Search results for: fractional differential equation

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: Radial basis function, basket option, jump diffusion, RBF-PUM.

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Authors: Weihua Ruan, Kuan-Chou Chen

Abstract:

This paper is concerned with a system of Hamilton-Jacobi-Bellman equations coupled with an autonomous dynamical system. The mathematical system arises in the differential game formulation of political economy models as an infinite-horizon continuous-time differential game with discounted instantaneous payoff rates and continuously and discretely varying state variables. The existence of a weak solution of the PDE system is proven and a computational scheme of approximate solution is developed for a class of such systems. A model of democratization is mathematically analyzed as an illustration of application.

Keywords: Differential games, Hamilton-Jacobi-Bellman equations, infinite horizon, political-economy models.

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Authors: Ahmet Tekcan, Betül Gezer, Osman Bizim

Abstract:

Let k ≥ 1 and t ≥ 0 be two integers and let d = k2 + k be a positive non-square integer. In this paper, we consider the integer solutions of Pell equation x2 - dy2 = 2t. Further we derive a recurrence relation on the solutions of this equation.

Keywords: Pell equation, Diophantine equation.

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Authors: M. A. Koroma, Z. Chuangyi, A. F., Kamara, A. M. H. Conteh

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In this work, we apply the Modified Laplace decomposition algorithm in finding a numerical solution of Blasius’ boundary layer equation for the flat plate in a uniform stream. The series solution is found by first applying the Laplace transform to the differential equation and then decomposing the nonlinear term by the use of Adomian polynomials. The resulting series, which is exactly the same as that obtained by Weyl 1942a, was expressed as a rational function by the use of diagonal padé approximant.

Keywords: Modified Laplace decomposition algorithm, Boundary layer equation, Padé approximant, Numerical solution.

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Authors: Mohd Agos Salim Nasir, Ahmad Izani Md. Ismail

Abstract:

Several numerical schemes utilizing central difference approximations have been developed to solve the Goursat problem. However, in a recent years compact discretization methods which leads to high-order finite difference schemes have been used since it is capable of achieving better accuracy as well as preserving certain features of the equation e.g. linearity. The basic idea of the new scheme is to find the compact approximations to the derivative terms by differentiating centrally the governing equations. Our primary interest is to study the performance of the new scheme when applied to two Goursat partial differential equations against the traditional finite difference scheme.

Keywords: Goursat problem, partial differential equation, finite difference scheme, compact finite difference

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Authors: Yusuke Uchiyama, Hidetoshi Konno

Abstract:

We have investigated statistical properties of the defect turbulence in 1D CGLE wherein many body interaction is involved between local depressing wave (LDW) and local standing wave (LSW). It is shown that the counting number fluctuation of LDW is subject to the sub-Poisson statistics (SUBP). The physical origin of the SUBP can be ascribed to pair extinction of LDWs based on the master equation approach. It is also shown that the probability density function (pdf) of inter-LDW distance can be identified by the hyper gamma distribution. Assuming a superstatistics of the exponential distribution (Poisson configuration), a plausible explanation is given. It is shown further that the pdf of amplitude of LDW has a fattail. The underlying mechanism of its fluctuation is examined by introducing a generalized fractional Poisson configuration.

Keywords: sub-Poisson statistics, hyper gamma distribution, fractional Poisson configuration.

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Authors: Saeed Sarabadan, Mehran Nikarya, Kouroah Parand

Abstract:

The magnetohydrodynamic (MHD) Falkner-Skan equations appear in study of laminar boundary layers flow over a wedge in presence of a transverse magnetic field. The partial differential equations of boundary layer problems in presence of a transverse magnetic field are reduced to MHD Falkner-Skan equation by similarity solution methods. This is a nonlinear ordinary differential equation. In this paper, we solve this equation via spectral collocation method based on Bessel functions of the first kind. In this approach, we reduce the solution of the nonlinear MHD Falkner-Skan equation to a solution of a nonlinear algebraic equations system. Then, the resulting system is solved by Newton method. We discuss obtained solution by studying the behavior of boundary layer flow in terms of skin friction, velocity, various amounts of magnetic field and angle of wedge. Finally, the results are compared with other methods mentioned in literature. We can conclude that the presented method has better accuracy than others.

