VPM). The effects of appropriate dimensionless parameters on the velocity profiles and temperature field are demonstrated with the aid of comprehensive graphs and tables.Keywords: coupled differential equation, Homotopy Perturbation Method, plates, squeezing flow
Procedia PDF Downloads 4664186 A General Form of Characteristics Method Applied on Minimum Length Nozzles Design
Authors: Merouane Salhi, Mohamed Roudane, Abdelkader Kirad
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In this work, we present a new form of characteristics method, which is a technique for solving partial differential equations. Typically, it applies to first-order equations; the aim of this method is to reduce a partial differential equation to a family of ordinary differential equations along which the solution can be integrated from some initial data. This latter developed under the real gas theory, because when the thermal and the caloric imperfections of a gas increases, the specific heat and their ratio do not remain constant anymore and start to vary with the gas parameters. The gas doesn’t stay perfect. Its state equation change and it becomes for a real gas. The presented equations of the characteristics remain valid whatever area or field of study. Here we need have inserted the developed Prandtl Meyer function in the mathematical system to find a new model when the effect of stagnation pressure is taken into account. In this case, the effects of molecular size and intermolecular attraction forces intervene to correct the state equation, the thermodynamic parameters and the value of Prandtl Meyer function. However, with the assumptions that Berthelot’s state equation accounts for molecular size and intermolecular force effects, expressions are developed for analyzing the supersonic flow for thermally and calorically imperfect gas. The supersonic parameters depend directly on the stagnation parameters of the combustion chamber. The resolution has been made by the finite differences method using the corrector predictor algorithm. As results, the developed mathematical model used to design 2D minimum length nozzles under effect of the stagnation parameters of fluid flow. A comparison for air with the perfect gas PG and high temperature models on the one hand and our results by the real gas theory on the other of nozzles shapes and characteristics are made.Keywords: numerical methods, nozzles design, real gas, stagnation parameters, supersonic expansion, the characteristics method
Procedia PDF Downloads 2384185 Solution of Singularly Perturbed Differential Difference Equations Using Liouville Green Transformation
Authors: Y. N. Reddy
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The class of differential-difference equations which have characteristics of both classes, i.e., delay/advance and singularly perturbed behaviour is known as singularly perturbed differential-difference equations. The expression ‘positive shift’ and ‘negative shift’ are also used for ‘advance’ and ‘delay’ respectively. In general, an ordinary differential equation in which the highest order derivative is multiplied by a small positive parameter and containing at least one delay/advance is known as singularly perturbed differential-difference equation. Singularly perturbed differential-difference equations arise in the modelling of various practical phenomena in bioscience, engineering, control theory, specifically in variational problems, in describing the human pupil-light reflex, in a variety of models for physiological processes or diseases and first exit time problems in the modelling of the determination of expected time for the generation of action potential in nerve cells by random synaptic inputs in dendrites. In this paper, we envisage the use of Liouville Green Transformation to find the solution of singularly perturbed differential difference equations. First, using Taylor series, the given singularly perturbed differential difference equation is approximated by an asymptotically equivalent singularly perturbation problem. Then the Liouville Green Transformation is applied to get the solution. Several model examples are solved, and the results are compared with other methods. It is observed that the present method gives better approximate solutions.Keywords: difference equations, differential equations, singular perturbations, boundary layer
Procedia PDF Downloads 1914184 Empirical Evaluation of Gradient-Based Training Algorithms for Ordinary Differential Equation Networks
Authors: Martin K. Steiger, Lukas Heisler, Hans-Georg Brachtendorf
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Deep neural networks and their variants form the backbone of many AI applications. Based on the so-called residual networks, a continuous formulation of such models as ordinary differential equations (ODEs) has proven advantageous since different techniques may be applied that significantly increase the learning speed and enable controlled trade-offs with the resulting error at the same time. For the evaluation of such models, high-performance numerical differential equation solvers are used, which also provide the gradients required for training. However, whether classical gradient-based methods are even applicable or which one yields the best results has not been discussed yet. This paper aims to redeem this situation by providing empirical results for different applications.Keywords: deep neural networks, gradient-based learning, image processing, ordinary differential equation networks
