Search results for: nonlinear partial differential equation
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 5152

Search results for: nonlinear partial differential equation

5122 The Non-Uniqueness of Partial Differential Equations Options Price Valuation Formula for Heston Stochastic Volatility Model

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 105
5121 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

Abstract:

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 428
5120 A Simple Finite Element Method for Glioma Tumor Growth Model with Density Dependent Diffusion

Authors: Shangerganesh Lingeshwaran

Abstract:

In this presentation, we have performed numerical simulations for a reaction-diffusion equation with various nonlinear density-dependent diffusion operators and proliferation functions. The mathematical model represented by parabolic partial differential equation is considered to study the invasion of gliomas (the most common type of brain tumors) and to describe the growth of cancer cells and response to their treatment. The unknown quantity of the given reaction-diffusion equation is the density of cancer cells and the mathematical model based on the proliferation and migration of glioma cells. A standard Galerkin finite element method is used to perform the numerical simulations of the given model. Finally, important observations on the each of nonlinear diffusion functions and proliferation functions are presented with the help of computational results.

Keywords: glioma invasion, nonlinear diffusion, reaction-diffusion, finite eleament method

Procedia PDF Downloads 194
5119 Stability Analysis of Two-delay Differential Equation for Parkinson's Disease Models with Positive Feedback

Authors: M. A. Sohaly, M. A. Elfouly

Abstract:

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 91
5118 A Study of Flow near the Leading Edge of a Flat Plate by New Idea in Analytical Methods

Authors: M. R. Akbari, S. Akbari, L. Abdollahpour

Abstract:

The present paper is concerned with calculating the 2-dimensional velocity profile of a viscous flow for an incompressible fluid along the leading edge of a flat plate by using the continuity and motion equations with a simple and innovative approach. A Comparison between Numerical method and AGM has been made and the results have been revealed that AGM is very accurate and easy and can be applied for a wide variety of nonlinear problems. It is notable that most of the differential equations can be solved in this approach which in the other approaches they do not have this capability. Moreover, there are some valuable benefits in this method of solving differential equations, for instance: Without any dimensionless procedure, we can solve many differential equation(s), that is, differential equations are directly solvable by this method. In addition, it is not necessary to convert variables into new ones. According to the afore-mentioned expressions which will be proved in this literature, the process of solving nonlinear differential equation(s) will be very simple and convenient in contrast to the other approaches.

Keywords: leading edge, new idea, flat plate, incompressible fluid

Procedia PDF Downloads 250
5117 Numerical Solution of Porous Media Equation Using Jacobi Operational Matrix

Authors: Shubham Jaiswal

Abstract:

During modeling of transport phenomena in porous media, many nonlinear partial differential equations (NPDEs) encountered which greatly described the convection, diffusion and reaction process. To solve such types of nonlinear problems, a reliable and efficient technique is needed. In this article, the numerical solution of NPDEs encountered in porous media is derived. Here Jacobi collocation method is used to solve the considered problems which convert the NPDEs in systems of nonlinear algebraic equations that can be solved using Newton-Raphson method. The numerical results of some illustrative examples are reported to show the efficiency and high accuracy of the proposed approach. The comparison of the numerical results with the existing analytical results already reported in the literature and the error analysis for each example exhibited through graphs and tables confirms the exponential convergence rate of the proposed method.

Keywords: nonlinear porous media equation, shifted Jacobi polynomials, operational matrix, spectral collocation method

Procedia PDF Downloads 397
5116 Development of a Model Based on Wavelets and Matrices for the Treatment of Weakly Singular Partial Integro-Differential Equations

Authors: Somveer Singh, Vineet Kumar Singh

Abstract:

We present a new model based on viscoelasticity for the Non-Newtonian fluids.We use a matrix formulated algorithm to approximate solutions of a class of partial integro-differential equations with the given initial and boundary conditions. Some numerical results are presented to simplify application of operational matrix formulation and reduce the computational cost. Convergence analysis, error estimation and numerical stability of the method are also investigated. Finally, some test examples are given to demonstrate accuracy and efficiency of the proposed method.

