Search results for: Boolean equations

Authors: Maali Kachouri, Anis Jarboui

Abstract:

We focus on the causal relationship between governance and information transparency as well as interrelation among the various governance mechanisms. This paper employs a simultaneous equations approach to show this relationship in the Tunisian context. Based on an 8-year dataset, our sample covers 28 listed companies over 2006-2013. Our findings suggest that internal and external governance mechanisms are interdependent. Moreover, in order to analyze the causal effect between information transparency and governance mechanisms, we found evidence that information transparency tends to increase good corporate governance practices.

Keywords: simultaneous equations approach, transparency, causal relationship, corporate governance

Procedia PDF Downloads 353

Authors: M. Shaban, A. Alibeigloo

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This paper studies free vibration behavior of single-walled carbon nanotubes (SWCNTs) embedded on elastic medium based on three-dimensional theory of elasticity. To accounting the size effect of carbon nanotubes, nonlocal theory is adopted to shell model. The nonlocal parameter is incorporated into all constitutive equations in three dimensions. The surrounding medium is modeled as two-parameter elastic foundation. By using Fourier series expansion in axial and circumferential direction, the set of coupled governing equations are reduced to the ordinary differential equations in thickness direction. Then, the state-space method as an efficient and accurate method is used to solve the resulting equations analytically. Comprehensive parametric studies are carried out to show the influences of the nonlocal parameter, radial and shear elastic stiffness, thickness-to-radius ratio and radius-to-length ratio.

Keywords: carbon nanotubes, embedded, nonlocal, free vibration

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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

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Authors: S. Srednyak

Abstract:

We study a class of functional partial differential equations(FPDEs). This class is suggested by Quantum Field Theory. We derive general properties of solutions to such equations. In particular, we demonstrate that they lead to systems of coupled integral equations with singular kernels. We show that solutions to such hierarchies can be sought among functions with regular singularities at a countable set of subvarieties of the physical space. We also develop a formal analogy of basic constructions of differential geometry on functional manifolds, as this is necessary for in depth study of FPDEs. We also consider the case of linear overdetermined systems of functional differential equations and show that it can be completely solved in terms of formal solutions of a functional equation that is a functional analogy of a system of determined algebraic equations. This development leads us to formally define the functional analogy of algebraic geometry, which we call functional algebraic geometry. We study basic properties of functional algebraic varieties. In particular, we investigate the case of a formally discrete set of solutions. We also define and study functional analogy of discriminants. In the case of fully determined systems such that the defining functionals have regular singularities, we demonstrate that formal solutions can be sought in the class of functions with regular singularities. This case provides a practical way to apply our results to physics problems.

Keywords: functional equations, quantum field theory, holomorphic functions, Yang Mills mass gap problem, quantum chaos

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Authors: Y. M. Aiyesimi, S. O. Abah, G. T. Okedayo

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A general analysis has been developed to study the chemical reaction effects on unsteady MHD double-diffusive free convective flow over a vertical stretching plate. The governing nonlinear partial differential equations have been reduced to the coupled nonlinear ordinary differential equations by the similarity transformations. The resulting equations are solved numerically by using Runge-Kutta shooting technique. The effects of the chemical parameters are examined on the velocity, temperature and concentration profiles.

Keywords: chemical reaction, MHD, double-diffusive, stretching plate

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Authors: Haniye Dehestani, Yadollah Ordokhani

Abstract:

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 166

Authors: Daniil Karzanov

Abstract:

This paper studies the effect of quarterly earnings reports on the stock price. The profitability of the stock is modeled by geometric Brownian diffusion and the Constant Elasticity of Variance model. We fit several variations of stochastic differential equations to the pre-and after-report period using the Maximum Likelihood Estimation and Grid Search of parameters method. By examining the change in the model parameters after reports’ publication, the study reveals that the reports have enough evidence to be a structural breakpoint, meaning that all the forecast models exploited are not applicable for forecasting and should be refitted shortly.

