Search results for: governing differential equation
3655 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 2423654 Optimal Perturbation in an Impulsively Blocked Channel Flow
Authors: Avinash Nayak, Debopam Das
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The current work implements the variational principle to find the optimum initial perturbation that provides maximum growth in an impulsively blocked channel flow. The conventional method for studying temporal stability has always been through modal analysis. In most of the transient flows, this modal analysis is still followed with the quasi-steady assumption, i.e. change in base flow is much slower compared to perturbation growth rate. There are other studies where transient analysis on time dependent flows is done by formulating the growth of perturbation as an initial value problem. But the perturbation growth is sensitive to the initial condition. This study intends to find the initial perturbation that provides the maximum growth at a later time. Here, the expression of base flow for blocked channel is derived and the formulation is based on the two dimensional perturbation with stream function representing the perturbation quantity. Hence, the governing equation becomes the Orr-Sommerfeld equation. In the current context, the cost functional is defined as the ratio of disturbance energy at a terminal time 'T' to the initial energy, i.e. G(T) = ||q(T)||2/||q(0)||2 where q is the perturbation and ||.|| defines the norm chosen. The above cost functional needs to be maximized against the initial perturbation distribution. It is achieved with the constraint that perturbation follows the basic governing equation, i.e. Orr-Sommerfeld equation. The corresponding adjoint equation is derived and is solved along with the basic governing equation in an iterative manner to provide the initial spatial shape of the perturbation that provides the maximum growth G (T). The growth rate is plotted against time showing the development of perturbation which achieves an asymptotic shape. The effects of various parameters, e.g. Reynolds number, are studied in the process. Thus, the study emphasizes on the usage of optimal perturbation and its growth to understand the stability characteristics of time dependent flows. The assumption of quasi-steady analysis can be verified against these results for the transient flows like impulsive blocked channel flow.Keywords: blocked channel flow, calculus of variation, hydrodynamic stability, optimal perturbation
Procedia PDF Downloads 4183653 A Numerical Solution Based on Operational Matrix of Differentiation of Shifted Second Kind Chebyshev Wavelets for a Stefan Problem
Authors: Rajeev, N. K. Raigar
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In this study, one dimensional phase change problem (a Stefan problem) is considered and a numerical solution of this problem is discussed. First, we use similarity transformation to convert the governing equations into ordinary differential equations with its boundary conditions. The solutions of ordinary differential equation with the associated boundary conditions and interface condition (Stefan condition) are obtained by using a numerical approach based on operational matrix of differentiation of shifted second kind Chebyshev wavelets. The obtained results are compared with existing exact solution which is sufficiently accurate.Keywords: operational matrix of differentiation, similarity transformation, shifted second kind chebyshev wavelets, stefan problem
Procedia PDF Downloads 3963652 The Data-Driven Localized Wave Solution of the Fokas-Lenells Equation using PINN
Authors: Gautam Kumar Saharia, Sagardeep Talukdar, Riki Dutta, Sudipta Nandy
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The physics informed neural network (PINN) method opens up an approach for numerically solving nonlinear partial differential equations leveraging fast calculating speed and high precession of modern computing systems. We construct the PINN based on strong universal approximation theorem and apply the initial-boundary value data and residual collocation points to weekly impose initial and boundary condition to the neural network and choose the optimization algorithms adaptive moment estimation (ADAM) and Limited-memory Broyden-Fletcher-Golfard-Shanno (L-BFGS) algorithm to optimize learnable parameter of the neural network. Next, we improve the PINN with a weighted loss function to obtain both the bright and dark soliton solutions of Fokas-Lenells equation (FLE). We find the proposed scheme of adjustable weight coefficients into PINN has a better convergence rate and generalizability than the basic PINN algorithm. We believe that the PINN approach to solve the partial differential equation appearing in nonlinear optics would be useful to study various optical phenomena.Keywords: deep learning, optical Soliton, neural network, partial differential equation
Procedia PDF Downloads 1193651 Sufficient Conditions for Exponential Stability of Stochastic Differential Equations with Non Trivial Solutions
Authors: Fakhreddin Abedi, Wah June Leong