Keywords: Legendre Wavelets, operational matrices, partial integro-differential equation, viscoelasticity

Procedia PDF Downloads 294
5115 Sensitivity Analysis and Solitary Wave Solutions to the (2+1)-Dimensional Boussinesq Equation in Dispersive Media

Authors: Naila Nasreen, Dianchen Lu

Abstract:

This paper explores the dynamical behavior of the (2+1)-dimensional Boussinesq equation, which is a nonlinear water wave equation and is used to model wave packets in dispersive media with weak nonlinearity. This equation depicts how long wave made in shallow water propagates due to the influence of gravity. The (2+1)- dimensional Boussinesq equation combines the two-way propagation of the classical Boussinesq equation with the dependence on a second spatial variable, as that occurs in the two-dimensional Kadomstev- Petviashvili equation. This equation provides a description of head- on collision of oblique waves and it possesses some interesting properties. The governing model is discussed by the assistance of Ricatti equation mapping method, a relatively integration tool. The solutions have been extracted in different forms the solitary wave solutions as well as hyperbolic and periodic solutions. Moreover, the sensitivity analysis is demonstrated for the designed dynamical structural system’s wave profiles, where the soliton wave velocity and wave number parameters regulate the water wave singularity. In addition to being helpful for elucidating nonlinear partial differential equations, the method in use gives previously extracted solutions and extracts fresh exact solutions. Assuming the right values for the parameters, various graph in different shapes are sketched to provide information about the visual format of the earned results. This paper’s findings support the efficacy of the approach taken in enhancing nonlinear dynamical behavior. We believe this research will be of interest to a wide variety of engineers that work with engineering models. Findings show the effectiveness simplicity, and generalizability of the chosen computational approach, even when applied to complicated systems in a variety of fields, especially in ocean engineering.

Keywords: (2+1)-dimensional Boussinesq equation, solitary wave solutions, Ricatti equation mapping approach, nonlinear phenomena

Procedia PDF Downloads 38
5114 Application of a Modified Crank-Nicolson Method in Metallurgy

Authors: Kobamelo Mashaba

Abstract:

The molten slag has a high substantial temperatures range between 1723-1923, carrying a huge amount of useful energy for reducing energy consumption and CO₂ emissions under the heat recovery process. Therefore in this study, we investigated the performance of the modified crank Nicolson method for a delayed partial differential equation on the heat recovery of molten slag in the metallurgical mining environment. It was proved that the proposed method converges quickly compared to the classic method with the existence of a unique solution. It was inferred from numerical result that the proposed methodology is more viable and profitable for the mining industry.

Keywords: delayed partial differential equation, modified Crank-Nicolson Method, molten slag, heat recovery, parabolic equation

Procedia PDF Downloads 69
5113 Analytical Solution for Thermo-Hydro-Mechanical Analysis of Unsaturated Porous Media Using AG Method

Authors: Davood Yazdani Cherati, Hussein Hashemi Senejani

Abstract:

In this paper, a convenient analytical solution for a system of coupled differential equations, derived from thermo-hydro-mechanical analysis of three-phase porous media such as unsaturated soils is developed. This kind of analysis can be used in various fields such as geothermal energy systems and seepage of leachate from buried municipal and domestic waste in geomaterials. Initially, a system of coupled differential equations, including energy, mass, and momentum conservation equations is considered, and an analytical method called AGM is employed to solve the problem. The method is straightforward and comprehensible and can be used to solve various nonlinear partial differential equations (PDEs). Results indicate the accuracy of the applied method for solving nonlinear partial differential equations.

Keywords: AGM, analytical solution, porous media, thermo-hydro-mechanical, unsaturated soils

Procedia PDF Downloads 183
5112 A Study on the Solutions of the 2-Dimensional and Forth-Order Partial Differential Equations

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

Procedia PDF Downloads 396
5111 A Trapezoidal-Like Integrator for the Numerical Solution of One-Dimensional Time Dependent Schrödinger Equation

Authors: Johnson Oladele Fatokun, I. P. Akpan

Abstract:

In this paper, the one-dimensional time dependent Schrödinger equation is discretized by the method of lines using a second order finite difference approximation to replace the second order spatial derivative. The evolving system of stiff ordinary differential equation (ODE) in time is solved numerically by an L-stable trapezoidal-like integrator. Results show accuracy of relative maximum error of order 10-4 in the interval of consideration. The performance of the method as compared to an existing scheme is considered favorable.