Procedia PDF Downloads 1544183 Analytical Solving of Nonlinear Differential Equations in the Nonlinear Phenomena for Viscos Fluids
Authors: Arash Jafari, Mehdi Taghaddosi, Azin Parvin
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In the paper, our purpose is to enhance the ability to solve a nonlinear differential equation which is about the motion of an incompressible fluid flow going down of an inclined plane without thermal effect with a simple and innovative approach which we have named it new method. Comparisons are made amongst the Numerical, new method, and HPM methods, and the results reveal that this method is very effective and simple and can be applied to other nonlinear problems. It is noteworthy that there are some valuable advantages in this way of solving differential equations, and also most of the sets of differential equations can be answered in this manner which in the other methods they do not have acceptable solutions up to now. A summary of the excellence of this method in comparison to the other manners is as follows: 1) Differential equations are directly solvable by this method. 2) Without any dimensionless procedure, we can solve equation(s). 3) It is not necessary to convert variables into new ones. According to the afore-mentioned assertions which will be proved in this case study, the process of solving nonlinear equation(s) will be very easy and convenient in comparison to the other methods.Keywords: viscos fluid, incompressible fluid flow, inclined plane, nonlinear phenomena
Procedia PDF Downloads 2774182 Existence Theory for First Order Functional Random Differential Equations
Authors: Rajkumar N. Ingle
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In this paper, the existence of a solution of nonlinear functional random differential equations of the first order is proved under caratheodory condition. The study of the functional random differential equation has got importance in the random analysis of the dynamical systems of universal phenomena. Objectives: Nonlinear functional random differential equation is useful to the scientists, engineers, and mathematicians, who are engaged in N.F.R.D.E. analyzing a universal random phenomenon, govern by nonlinear random initial value problems of D.E. Applications of this in the theory of diffusion or heat conduction. Methodology: Using the concepts of probability theory, functional analysis, generally the existence theorems for the nonlinear F.R.D.E. are prove by using some tools such as fixed point theorem. The significance of the study: Our contribution will be the generalization of some well-known results in the theory of Nonlinear F.R.D.E.s. Further, it seems that our study will be useful to scientist, engineers, economists and mathematicians in their endeavors to analyses the nonlinear random problems of the universe in a better way.Keywords: Random Fixed Point Theorem, functional random differential equation, N.F.R.D.E., universal random phenomenon
Procedia PDF Downloads 4924181 Multiple Positive Solutions for Boundary Value Problem of Nonlinear Fractional Differential Equation
Authors: A. Guezane-Lakoud, S. Bensebaa
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In this paper, we study a boundary value problem of nonlinear fractional differential equation. Existence and positivity results of solutions are obtained.Keywords: positive solution, fractional caputo derivative, Banach contraction principle, Avery and Peterson fixed point theorem
Procedia PDF Downloads 4064180 Pricing European Continuous-Installment Options under Regime-Switching Models
Authors: Saghar Heidari
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In this paper, we study the valuation problem of European continuous-installment options under Markov-modulated models with a partial differential equation approach. Due to the opportunity for continuing or stopping to pay installments, the valuation problem under regime-switching models can be formulated as coupled partial differential equations (CPDE) with free boundary features. To value the installment options, we express the truncated CPDE as a linear complementarity problem (LCP), then a finite element method is proposed to solve the resulted variational inequality. Under some appropriate assumptions, we establish the stability of the method and illustrate some numerical results to examine the rate of convergence and accuracy of the proposed method for the pricing problem under the regime-switching model.Keywords: continuous-installment option, European option, regime-switching model, finite element method
Procedia PDF Downloads 133