Keywords: stock market, earnings reports, financial time series, structural breaks, stochastic differential equations

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Authors: Seyed Amin Vakili, Sahar Sadat Vakili, Seyed Ehsan Vakili, Nader Abdoli Yazdi

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The main purpose of this paper is to present the Modified Newmark Method as a method of non-linear frame analysis by considering the effect of the axial load (second order analysis). The discussion will be restricted to plane frameworks containing a constant cross-section for each element. In addition, it is assumed that the frames are prevented from out-of-plane deflection. This part of the investigation is performed to generalize the established method for the assemblage structures such as frameworks. As explained, the governing differential equations are non-linear and cannot be formulated easily due to unknown axial load of the struts in the frame. By the assumption of constant axial load, the governing equations are changed to linear ones in most methods. Since the modeling and the solutions of the non-linear form of the governing equations are cumbersome, the linear form of the equations would be used in the established method. However, according to the ability of the method to reconsider the minor omitted parameters in modeling during the solution procedure, the axial load in the elements at each stage of the iteration can be computed and applied in the next stage. Therefore, the ability of the method to present an accurate approach to the solutions of non-linear equations will be demonstrated again in this paper.

Keywords: nonlinear, stability, buckling, modified newmark method

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Authors: Rafat Alshorman, Fadi Awawdeh

Abstract:

By employing a simplified bilinear method, a class of generalized fifth-order KdV (gfKdV) equations which arise in nonlinear lattice, plasma physics and ocean dynamics are investigated. With the aid of symbolic computation, both solitary wave solutions and multiple-soliton solutions are obtained. These new exact solutions will extend previous results and help us explain the properties of nonlinear solitary waves in many physical models in shallow water. Parametric analysis is carried out in order to illustrate that the soliton amplitude, width and velocity are affected by the coefficient parameters in the equation.

Keywords: multiple soliton solutions, fifth-order evolution equations, Cole-Hopf transformation, Hirota bilinear method

Procedia PDF Downloads 319

Authors: Ahmed Elsayed Ahmed, Ashraf Hafez, A. N. Ouda, Hossam Eldin Hussein Ahmed, Hala Mohamed ABD-Elkader

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Unmanned Aircraft Systems (UAS) are playing increasingly prominent roles in defense programs and defense strategies around the world. Technology advancements have enabled the development of it to do many excellent jobs as reconnaissance, surveillance, battle fighters, and communications relays. Simulating a small unmanned aerial vehicle (SUAV) dynamics and analyzing its behavior at the preflight stage is too important and more efficient. The first step in the UAV design is the mathematical modeling of the nonlinear equations of motion. In this paper, a survey with a standard method to obtain the full non-linear equations of motion is utilized,and then the linearization of the equations according to a steady state flight condition (trimming) is derived. This modeling technique is applied to an Ultrastick-25e fixed wing UAV to obtain the valued linear longitudinal and lateral models. At the end, the model is checked by matching between the behavior of the states of the non-linear UAV and the resulted linear model with doublet at the control surfaces.

Keywords: UAV, equations of motion, modeling, linearization

Procedia PDF Downloads 743

Authors: Jorge Gonzalez Camus, Carlos Lizama

Abstract:

In this work is proved the existence of at least one globally attractive mild solution to the Cauchy problem, for fractional evolution equation of neutral type, involving the fractional derivate in Caputo sense. An almost sectorial operator on a Banach space X and a kernel belonging to a large class appears in the equation, which covers many relevant cases from physics applications, in particular, the important case of time - fractional evolution equations of neutral type. The main tool used in this work was the Hausdorff measure of noncompactness and fixed point theorems, specifically Darbo-type. Initially, the equation is a Cauchy problem, involving a fractional derivate in Caputo sense. Then, is formulated the equivalent integral version, and defining a convenient functional, using the analytic integral resolvent operator, and verifying the hypothesis of the fixed point theorem of Darbo type, give us the existence of mild solution for the initial problem. Furthermore, each mild solution is globally attractive, a property that is desired in asymptotic behavior for that solution.

Keywords: attractive mild solutions, integral Volterra equations, neutral type equations, non-local in time equations

Procedia PDF Downloads 158

Authors: Mohammad Vahedi Torshizi

Abstract:

In this investigation, at first, bending stress, contact stress, Safety factor of bending and Safety factor of contact between sun gear and planet gear tooth was determined using mathematical equations. Also, The amount of Sun Revolution in, Speed carrier, power Transmitted of the sun, sun torque, sun peripheral speed, Enter the tangential force gears, was calculated using mathematical equations. According to the obtained results, maximum of bending stress and contact stress occurred in three plantary and low status of four plantary. Also, maximum of Speed carrier, sun peripheral speed, Safety factor of bending and Safety factor of contact obtained in four plantary and maximum of power Transmitted of the sun, Enter the tangential force gears, bending stress and contact stress was in three pantry and factors And other factors were equal in the two planets.