Keywords: Schrodinger’s equation, partial differential equations, method of lines (MOL), stiff ODE, trapezoidal-like integrator

Procedia PDF Downloads 375
5110 Vibration Analysis of Pendulum in a Viscous Fluid by Analytical Methods

Authors: Arash Jafari, Mehdi Taghaddosi, Azin Parvin

Abstract:

In this study, a vibrational differential equation governing on swinging single-degree-of-freedom pendulum in a viscous fluid has been investigated. The damping process is characterized according to two different regimes: at first, damping in stationary viscous fluid, in the second, damping in flowing viscous fluid with constant velocity. Our purpose is to enhance the ability of solving the mentioned nonlinear differential equation with a simple and innovative approach. Comparisons are made between new method and Numerical Method (rkf45). The results show that this method is very effective and simple and can be applied for other nonlinear problems.

Keywords: oscillating systems, angular frequency and damping ratio, pendulum at fluid, locus of maximum

Procedia PDF Downloads 305
5109 Study on Optimal Control Strategy of PM2.5 in Wuhan, China

Authors: Qiuling Xie, Shanliang Zhu, Zongdi Sun

Abstract:

In this paper, we analyzed the correlation relationship among PM2.5 from other five Air Quality Indices (AQIs) based on the grey relational degree, and built a multivariate nonlinear regression equation model of PM2.5 and the five monitoring indexes. For the optimal control problem of PM2.5, we took the partial large Cauchy distribution of membership equation as satisfaction function. We established a nonlinear programming model with the goal of maximum performance to price ratio. And the optimal control scheme is given.

Keywords: grey relational degree, multiple linear regression, membership function, nonlinear programming

Procedia PDF Downloads 251
5108 A Mathematical-Based Formulation of EEG Fluctuations

Authors: Razi Khalafi

Abstract:

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 392
5107 Speeding up Nonlinear Time History Analysis of Base-Isolated Structures Using a Nonlinear Exponential Model

Authors: Nicolò Vaiana, Giorgio Serino

Abstract:

The nonlinear time history analysis of seismically base-isolated structures can require a significant computational effort when the behavior of each seismic isolator is predicted by adopting the widely used differential equation Bouc-Wen model. In this paper, a nonlinear exponential model, able to simulate the response of seismic isolation bearings within a relatively large displacements range, is described and adopted in order to reduce the numerical computations and speed up the nonlinear dynamic analysis. Compared to the Bouc-Wen model, the proposed one does not require the numerical solution of a nonlinear differential equation for each time step of the analysis. The seismic response of a 3d base-isolated structure with a lead rubber bearing system subjected to harmonic earthquake excitation is simulated by modeling each isolator using the proposed analytical model. The comparison of the numerical results and computational time with those obtained by modeling the lead rubber bearings using the Bouc-Wen model demonstrates the good accuracy of the proposed model and its capability to reduce significantly the computational effort of the analysis.

Keywords: base isolation, computational efficiency, nonlinear exponential model, nonlinear time history analysis

Procedia PDF Downloads 346
5106 Exact Soliton Solutions of the Integrable (2+1)-Dimensional Fokas-Lenells Equation

Authors: Meruyert Zhassybayeva, Kuralay Yesmukhanova, Ratbay Myrzakulov

Abstract:

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 174
5105 Numerical Solutions of Generalized Burger-Fisher Equation by Modified Variational Iteration Method

Authors: M. O. Olayiwola

Abstract:

Numerical solutions of the generalized Burger-Fisher are obtained using a Modified Variational Iteration Method (MVIM) with minimal computational efforts. The computed results with this technique have been compared with other results. The present method is seen to be a very reliable alternative method to some existing techniques for such nonlinear problems.

Keywords: burger-fisher, modified variational iteration method, lagrange multiplier, Taylor’s series, partial differential equation

Procedia PDF Downloads 387
5104 Equations of Pulse Propagation in Three-Layer Structure of As2S3 Chalcogenide Plasmonic Nano-Waveguides

Authors: Leila Motamed-Jahromi, Mohsen Hatami, Alireza Keshavarz

Abstract:

This research aims at obtaining the equations of pulse propagation in nonlinear plasmonic waveguides created with As2S3 chalcogenide materials. Via utilizing Helmholtz equation and first-order perturbation theory, two components of electric field are determined within frequency domain. Afterwards, the equations are formulated in time domain. The obtained equations include two coupled differential equations that considers nonlinear dispersion.