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Exponential stability of stochastic differential equations with non trivial solutions is provided in terms of Lyapunov functions. The main result of this paper establishes that, under certain hypotheses for the dynamics f(.) and g(.), practical exponential stability in probability at the small neighborhood of the origin is equivalent to the existence of an appropriate Lyapunov function. Indeed, we establish exponential stability of stochastic differential equation when almost all the state trajectories are bounded and approach a sufficiently small neighborhood of the origin. We derive sufficient conditions for exponential stability of stochastic differential equations. Finally, we give a numerical example illustrating our results.Keywords: exponential stability in probability, stochastic differential equations, Lyapunov technique, Ito's formula
Procedia PDF Downloads 453650 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 3033649 Surface Motion of Anisotropic Half Space Containing an Anisotropic Inclusion under SH Wave
Authors: Yuanda Ma, Zhiyong Zhang, Zailin Yang, Guanxixi Jiang
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Anisotropy is very common in underground media, such as rock, sand, and soil. Hence, the dynamic response of anisotropy medium under elastic waves is significantly different from the isotropic one. Moreover, underground heterogeneities and structures, such as pipelines, cylinders, or tunnels, are usually made by composite materials, leading to the anisotropy of these heterogeneities and structures. Both the anisotropy of the underground medium and the heterogeneities have an effect on the surface motion of the ground. Aiming at providing theoretical references for earthquake engineering and seismology, the surface motion of anisotropic half-space with a cylindrical anisotropic inclusion embedded under the SH wave is investigated in this work. Considering the anisotropy of the underground medium, the governing equation with three elastic parameters of SH wave propagation is introduced. Then, based on the complex function method and multipolar coordinates system, the governing equation in the complex plane is obtained. With the help of a pair of transformation, the governing equation is transformed into a standard form. By means of the same methods, the governing equation of SH wave propagation in the cylindrical inclusion with another three elastic parameters is normalized as well. Subsequently, the scattering wave in the half-space and the standing wave in the inclusion is deduced. Different incident wave angle and anisotropy are considered to obtain the reflected wave. Then the unknown coefficients in scattering wave and standing wave are solved by utilizing the continuous condition at the boundary of the inclusion. Through truncating finite terms of the scattering wave and standing wave, the equation of boundary conditions can be calculated by programs. After verifying the convergence and the precision of the calculation, the validity of the calculation is verified by degrading the model of the problem as well. Some parameters which influence the surface displacement of the half-space is considered: dimensionless wave number, dimensionless depth of the inclusion, anisotropic parameters, wave number ratio, shear modulus ratio. Finally, surface displacement amplitude of the half space with different parameters is calculated and discussed.Keywords: anisotropy, complex function method, sh wave, surface displacement amplitude
Procedia PDF Downloads 1173648 Effect of Magnetic Field on Mixed Convection Boundary Layer Flow over an Exponentially Shrinking Vertical Sheet with Suction
Authors: S. S. P. M. Isa, N. M. Arifin, R. Nazar, N. Bachok, F. M. Ali, I. Pop
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A theoretical study has been presented to describe the boundary layer flow and heat transfer on an exponentially shrinking sheet with a variable wall temperature and suction, in the presence of magnetic field. The governing nonlinear partial differential equations are converted into ordinary differential equations by similarity transformation, which are then solved numerically using the shooting method. Results for the skin friction coefficient, local Nusselt number, velocity profiles as well as temperature profiles are presented through graphs and tables for several sets of values of the parameters. The effects of the governing parameters on the flow and heat transfer characteristics are thoroughly examined.Keywords: exponentially shrinking sheet, magnetic field, mixed convection, suction
Procedia PDF Downloads 3253647 Exact Soliton Solutions of the Integrable (2+1)-Dimensional Fokas-Lenells Equation
Authors: Meruyert Zhassybayeva, Kuralay Yesmukhanova, Ratbay Myrzakulov
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Integrable nonlinear differential equations are an important class of nonlinear wave equations that admit exact soliton solutions. All these equations have an amazing property which is that their soliton waves collide elastically. One of such equations is the (1+1)-dimensional Fokas-Lenells equation. In this paper, we have constructed an integrable (2+1)-dimensional Fokas-Lenells equation. The integrability of this equation is ensured by the existence of a Lax representation for it. We obtained its bilinear form from the Hirota method. Using the Hirota method, exact one-soliton and two-soliton solutions of the (2 +1)-dimensional Fokas-Lenells equation were found.Keywords: Fokas-Lenells equation, integrability, soliton, the Hirota bilinear method