Keywords: bending stress, contact stress, plantary, mathematical equations

Procedia PDF Downloads 289

Authors: Emad K. Jaradat, Ala’a Al-Faqih

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Nonlinear Schrödinger equations are regularly experienced in numerous parts of science and designing. Varieties of analytical methods have been proposed for solving these equations. In this work, we construct an approximate solution for the nonlinear Schrodinger equations, with harmonic oscillator potential, by Elzaki Decomposition Method (EDM). To illustrate the effects of harmonic oscillator on the behavior wave function, nonlinear Schrodinger equation in one and two dimensions is provided. The results show that, it is more perfectly convenient and easy to apply the EDM in one- and two-dimensional Schrodinger equation.

Keywords: non-linear Schrodinger equation, Elzaki decomposition method, harmonic oscillator, one and two-dimensional Schrodinger equation

Procedia PDF Downloads 187

Authors: Mustafa Bayram Gücen, Coşkun Yakar

Abstract:

In this study, we have investigated the strict stability of fuzzy differential systems and we compare the classical notion of strict stability criteria of ordinary differential equations and the notion of strict stability of fuzzy differential systems. In addition that, we present definitions of stability and strict stability of fuzzy differential equations and also we have some theorems and comparison results. Strict Stability is a different stability definition and this stability type can give us an information about the rate of decay of the solutions. Lyapunov’s second method is a standard technique used in the study of the qualitative behavior of fuzzy differential systems along with a comparison result that allows the prediction of behavior of a fuzzy differential system when the behavior of the null solution of a fuzzy comparison system is known. This method is a usefull for investigating strict stability of fuzzy systems. First of all, we present definitions and necessary background material. Secondly, we discuss and compare the differences between the classical notion of stability and the recent notion of strict stability. And then, we have a comparison result in which the stability properties of the null solution of the comparison system imply the corresponding stability properties of the fuzzy differential system. Consequently, we give the strict stability results and a comparison theorem. We have used Lyapunov second method and we have proved a comparison result with scalar differential equations.

Keywords: fuzzy systems, fuzzy differential equations, fuzzy stability, strict stability

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Authors: Jatupon Em-Udom, Nirand Pisutha-Arnond

Abstract:

The phase-field-crystal, PFC, approach is a density-functional-type material model with an atomic resolution on a diffusive timescale. Spatially, the model incorporates periodic nature of crystal lattices and can naturally exhibit elasticity, plasticity and crystal defects such as grain boundaries and dislocations. Temporally, the model operates on a diffusive timescale which bypasses the need to resolve prohibitively small atomic-vibration time steps. The PFC model has been used to study many material phenomena such as grain growth, elastic and plastic deformations and solid-solid phase transformations. In this study, the pressure-controlled dynamic equation for the PFC model was developed to simulate a single-component system under externally applied pressure; these coupled equations are important for studies of deformable systems such as those under constant pressure. The formulation is based on the non-equilibrium thermodynamics and the thermodynamics of crystalline solids. To obtain the equations, the entropy variation around the equilibrium point was derived. Then the resulting driving forces and flux around the equilibrium were obtained and rewritten as conventional thermodynamic quantities. These dynamics equations are different from the recently-proposed equations; the equations in this study should provide more rigorous descriptions of the system dynamics under externally applied pressure.

Keywords: driving forces and flux, evolution equation, non equilibrium thermodynamics, Onsager’s reciprocal relation, phase field crystal model, thermodynamics of single-component solid

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Authors: Bakur Gulua

Abstract:

In this work, we consider some boundary value problems for the plate. The plate is the elastic material with voids. The state of plate equilibrium is described by the system of differential equations that is derived from three-dimensional equations of equilibrium of an elastic material with voids (Cowin-Nunziato model) by Vekua's reduction method. Its general solution is represented by means of analytic functions of a complex variable and solutions of Helmholtz equations. The problem is solved analytically by the method of the theory of functions of a complex variable.