Keywords: MHD Falkner-Skan, nonlinear ODE, spectral collocation method, Bessel functions, skin friction, velocity.

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Authors: M.Imanova, G.Mehdiyeva, V.Ibrahimov

Abstract:

Solution of some practical problems is reduced to the solution of the integro-differential equations. But for the numerical solution of such equations basically quadrature methods or its combination with multistep or one-step methods are used. The quadrature methods basically is applied to calculation of the integral participating in right hand side of integro-differential equations. As this integral is of Volterra type, it is obvious that at replacement with its integrated sum the upper limit of the sum depends on a current point in which values of the integral are defined. Thus we receive the integrated sum with variable boundary, to work with is hardly. Therefore multistep method with the constant coefficients, which is free from noted lack and gives the way for finding it-s coefficients is present.

Keywords: Volterra integro-differential equations, multistepmethods, finite-difference methods, initial value problem

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Authors: Diego Garijo

Abstract:

A numerical approach for solving constant-coefficient differential equations whose solutions exhibit boundary layer structure is built by inserting Bernstein Partition of Unity into Galerkin variational weak form. Due to the reproduction capability of Bernstein basis, such implementation shows excellent accuracy at boundaries and is able to capture sharp gradients of the field variable by p-refinement using regular distributions of equi-spaced evaluation points. The approximation is subjected to convergence experimentation and a procedure to assemble the discrete equations without a background integration mesh is proposed.

Keywords: Bernstein polynomials, Galerkin, differential equation, boundary layer.

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Authors: Rudolf Csikja, Janos Toth

Abstract:

Methods to detect and localize time singularities of polynomial and quasi-polynomial ordinary differential equations are systematically presented and developed. They are applied to examples taken form different fields of applications and they are also compared to better known methods such as those based on the existence of linear first integrals or Lyapunov functions.

Keywords: blow up, finite escape time, polynomial ODE, singularity, Lotka–Volterra equation, Painleve analysis, Ψ-series, global existence

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Authors: Jianwei Ma, Diriba Gemechu

Abstract:

In seismic data processing, attenuation of random noise is the basic step to improve quality of data for further application of seismic data in exploration and development in different gas and oil industries. The signal-to-noise ratio of the data also highly determines quality of seismic data. This factor affects the reliability as well as the accuracy of seismic signal during interpretation for different purposes in different companies. To use seismic data for further application and interpretation, we need to improve the signal-to-noise ration while attenuating random noise effectively. To improve the signal-to-noise ration and attenuating seismic random noise by preserving important features and information about seismic signals, we introduce the concept of anisotropic total fractional order denoising algorithm. The anisotropic total fractional order variation model defined in fractional order bounded variation is proposed as a regularization in seismic denoising. The split Bregman algorithm is employed to solve the minimization problem of the anisotropic total fractional order variation model and the corresponding denoising algorithm for the proposed method is derived. We test the effectiveness of theproposed method for synthetic and real seismic data sets and the denoised result is compared with F-X deconvolution and non-local means denoising algorithm.

Keywords: Anisotropic total fractional order variation, fractional order bounded variation, seismic random noise attenuation, Split Bregman Algorithm.

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Authors: Mazidah Tajjudin, Mohd Hezri Fazalul Rahiman, Norhashim Mohd Arshad, Ramli Adnan

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In process control applications, above 90% of the controllers are of PID type. This paper proposed a robust PI controller with fractional-order integrator. The PI parameters were obtained using classical Ziegler-Nichols rules but enhanced with the application of error filter cascaded to the fractional-order PI. The controller was applied on steam temperature process that was described by FOPDT transfer function. The process can be classified as lag dominating process with very small relative dead-time. The proposed control scheme was compared with other PI controller tuned using Ziegler-Nichols and AMIGO rules. Other PI controller with fractional-order integrator known as F-MIGO was also considered. All the controllers were subjected to set point change and load disturbance tests. The performance was measured using Integral of Squared Error (ISE) and Integral of Control Signal (ICO). The proposed controller produced best performance for all the tests with the least ISE index.

Keywords: PID controller, fractional-order PID controller, PI control tuning, steam temperature control, Ziegler-Nichols tuning.