Keywords: nonlinear optics, plasmonic waveguide, chalcogenide, propagation equation

Procedia PDF Downloads 363
5103 Some Inequalities Related with Starlike Log-Harmonic Mappings

Authors: Melike Aydoğan, Dürdane Öztürk

Abstract:

Let H(D) be the linear space of all analytic functions defined on the open unit disc. A log-harmonic mappings is a solution of the nonlinear elliptic partial differential equation where w(z) ∈ H(D) is second dilatation such that |w(z)| < 1 for all z ∈ D. The aim of this paper is to define some inequalities of starlike logharmonic functions of order α(0 ≤ α ≤ 1).

Keywords: starlike log-harmonic functions, univalent functions, distortion theorem

Procedia PDF Downloads 488
5102 Reduced Differential Transform Methods for Solving the Fractional Diffusion Equations

Authors: Yildiray Keskin, Omer Acan, Murat Akkus

Abstract:

In this paper, the solution of fractional diffusion equations is presented by means of the reduced differential transform method. Fractional partial differential equations have special importance in engineering and sciences. Application of reduced differential transform method to this problem shows the rapid convergence of the sequence constructed by this method to the exact solution. The numerical results show that the approach is easy to implement and accurate when applied to fractional diffusion equations. The method introduces a promising tool for solving many fractional partial differential equations.

Keywords: fractional diffusion equations, Caputo fractional derivative, reduced differential transform method, partial

Procedia PDF Downloads 483
5101 Basket Option Pricing under Jump Diffusion Models

Authors: Ali Safdari-Vaighani

Abstract:

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 312
5100 Soliton Solutions of the Higher-Order Nonlinear Schrödinger Equation with Dispersion Effects

Authors: H. Triki, Y. Hamaizi, A. El-Akrmi

Abstract:

We consider the higher order nonlinear Schrödinger equation model with fourth-order dispersion, cubic-quintic terms, and self-steepening. This equation governs the propagation of fem to second pulses in optical fibers. We present new bright and dark solitary wave type solutions for such a model under certain parametric conditions. This kind of solution may be useful to explain some physical phenomena related to wave propagation in a nonlinear optical fiber systems supporting high-order nonlinear and dispersive effects.

Keywords: nonlinear Schrödinger equation, high-order effects, soliton solution

Procedia PDF Downloads 590
5099 Exact Solutions of a Nonlinear Schrodinger Equation with Kerr Law Nonlinearity

Authors: Muna Alghabshi, Edmana Krishnan

Abstract:

A nonlinear Schrodinger equation has been considered for solving by mapping methods in terms of Jacobi elliptic functions (JEFs). The equation under consideration has a linear evolution term, linear and nonlinear dispersion terms, the Kerr law nonlinearity term and three terms representing the contribution of meta materials. This equation which has applications in optical fibers is found to have soliton solutions, shock wave solutions, and singular wave solutions when the modulus of the JEFs approach 1 which is the infinite period limit. The equation with special values of the parameters has also been solved using the tanh method.

Keywords: Jacobi elliptic function, mapping methods, nonlinear Schrodinger Equation, tanh method

Procedia PDF Downloads 263
5098 The Physics of Turbulence Generation in a Fluid: Numerical Investigation Using a 1D Damped-MNLS Equation

Authors: Praveen Kumar, R. Uma, R. P. Sharma

Abstract:

This study investigates the generation of turbulence in a deep-fluid environment using a damped 1D-modified nonlinear Schrödinger equation model. The well-known damped modified nonlinear Schrödinger equation (d-MNLS) is solved using numerical methods. Artificial damping is added to the MNLS equation, and turbulence generation is investigated through a numerical simulation. The numerical simulation employs a finite difference method for temporal evolution and a pseudo-spectral approach to characterize spatial patterns. The results reveal a recurring periodic pattern in both space and time when the nonlinear Schrödinger equation is considered. Additionally, the study shows that the modified nonlinear Schrödinger equation disrupts the localization of structure and the recurrence of the Fermi-Pasta-Ulam (FPU) phenomenon. The energy spectrum exhibits a power-law behavior, closely following Kolmogorov's spectra steeper than k⁻⁵/³ in the inertial sub-range.

Keywords: water waves, modulation instability, hydrodynamics, nonlinear Schrödinger's equation

Procedia PDF Downloads 17
5097 Total Controllability of the Second Order Nonlinear Differential Equation with Delay and Non-Instantaneous Impulses

Authors: Muslim Malik, Avadhesh Kumar

Abstract:

A stronger concept of exact controllability which is called Total Controllability is introduced in this manuscript. Sufficient conditions have been established for the total controllability of a control problem, governed by second order nonlinear differential equation with delay and non-instantaneous impulses in a Banach space X. The results are obtained using the strongly continuous cosine family and Banach fixed point theorem. Also, the total controllability of an integrodifferential problem is investigated. At the end, some numerical examples are provided to illustrate the analytical findings.