Keywords: the elastic material with voids, boundary value problems, Vekua's reduction method, a complex variable

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Authors: Fernando Maass, Pablo Martin, Jorge Olivares

Abstract:

Fractional derivatives have become very important in several areas of Engineering, however, the solutions of simple differential equations are not known. Here we are considering the simplest first order nonhomogeneous differential equations with Bessel regular functions of the first kind, in this way the solutions have been found which are hypergeometric solutions for any fractional derivative of order α, where α is rational number α=m/p, between zero and one. The way to find this result is by using Laplace transform and the Caputo definitions of fractional derivatives. This method is for values longer than one. However for α entire number the hypergeometric functions are Kumer type, no integer values of alpha, the hypergeometric function is more complicated is type ₂F₃(a,b,c, t2/2). The argument of the hypergeometric changes sign when we go from the regular Bessel functions to the modified Bessel functions of the first kind, however it integer seems that using precise values of α and considering no integers values of α, a solution can be obtained in terms of two hypergeometric functions. Further research is required for future papers in order to obtain the general solution for any rational value of α.

Keywords: Caputo, fractional calculation, hypergeometric, linear differential equations

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Authors: Palwinder Singh, Munish Sandhir, Tejinder Singh

Abstract:

The ordinary differential equations (ODE) represent a natural framework for mathematical modeling of many real-life situations in the field of engineering, control systems, physics, chemistry and astronomy etc. Such type of differential equations can be solved by analytical methods or by numerical methods. If the solution is calculated using analytical methods, it is done through calculus theories, and thus requires a longer time to solve. In this paper, we compare the numerical accuracy of the solutions given by the three main types of one-step initial value solvers: Taylor’s Series Method, Euler’s Method and Runge-Kutta Fourth Order Method (RK4). The comparison of accuracy is obtained through comparing the solutions of ordinary differential equation given by these three methods. Furthermore, to verify the accuracy; we compare these numerical solutions with the exact solutions.

Keywords: Ordinary differential equations (ODE), Taylor’s Series Method, Euler’s Method, Runge-Kutta Fourth Order Method

Procedia PDF Downloads 358

Authors: Serifenur Cebesoy, Yelda Aygar, Elgiz Bairamov

Abstract:

In this study, we examine some spectral properties of non-selfadjoint matrix-valued difference equations consisting of a polynomial type Jost solution. The aim of this study is to investigate the eigenvalues and spectral singularities of the difference operator L which is expressed by the above-mentioned difference equation. Firstly, thanks to the representation of polynomial type Jost solution of this equation, we obtain asymptotics and some analytical properties. Then, using the uniqueness theorems of analytic functions, we guarantee that the operator L has a finite number of eigenvalues and spectral singularities.

Keywords: asymptotics, continuous spectrum, difference equations, eigenvalues, jost functions, spectral singularities

Procedia PDF Downloads 446

Authors: Ebru Dural, M. Zulfu Asık

Abstract:

Laminated glass is a kind of safety glass, which is made by 'sandwiching' two glass sheets and a polyvinyl butyral (PVB) interlayer in between them. When the glass is broken, the interlayer in between the glass sheets can stick them together. Because of this property, the hazards of sharp projectiles during natural and man-made disasters reduces. They can be widely applied in building, architecture, automotive, transport industries. Laminated glass can easily undergo large displacements even under their own weight. In order to explain their true behavior, they should be analyzed by using large deflection theory to represent nonlinear behavior. In this study, a nonlinear mathematical model is developed for the analysis of laminated glass cylindrical shell which is free in radial directions and restrained in axial directions. The results will be verified by using the results of the experiment, carried out on laminated glass cylindrical shells. The behavior of laminated composite cylindrical shell can be represented by five partial differential equations. Four of the five equations are used to represent axial displacements and radial displacements and the fifth one for the transverse deflection of the unit. Governing partial differential equations are derived by employing variational principles and minimum potential energy concept. Finite difference method is employed to solve the coupled differential equations. First, they are converted into a system of matrix equations and then iterative procedure is employed. Iterative procedure is necessary since equations are coupled. Problems occurred in getting convergent sequence generated by the employed procedure are overcome by employing variable underrelaxation factor. The procedure developed to solve the differential equations provides not only less storage but also less calculation time, which is a substantial advantage in computational mechanics problems.