Procedia PDF Downloads 2143646 Inverse Polynomial Numerical Scheme for the Solution of Initial Value Problems in Ordinary Differential Equations
Authors: Ogunrinde Roseline Bosede
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This paper presents the development, analysis and implementation of an inverse polynomial numerical method which is well suitable for solving initial value problems in first order ordinary differential equations with applications to sample problems. We also present some basic concepts and fundamental theories which are vital to the analysis of the scheme. We analyzed the consistency, convergence, and stability properties of the scheme. Numerical experiments were carried out and the results compared with the theoretical or exact solution and the algorithm was later coded using MATLAB programming language.Keywords: differential equations, numerical, polynomial, initial value problem, differential equation
Procedia PDF Downloads 4383645 Effect of Thermal Radiation and Chemical Reaction on MHD Flow of Blood in Stretching Permeable Vessel
Authors: Binyam Teferi
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In this paper, a theoretical analysis of blood flow in the presence of thermal radiation and chemical reaction under the influence of time dependent magnetic field intensity has been studied. The unsteady non linear partial differential equations of blood flow considers time dependent stretching velocity, the energy equation also accounts time dependent temperature of vessel wall, and concentration equation includes time dependent blood concentration. The governing non linear partial differential equations of motion, energy, and concentration are converted into ordinary differential equations using similarity transformations solved numerically by applying ode45. MATLAB code is used to analyze theoretical facts. The effect of physical parameters viz., permeability parameter, unsteadiness parameter, Prandtl number, Hartmann number, thermal radiation parameter, chemical reaction parameter, and Schmidt number on flow variables viz., velocity of blood flow in the vessel, temperature and concentration of blood has been analyzed and discussed graphically. From the simulation study, the following important results are obtained: velocity of blood flow increases with both increment of permeability and unsteadiness parameter. Temperature of the blood increases in vessel wall as Prandtl number and Hartmann number increases. Concentration of the blood decreases as time dependent chemical reaction parameter and Schmidt number increases.Keywords: stretching velocity, similarity transformations, time dependent magnetic field intensity, thermal radiation, chemical reaction
Procedia PDF Downloads 853644 Closed-Form Solutions for Nanobeams Based on the Nonlocal Euler-Bernoulli Theory
Authors: Francesco Marotti de Sciarra, Raffaele Barretta
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Starting from nonlocal continuum mechanics, a thermodynamically new nonlocal model of Euler-Bernoulli nanobeams is provided. The nonlocal variational formulation is consistently provided and the governing differential equation for transverse displacement are presented. Higher-order boundary conditions are then consistently derived. An example is contributed in order to show the effectiveness of the proposed model.Keywords: Bernoulli-Euler beams, nanobeams, nonlocal elasticity, closed-form solutions
Procedia PDF Downloads 3633643 Modelling of Moisture Loss and Oil Uptake during Deep-Fat Frying of Plantain
Authors: James A. Adeyanju, John O. Olajide, Akinbode A. Adedeji
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A predictive mathematical model based on the fundamental principles of mass transfer was developed to simulate the moisture content and oil content during Deep-Fat Frying (DFF) process of dodo. The resulting governing equation, that is, partial differential equation that describes rate of moisture loss and oil uptake was solved numerically using explicit Finite Difference Technique (FDT). Computer codes were written in MATLAB environment for the implementation of FDT at different frying conditions and moisture loss as well as oil uptake simulation during DFF of dodo. Plantain samples were sliced into 5 mm thickness and fried at different frying oil temperatures (150, 160 and 170 ⁰C) for periods varying from 2 to 4 min. The comparison between the predicted results and experimental data for the validation of the model showed reasonable agreement. The correlation coefficients between the predicted and experimental values of moisture and oil transfer models ranging from 0.912 to 0.947 and 0.895 to 0.957, respectively. The predicted results could be further used for the design, control and optimization of deep-fat frying process.Keywords: frying, moisture loss, modelling, oil uptake
Procedia PDF Downloads 4383642 The Data-Driven Localized Wave Solution of the Fokas-Lenells Equation Using Physics-Informed Neural Network
Authors: Gautam Kumar Saharia, Sagardeep Talukdar, Riki Dutta, Sudipta Nandy
Abstract:
The physics-informed neural network (PINN) method opens up an approach for numerically solving nonlinear partial differential equations leveraging fast calculating speed and high precession of modern computing systems. We construct the PINN based on a strong universal approximation theorem and apply the initial-boundary value data and residual collocation points to weekly impose initial and boundary conditions to the neural network and choose the optimization algorithms adaptive moment estimation (ADAM) and Limited-memory Broyden-Fletcher-Golfard-Shanno (L-BFGS) algorithm to optimize learnable parameter of the neural network. Next, we improve the PINN with a weighted loss function to obtain both the bright and dark soliton solutions of the Fokas-Lenells equation (FLE). We find the proposed scheme of adjustable weight coefficients into PINN has a better convergence rate and generalizability than the basic PINN algorithm. We believe that the PINN approach to solve the partial differential equation appearing in nonlinear optics would be useful in studying various optical phenomena.Keywords: deep learning, optical soliton, physics informed neural network, partial differential equation
Procedia PDF Downloads 663641 Modeling the Compound Interest Dynamics Using Fractional Differential Equations
Authors: Muath Awadalla, Maen Awadallah
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Banking sector covers different activities including lending money to customers. However, it is commonly known that customers pay money they have borrowed including an added amount called interest. Compound interest rate is an approach used in determining the interest to be paid. The instant compounded amount to be paid by a debtor is obtained through a differential equation whose main parameters are the rate and the time. The rate used by banks in a country is often defined by the government of the said country. In Switzerland, for instance, a negative rate was once applied. In this work, a new approach of modeling the compound interest is proposed using Hadamard fractional derivative. As a result, it appears that depending on the fraction value used in derivative the amount to be paid by a debtor might either be higher or lesser than the amount determined using the classical approach.Keywords: compound interest, fractional differential equation, hadamard fractional derivative, optimization
Procedia PDF Downloads 1203640 Algorithms Utilizing Wavelet to Solve Various Partial Differential Equations
Authors: K. P. Mredula, D. C. Vakaskar
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The article traces developments and evolution of various algorithms developed for solving partial differential equations using the significant combination of wavelet with few already explored solution procedures. The approach depicts a study over a decade of traces and remarks on the modifications in implementing multi-resolution of wavelet, finite difference approach, finite element method and finite volume in dealing with a variety of partial differential equations in the areas like plasma physics, astrophysics, shallow water models, modified Burger equations used in optical fibers, biology, fluid dynamics, chemical kinetics etc.Keywords: multi-resolution, Haar Wavelet, partial differential equation, numerical methods
Procedia PDF Downloads 2943639 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 1923638 A Nonlinear Parabolic Partial Differential Equation Model for Image Enhancement
Authors: Tudor Barbu
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We present a robust nonlinear parabolic partial differential equation (PDE)-based denoising scheme in this article. Our approach is based on a second-order anisotropic diffusion model that is described first. Then, a consistent and explicit numerical approximation algorithm is constructed for this continuous model by using the finite-difference method. Finally, our restoration experiments and method comparison, which prove the effectiveness of this proposed technique, are discussed in this paper.Keywords: anisotropic diffusion, finite differences, image denoising and restoration, nonlinear PDE model, anisotropic diffusion, numerical approximation schemes
Procedia PDF Downloads 3093637 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 5523636 A Mathematical-Based Formulation of EEG Fluctuations
Authors: Razi Khalafi
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Brain is the information processing center of the human body. Stimuli in form of information are transferred to the brain and then brain makes the decision on how to respond to them. In this research we propose a new partial differential equation which analyses the EEG signals and make a relationship between the incoming stimuli and the brain response to them. In order to test the proposed model, a set of external stimuli applied to the model and the model’s outputs were checked versus the real EEG data. The results show that this model can model the EEG signal well. The proposed model is useful not only for modeling of the EEG signal in case external stimuli but it can be used for the modeling of brain response in case of internal stimuli.Keywords: Brain, stimuli, partial differential equation, response, eeg signal
Procedia PDF Downloads 4263635 Investigating Elastica and Post Buckling Behavior Columns Using the Modified Newmark Method
Authors: Seyed Amin Vakili, Sahar Sadat Vakili, Seyed Ehsan Vakili, Nader Abdoli Yazdi