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Authors: Kew Lee Ming, Norhashidah Hj. Mohd. Ali

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In a previous work, we presented the numerical solution of the two dimensional second order telegraph partial differential equation discretized by the centred and rotated five-point finite difference discretizations, namely the explicit group (EG) and explicit decoupled group (EDG) iterative methods, respectively. In this paper, we utilize a domain decomposition algorithm on these group schemes to divide the tasks involved in solving the same equation. The objective of this study is to describe the development of the parallel group iterative schemes under OpenMP programming environment as a way to reduce the computational costs of the solution processes using multicore technologies. A detailed performance analysis of the parallel implementations of points and group iterative schemes will be reported and discussed.

Keywords: Telegraph equation, explicit group iterative scheme, domain decomposition algorithm, parallelization.

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Authors: S. A. Eftekhari

Abstract:

In this paper, a numerical algorithm using a coupled Galerkin-Differential Quadrature (DQ) method is proposed for the solution of dam-reservoir interaction problem. The governing differential equation of motion of the dam structure is discretized by the Galerkin method and the DQM is used to discretize the fluid domain. The resulting systems of ordinary differential equations are then solved by the Newmark time integration scheme. The mixed scheme combines the simplicity of the Galerkin method and high accuracy and efficiency of the DQ method. Its accuracy and efficiency are demonstrated by comparing the calculated results with those of the existing literature. It is shown that highly accurate results can be obtained using a small number of Galerkin terms and DQM sampling points. The technique presented in this investigation is general and can be used to solve various fluid-structure interaction problems.

Keywords: Dam-reservoir system, Differential quadrature method, Fluid-structure interaction, Galerkin method, Integral quadrature method.

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Authors: Mohammad Taghi Darvishi, Maliheh Najafi, Mohammad Najafi

Abstract:

In this work, we obtain some analytic solutions for the (3+1)-dimensional breaking soliton after obtaining its Hirota-s bilinear form. Our calculations show that, three-wave method is very easy and straightforward to solve nonlinear partial differential equations.

Keywords: (3+1)-dimensional breaking soliton equation, Hirota'sbilinear form.

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Authors: U.K. Saha, L.K. Arora

Abstract:

The multiindex Mittag-Leffler (M-L) function and the multiindex Dzrbashjan-Gelfond-Leontiev (D-G-L) differentiation and integration play a very pivotal role in the theory and applications of generalized fractional calculus. The object of this paper is to investigate the relations that exist between the Riemann-Liouville fractional calculus and multiindex Dzrbashjan-Gelfond-Leontiev differentiation and integration with multiindex Mittag-Leffler function.

Keywords: Multiindex Mittag-Leffler function, Multiindex Dzrbashjan-Gelfond-Leontiev differentiation and integration, Riemann-Liouville fractional integrals and derivatives.

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Authors: Harpreet Kaur, Vinod Mishra, R. C. Mittal

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In this paper, we have proposed a Haar wavelet quasilinearization method to solve the well known Blasius equation. The method is based on the uniform Haar wavelet operational matrix defined over the interval [0, 1]. In this method, we have proposed the transformation for converting the problem on a fixed computational domain. The Blasius equation arises in the various boundary layer problems of hydrodynamics and in fluid mechanics of laminar viscous flows. Quasi-linearization is iterative process but our proposed technique gives excellent numerical results with quasilinearization for solving nonlinear differential equations without any iteration on selecting collocation points by Haar wavelets. We have solved Blasius equation for 1≤α ≤ 2 and the numerical results are compared with the available results in literature. Finally, we conclude that proposed method is a promising tool for solving the well known nonlinear Blasius equation.

Keywords: Boundary layer Blasius equation, collocation points, quasi-linearization process, uniform haar wavelets.

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Authors: Li Xiguang

Abstract:

In this paper, by constructing a special set and utilizing fixed point index theory, we study the existence of solution for the boundary value problem of second-order singular differential equations in Banach space, which improved and generalize the result of related paper.

Keywords: Banach space, cone, fixed point index, singular equation.