Keywords: laminated glass, mathematical model, nonlinear behavior, PVB

Procedia PDF Downloads 319

Authors: Yacine Arioua

Abstract:

In this paper, we investigate the existence and uniqueness of solutions for a coupled system of nonlinear Caputo-type Katugampola fractional differential equations with integral boundary conditions. Based upon a contraction mapping principle, Schauders fixed point theorems, some new existence and uniqueness results of solutions for the given problems are obtained. For application, some examples are given to illustrate the usefulness of our main results.

Keywords: fractional differential equations, coupled system, Caputo-Katugampola derivative, fixed point theorems, existence, uniqueness

Procedia PDF Downloads 264

Authors: S. Obregon-Cano, R. Moreno-Rojas, E. Cartea-Gonzalez, A. De Haro-Bailon

Abstract:

The potential of near-infrared spectroscopy (NIRS) for screening the total glucosinolate (t-GSL) content, and also, the aliphatic glucosinolates gluconapin (GNA), progoitrin (PRO) and glucobrassicanapin (GBN) in turnip greens and turnip tops was assessed. This crop is grown for edible leaves and stems for human consumption. The reference values for glucosinolates, as they were obtained by high performance liquid chromatography on the vegetable samples, were regressed against different spectral transformations by modified partial least-squares (MPLS) regression (calibration set of samples n= 350). The resulting models were satisfactory, with calibration coefficient values from 0.72 (GBN) to 0.98 (tGSL). The predictive ability of the equations obtained was tested using a set of samples (n=70) independent of the calibration set. The determination coefficients and prediction errors (SEP) obtained in the external validation were: GNA=0.94 (SEP=3.49); PRO=0.41 (SEP=1.08); GBN=0.55 (SEP=0.60); tGSL=0.96 (SEP=3.28). These results show that the equations developed for total glucosinolates, as well as for gluconapin can be used for screening these compounds in the leaves and stems of this species. In addition, the progoitrin and glucobrassicanapin equations obtained can be used to identify those samples with high, medium and low contents. The calibration equations obtained were accurate enough for a fast, non-destructive and reliable analysis of the content in GNA and tGSL directly from NIR spectra. The equations for PRO and GBN can be employed to identify samples with high, medium and low contents.

Keywords: brassica rapa, glucosinolates, gluconapin, NIRS, turnip greens

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Authors: Mezghiche Kamel

Abstract:

We present solitary wave solutions for the perturbed nonlinear Schrodinger (PNLS) equation describing propagation of femtosecond light pulses through the fiber Bragg grating structure where the pulse dynamics is governed by the nonlinear-coupled mode (NLCM) equations. Using the multiple scale analysis, we reduce the NLCM equations into the perturbed nonlinear Schrodinger (PNLS) type equation. Unlike the reported solitary wave solutions of the PNLS equation, the novel ones can describe W shaped of solitons and their properties.

Keywords: fiber bragg grating, nonlinear-coupled mode equations, w shaped of solitons, PNLS

Procedia PDF Downloads 769

Authors: Z. N. Haji, S. O. Oyadiji, H. Samami, O. Farrell

Abstract:

The prediction of the vibration response of rubber products by analytical or numerical method depends mainly on the predefined intrinsic material properties such as Young’s modulus, damping factor and Poisson’s ratio. Such intrinsic properties are determined experimentally by subjecting a bonded rubber sample to compression tests. The compression tests on such a sample yield an apparent Young’s modulus which is greater in magnitude than the intrinsic Young’s modulus of the rubber. As a result, many analytical equations have been developed to determine Young’s modulus from an apparent Young’s modulus of bonded rubber materials. In this work, the applicability of some of these analytical equations is assessed via experimental testing. The assessment is based on testing of vulcanized nitrile butadiene rubber (NBR70) samples using tensile test and compression test methods. The analytical equations are used to determine the intrinsic Young’s modulus from the apparent modulus that is derived from the compression test data of the bonded rubber samples. Then, these Young’s moduli are compared with the actual Young’s modulus that is derived from the tensile test data. The results show significant discrepancy between the Young’s modulus derived using the analytical equations and the actual Young’s modulus.