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The purpose of this article is to analyze the finite displacement of Columns by applying the Modified Newmark Method. This research will be performed on Columns subjected to compressive axial load, therefore the non-linearity of the geometry is also considered. If the considered strut is perfect, the governing differential equation contains a branching point in the solution path. Investigation into the Elastica is a part of generalizing the developed method. It presents the ability of the Modified Newmark Method in treating non-linear differential equations Derived from elastic strut stability problems. These include not only an approximate polynomial solution for the Elastica problems, but can also recognize the branching point and the stable solution. However, this investigation deals with the post-buckling response of elastic and pin ended columns subjected to central or equally eccentric axial loads.Keywords: columns, structural modeling, structures & structural stability, loads
Procedia PDF Downloads 3023634 Correction Requirement to AISC Design Guide 31: Case Study of Web Post Buckling Design for Castellated Beams
Authors: Kitjapat Phuvoravan, Phattaraphong Ponsorn
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In the design of Castellated beams (CB), the web post buckling acted by horizontal shear force is one of the important failure modes that have to be considered. It is also a dominant governing mode when design following the AISC 31 design guideline which is just published. However, the equation of the web post buckling given by the guideline is still questionable for most of the engineers. So the purpose of this paper is to study and provide a proposed equation for design the web post buckling with more simplified and convenient to use. The study is also including the improper of the safety factor given by the guideline. The proposed design equation is acquired by regression method based on the results of finite element analysis. An amount of Cellular beam simulated to study is modelled by using shell element, analysis with both geometric and material nonlinearity. The results of the study show that the use of the proposed equation to design the web post buckling in Castellated beams is more simple and precise for computation than the equations provided from the guideline.Keywords: castellated beam, web opening, web post buckling, design equation
Procedia PDF Downloads 2963633 Kernel Parallelization Equation for Identifying Structures under Unknown and Periodic Loads
Authors: Seyed Sadegh Naseralavi
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This paper presents a Kernel parallelization equation for damage identification in structures under unknown periodic excitations. Herein, the dynamic differential equation of the motion of structure is viewed as a mapping from displacements to external forces. Utilizing this viewpoint, a new method for damage detection in structures under periodic loads is presented. The developed method requires only two periods of load. The method detects the damages without finding the input loads. The method is based on the fact that structural displacements under free and forced vibrations are associated with two parallel subspaces in the displacement space. Considering the concept, kernel parallelization equation (KPE) is derived for damage detection under unknown periodic loads. The method is verified for a case study under periodic loads.Keywords: Kernel, unknown periodic load, damage detection, Kernel parallelization equation
Procedia PDF Downloads 2753632 Noncommutative Differential Structure on Finite Groups
Authors: Ibtisam Masmali, Edwin Beggs
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In this paper, we take example of differential calculi, on the finite group A4. Then, we apply methods of non-commutative of non-commutative differential geometry to this example, and see how similar the results are to those of classical differential geometry.Keywords: differential calculi, finite group A4, Christoffel symbols, covariant derivative, torsion compatible
Procedia PDF Downloads 2443631 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 3323630 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 6513629 Effects of Daily Temperature Changes on Transient Heat and Moisture Transport in Unsaturated Soils
Authors: Davood Yazdani Cherati, Ali Pak, Mehrdad Jafarzadeh
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This research contains the formulation of a two-dimensional analytical solution to transient heat, and moisture flow in a semi-infinite unsaturated soil environment under the influence of daily temperature changes. For this purpose, coupled energy conservation and mass fluid continuity equations governing hydrothermal behavior of unsaturated soil media are presented in terms of temperature and volumetric moisture content. In consideration of the soil environment as an infinite half-space and by linearization of the governing equations, Laplace–Fourier transformation is conducted to convert differential equations with partial derivatives (PDEs) to ordinary differential equations (ODEs). The obtained ODEs are solved, and the inverse transformations are calculated to determine the solution to the system of equations. Results indicate that heat variation induces moisture transport in both horizontal and vertical directions.Keywords: analytical solution, heat conduction, hydrothermal analysis, laplace–fourier transformation, two-dimensional