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Authors: Moonjung Kim, Chang-Ho Hyun, Won-Ho Kim

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In this paper, the signal transmission analysis of the semicircle-shaped via structure for the differential pairs is presented in the frequency range up to 10 GHz. In order to improve the signal transmission properties in the differential pairs, single via is separated centrally into two semicircle-shaped sections, which are interconnected with the traces of differential pairs respectively. This via structure make possible to route differential pairs using only one via. In addition, it can improve impedance discontinuity around its region and then enhance the signal transmission properties in the differential pairs. The electrical analysis such as S-parameter calculation and eye diagram simulation has been performed to investigate the improvement of the signal transmission property in the differential pairs with new via structure.

Keywords: Differential pairs, signal transmission property, via, S-parameter.

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Authors: Armend Sh. Shabani

Abstract:

Let D ≠ 1 be a positive non-square integer. In this paper are given the proofs for two conjectures related to Pell-s equation x2 -Dy2 = ± 4, proposed by A. Tekcan.

Keywords: Pell's equation, solutions of Pell's equation.

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Authors: Rohit Gupta, Ruchika

Abstract:

In this paper, a PSO based fractional order PID (FOPID) controller is proposed for concentration control of an isothermal Continuous Stirred Tank Reactor (CSTR) problem. CSTR is used to carry out chemical reactions in industries, which possesses complex nonlinear dynamic characteristics. Particle Swarm Optimization algorithm technique, which is an evolutionary optimization technique based on the movement and intelligence of swarm is proposed for tuning of the controller for this system. Comparisons of proposed controller with conventional and fuzzy based controller illustrate the superiority of proposed PSO-FOPID controller.

Keywords: CSTR, Fractional Order PID Controller, Partical Swarm Optimization.

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Authors: Amadi Ugwulo Chinyere, Lewis D. Gbarayorks, Emem N. H. Inamete

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In this paper, the mandatory contribution, additional voluntary contribution (AVC) and administrative charges are merged together to determine the optimal investment strategy (OIS) for a pension plan member (PPM) in a defined contribution (DC) pension scheme under the modified constant elasticity of variance (M-CEV) model. We assume that the voluntary contribution is a stochastic process and a portfolio consisting of one risk free asset and one risky asset modeled by the M-CEV model is considered. Also, a stochastic differential equation consisting of PPM’s monthly contributions, voluntary contributions and administrative charges is obtained. More so, an optimization problem in the form of Hamilton Jacobi Bellman equation which is a nonlinear partial differential equation is obtained. Using power transformation and change of variables method, an explicit solution of the OIS and the value function are obtained under constant absolute risk averse (CARA). Furthermore, numerical simulations on the impact of some sensitive parameters on OIS were discussed extensively. Finally, our result generalizes some existing result in the literature.

Keywords: DC pension fund, modified constant elasticity of variance, optimal investment strategies, voluntary contribution, administrative charges.

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Authors: D. Elleuch, T. Damak

Abstract:

Performance control law is studied for an interconnected fractional nonlinear system. Applying a backstepping algorithm, a backstepping sliding mode controller (BSMC) is developed for fractional nonlinear system. To improve control law performance, BSMC is coupled to an adaptive sliding mode observer have a filtered error as a sliding surface. The both architecture performance is studied throughout the inverted pendulum mounted on a cart. Simulation result show that the BSMC coupled to an adaptive sliding mode observer have stable control law and eligible control amplitude than the BSMC.

Keywords: Backstepping sliding mode controller, interconnected fractional nonlinear system, adaptive sliding mode observer.

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Authors: Jong-Jy Shyu, Soo-Chang Pei, Min-Han Chang

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In this paper, the least-squares design of variable fractional-delay (VFD) finite impulse response (FIR) digital differentiators is proposed. The used transfer function is formulated so that Farrow structure can be applied to realize the designed system. Also, the symmetric characteristics of filter coefficients are derived, which leads to the complexity reduction by saving almost a half of the number of coefficients. Moreover, all the elements of related vectors or matrices for the optimal process can be represented in closed forms, which make the design easier. Design example is also presented to illustrate the effectiveness of the proposed method.

Keywords: Differentiator, variable fractional-delay filter, FIR filter, least-squares method, Farrow structure.

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Authors: Zilong Feng, Hong Li, Yang Liu, Siriguleng He

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In this article, an adaptive least-squares mixed finite element method is studied for pseudo-parabolic integro-differential equations. The solutions of least-squares mixed weak formulation and mixed finite element are proved. A posteriori error estimator is constructed based on the least-squares functional and the posteriori errors are obtained.