Keywords: bonded rubber, quasi-static test, shape factor, apparent Young’s modulus

Procedia PDF Downloads 173

Authors: O. Acan, Y. Keskin

Abstract:

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

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Authors: Jaan Lellep, Shahid Mubasshar

Abstract:

A numerical solution is developed for simply supported nanoarches based on the non-local theory of elasticity. The nanoarch under consideration has a step-wise variable cross-section and is weakened by crack-like defects. It is assumed that the cracks are stationary and the mechanical behaviour of the nanoarch can be modeled by Eringen’s non-local theory of elasticity. The physical and thermal properties are sensitive with respect to changes of dimensions in the nano level. The classical theory of elasticity is unable to describe such changes in material properties. This is because, during the development of the classical theory of elasticity, the speculation of molecular objects was avoided. Therefore, the non-local theory of elasticity is applied to study the vibration of nanostructures and it has been accepted by many researchers. In the non-local theory of elasticity, it is assumed that the stress state of the body at a given point depends on the stress state of each point of the structure. However, within the classical theory of elasticity, the stress state of the body depends only on the given point. The system of main equations consists of equilibrium equations, geometrical relations and constitutive equations with boundary and intermediate conditions. The system of equations is solved by using the method of separation of variables. Consequently, the governing differential equations are converted into a system of algebraic equations whose solution exists if the determinant of the coefficients of the matrix vanishes. The influence of cracks and steps on the natural vibration of the nanoarches is prescribed with the aid of additional local compliance at the weakened cross-section. An algorithm to determine the eigenfrequencies of the nanoarches is developed with the help of computer software. The effects of various physical and geometrical parameters are recorded and drawn graphically.

Keywords: crack, nanoarches, natural frequency, step

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Authors: H. D. Ibrahim, H. C. Chinwenyi, T. Danjuma

Abstract:

An option is defined as a financial contract that provides the holder the right but not the obligation to buy or sell a specified quantity of an underlying asset in the future at a fixed price (called a strike price) on or before the expiration date of the option. This paper examined two approaches for derivation of Partial Differential Equation (PDE) options price valuation formula for the Heston stochastic volatility model. We obtained various PDE option price valuation formulas using the riskless portfolio method and the application of Feynman-Kac theorem respectively. From the results obtained, we see that the two derived PDEs for Heston model are distinct and non-unique. This establishes the fact of incompleteness in the model for option price valuation.

Keywords: Black-Scholes partial differential equations, Ito process, option price valuation, partial differential equations

Procedia PDF Downloads 145

Authors: Jorge Gonzalez-Camus

Abstract:

In this work is proved the existence of at least one minimal and maximal mild solutions to the Cauchy problem, for fractional evolution equation of neutral type, involving a general kernel. An operator A generating a resolvent family and integral resolvent family on a Banach space X and a kernel belonging to a large class appears in the equation, which covers many relevant cases from physics applications, in particular, the important case of time - fractional evolution equations of neutral type. The main tool used in this work was the Kuratowski measure of noncompactness and fixed point theorems, specifically Darbo-type, and an iterative method of lower and upper solutions, based in an order in X induced by a normal cone P. Initially, the equation is a Cauchy problem, involving a fractional derivate in Caputo sense. Then, is formulated the equivalent integral version, and defining a convenient functional, using the theory of resolvent families, and verifying the hypothesis of the fixed point theorem of Darbo type, give us the existence of mild solution for the initial problem. Furthermore, the existence of minimal and maximal mild solutions was proved through in an iterative method of lower and upper solutions, using the Azcoli-Arzela Theorem, and the Gronwall’s inequality. Finally, we recovered the case derivate in Caputo sense.

Keywords: fractional evolution equations, Volterra integral equations, minimal and maximal mild solutions, neutral type equations, non-local in time equations

Procedia PDF Downloads 176

Authors: Arcady Ponosov

Abstract:

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 254

Authors: Sufyan Muhammad

Abstract:

Recently, in achieving highly efficient but at the same time highly accurate solutions has become the major target of numerical analyst community. The concept is termed as compact schemes and has gained great popularity and consequently, we construct compact schemes for fourth order parabolic differential equations used to study vibrations in structures. For the superiority of newly constructed schemes, we consider range of examples. We have achieved followings i.e. (a) numerical scheme utilizes minimum number of stencil points (which means new scheme is compact); (b) numerical scheme is highly accurate (which means new scheme is reliable) and (c) numerical scheme is highly efficient (which means new scheme is fast).

Keywords: central finite differences, compact schemes, Bernoulli's equations, finite differences

Procedia PDF Downloads 288