Procedia PDF Downloads 2113628 Basket Option Pricing under Jump Diffusion Models
Authors: Ali Safdari-Vaighani
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Pricing financial contracts on several underlying assets received more and more interest as a demand for complex derivatives. The option pricing under asset price involving jump diffusion processes leads to the partial integral differential equation (PIDEs), which is an extension of the Black-Scholes PDE with a new integral term. The aim of this paper is to show how basket option prices in the jump diffusion models, mainly on the Merton model, can be computed using RBF based approximation methods. For a test problem, the RBF-PU method is applied for numerical solution of partial integral differential equation arising from the two-asset European vanilla put options. The numerical result shows the accuracy and efficiency of the presented method.Keywords: basket option, jump diffusion, radial basis function, RBF-PUM
Procedia PDF Downloads 3463627 Study and Solving High Complex Non-Linear Differential Equations Applied in the Engineering Field by Analytical New Approach AGM
Authors: Mohammadreza Akbari, Sara Akbari, Davood Domiri Ganji, Pooya Solimani, Reza Khalili
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In this paper, three complicated nonlinear differential equations(PDE,ODE) in the field of engineering and non-vibration have been analyzed and solved completely by new method that we have named it Akbari-Ganji's Method (AGM) . As regards the previous published papers, investigating this kind of equations is a very hard task to do and the obtained solution is not accurate and reliable. This issue will be emerged after comparing the achieved solutions by Numerical Method. Based on the comparisons which have been made between the gained solutions by AGM and Numerical Method (Runge-Kutta 4th), it is possible to indicate that AGM can be successfully applied for various differential equations particularly for difficult ones. Furthermore, It is necessary to mention that a summary of the excellence of this method in comparison with the other approaches can be considered as follows: It is noteworthy that these results have been indicated that this approach is very effective and easy therefore it can be applied for other kinds of nonlinear equations, And also the reasons of selecting the mentioned method for solving differential equations in a wide variety of fields not only in vibrations but also in different fields of sciences such as fluid mechanics, solid mechanics, chemical engineering, etc. Therefore, a solution with high precision will be acquired. With regard to the afore-mentioned explanations, the process of solving nonlinear equation(s) will be very easy and convenient in comparison with the other methods. And also one of the important position that is explored in this paper is: Trigonometric and exponential terms in the differential equation (the method AGM) , is no need to use Taylor series Expansion to enhance the precision of the result.Keywords: new method (AGM), complex non-linear partial differential equations, damping ratio, energy lost per cycle
Procedia PDF Downloads 4603626 Method to Find a ε-Optimal Control of Stochastic Differential Equation Driven by a Brownian Motion
Authors: Francys Souza, Alberto Ohashi, Dorival Leao
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We present a general solution for finding the ε-optimal controls for non-Markovian stochastic systems as stochastic differential equations driven by Brownian motion, which is a problem recognized as a difficult solution. The contribution appears in the development of mathematical tools to deal with modeling and control of non-Markovian systems, whose applicability in different areas is well known. The methodology used consists to discretize the problem through a random discretization. In this way, we transform an infinite dimensional problem in a finite dimensional, thereafter we use measurable selection arguments, to find a control on an explicit form for the discretized problem. Then, we prove the control found for the discretized problem is a ε-optimal control for the original problem. Our theory provides a concrete description of a rather general class, among the principals, we can highlight financial problems such as portfolio control, hedging, super-hedging, pairs-trading and others. Therefore, our main contribution is the development of a tool to explicitly the ε-optimal control for non-Markovian stochastic systems. The pathwise analysis was made through a random discretization jointly with measurable selection arguments, has provided us with a structure to transform an infinite dimensional problem into a finite dimensional. The theory is applied to stochastic control problems based on path-dependent stochastic differential equations, where both drift and diffusion components are controlled. We are able to explicitly show optimal control with our method.Keywords: dynamic programming equation, optimal control, stochastic control, stochastic differential equation
Procedia PDF Downloads 180