Keywords: Banach fixed point theorem, non-instantaneous impulses, strongly continuous cosine family, total controllability

Procedia PDF Downloads 263
5096 Nonlinear Vibration Analysis of a Functionally Graded Micro-Beam under a Step DC Voltage

Authors: Ali Raheli, Rahim Habibifar, Behzad Mohammadi-Alasti, Mahdi Abbasgholipour

Abstract:

This paper presents vibration behavior of a FGM micro-beam and its pull-in instability under a nonlinear electrostatic pressure. An exponential function has been applied to show the continuous gradation of the properties along thickness. Nonlinear integro-differential-electro-mechanical equation based on Euler–Bernoulli beam theory has been derived. The governing equation in the static analysis has been solved using Step-by-Step Linearization Method and Finite Difference Method. Fixed points or equilibrium positions and singular points have been shown in the state control space. In order to find the response to a step DC voltage, the nonlinear equation of motion has been solved using Galerkin-based reduced-order model and time histories and phase portrait for different applied voltages have been shown. The effects of electrostatic pressure on stability of FGM micro-beams having various amounts of the ceramic constituent have been investigated.

Keywords: FGM, MEMS, nonlinear vibration, electrical, dynamic pull-in voltage

Procedia PDF Downloads 419
5095 A Nonstandard Finite Difference Method for Weather Derivatives Pricing Model

Authors: Clarinda Vitorino Nhangumbe, Fredericks Ebrahim, Betuel Canhanga

Abstract:

The price of an option weather derivatives can be approximated as a solution of the two-dimensional convection-diffusion dominant partial differential equation derived from the Ornstein-Uhlenbeck process, where one variable represents the weather dynamics and the other variable represent the underlying weather index. With appropriate financial boundary conditions, the solution of the pricing equation is approximated using a nonstandard finite difference method. It is shown that the proposed numerical scheme preserves positivity as well as stability and consistency. In order to illustrate the accuracy of the method, the numerical results are compared with other methods. The model is tested for real weather data.

Keywords: nonstandard finite differences, Ornstein-Uhlenbeck process, partial differential equations approach, weather derivatives

Procedia PDF Downloads 46
5094 Optimal Investment and Consumption Decision for an Investor with Ornstein-Uhlenbeck Stochastic Interest Rate Model through Utility Maximization

Authors: Silas A. Ihedioha

Abstract:

In this work; it is considered that an investor’s portfolio is comprised of two assets; a risky stock which price process is driven by the geometric Brownian motion and a risk-free asset with Ornstein-Uhlenbeck Stochastic interest rate of return, where consumption, taxes, transaction costs and dividends are involved. This paper aimed at the optimization of the investor’s expected utility of consumption and terminal return on his investment at the terminal time having power utility preference. Using dynamic optimization procedure of maximum principle, a second order nonlinear partial differential equation (PDE) (the Hamilton-Jacobi-Bellman equation HJB) was obtained from which an ordinary differential equation (ODE) obtained via elimination of variables. The solution to the ODE gave the closed form solution of the investor’s problem. It was found the optimal investment in the risky asset is horizon dependent and a ratio of the total amount available for investment and the relative risk aversion coefficient.

Keywords: optimal, investment, Ornstein-Uhlenbeck, utility maximization, stochastic interest rate, maximum principle

Procedia PDF Downloads 180
5093 Exact and Approximate Controllability of Nuclear Dynamics Using Bilinear Controls

Authors: Ramdas Sonawane, Mahaveer Gadiya

Abstract:

The control problem associated with nuclear dynamics is represented by nonlinear integro-differential equation with additive controls. To control chain reaction, certain amount of neutrons is added into (or withdrawn out of) chamber as and when required. It is not realistic. So, we can think of controlling the reactor dynamics by bilinear control, which enters the system as coefficient of state. In this paper, we study the approximate and exact controllability of parabolic integro-differential equation controlled by bilinear control with non-homogeneous boundary conditions in bounded domain. We prove the existence of control and propose an explicit control strategy.

Keywords: approximate control, exact control, bilinear control, nuclear dynamics, integro-differential equations

Procedia PDF Downloads 397