Keywords: Pseudo-parabolic integro-differential equation, least squares mixed finite element method, adaptive method, a posteriori error estimates.

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Authors: Ahmed El Oualkadi, Abdellah Ait Ouahman

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This paper discusses a systematic design of a Σ-Δ fractional-N Phase-Locked Loop based on HDL behavioral modeling. The proposed design consists in describing the mixed behavior of this PLL architecture starting from the specifications of each building block. The HDL models of critical PLL blocks have been described in VHDL-AMS to predict the different specifications of the PLL. The effect of different noise sources has been efficiently introduced to study the PLL system performances. The obtained results are compared with transistor-level simulations to validate the effectiveness of the proposed models for wireless applications in the frequency range around 2.45 GHz.

Keywords: Phase-locked loop, frequency synthesizer, fractional-N PLL, Σ-Δ modulator, HDL models

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Authors: Promise A. Azor, Avievie Igodo, Esabai M. Ase

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The paper merged the return of premium clause and voluntary contributions to investigate retirees’ investment plan in a defined contributory (DC) pension scheme with a portfolio comprising of a risk-free asset and a risky asset whose price process is described by geometric Brownian motion (GBM). The paper considers additional voluntary contributions paid by members, charge on balance by pension fund administrators and the mortality risk of members of the scheme during the accumulation period by introducing return of premium clause. To achieve this, the Weilbull mortality force function is used to establish the mortality rate of members during accumulation phase. Furthermore, an optimization problem from the Hamilton Jacobi Bellman (HJB) equation is obtained using dynamic programming approach. Also, the Legendre transformation method is used to transform the HJB equation which is a nonlinear partial differential equation to a linear partial differential equation and solves the resultant equation for the value function and the optimal distribution plan under logarithm utility function. Finally, numerical simulations of the impact of some important parameters on the optimal distribution plan were obtained and it was observed that the optimal distribution plan is inversely proportional to the initial fund size, predetermined interest rate, additional voluntary contributions, charge on balance and instantaneous volatility.

Keywords: Legendre transform, logarithm utility, optimal distribution plan, return clause of premium, charge on balance, Weibull mortality function.

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Authors: Ashvin Gopaul, Jayrani Cheeneebash, Kamleshsing Baurhoo

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In this paper we study some numerical methods to solve a model one-dimensional convection–diffusion equation. The semi-discretisation of the space variable results into a system of ordinary differential equations and the solution of the latter involves the evaluation of a matrix exponent. Since the calculation of this term is computationally expensive, we study some methods based on Krylov subspace and on Restrictive Taylor series approximation respectively. We also consider the Chebyshev Pseudospectral collocation method to do the spatial discretisation and we present the numerical solution obtained by these methods.

Keywords: Chebyshev Pseudospectral collocation method, convection-diffusion equation, restrictive Taylor approximation.

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Authors: Lei Wang, Sizong Guo

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In this paper, we study the numerical method for solving second-order fuzzy differential equations using Adomian method under strongly generalized differentiability. And, we present an example with initial condition having four different solutions to illustrate the efficiency of the proposed method under strongly generalized differentiability.

Keywords: Fuzzy-valued function, fuzzy initial value problem, strongly generalized differentiability, adomian decomposition method.

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Authors: M.A.Behrang, M. Ghalambaz, E. Assareh, A.R. Noghrehabadi

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Fluid flow and heat transfer of vertical full cone embedded in porous media is studied in this paper. Nonlinear differential equation arising from similarity solution of inverted cone (subjected to wall temperature boundary conditions) embedded in porous medium is solved using a hybrid neural network- particle swarm optimization method. To aim this purpose, a trial solution of the differential equation is defined as sum of two parts. The first part satisfies the initial/ boundary conditions and does contain an adjustable parameter and the second part which is constructed so as not to affect the initial/boundary conditions and involves adjustable parameters (the weights and biases) for a multi-layer perceptron neural network. Particle swarm optimization (PSO) is applied to find adjustable parameters of trial solution (in first and second part). The obtained solution in comparison with the numerical ones represents a remarkable accuracy.

Keywords: Porous Media, Ordinary Differential Equations (ODE), Particle Swarm Optimization (PSO), Neural Network (NN).

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