**Commenced**in January 2007

**Frequency:**Monthly

**Edition:**International

**Paper Count:**1870

# Search results for: stochastic differential equation

##### 1870 Noise Analysis of Single-Ended Input Differential Amplifier using Stochastic Differential Equation

**Authors:**
Tarun Kumar Rawat,
Abhirup Lahiri,
Ashish Gupta

**Abstract:**

In this paper, we analyze the effect of noise in a single- ended input differential amplifier working at high frequencies. Both extrinsic and intrinsic noise are analyzed using time domain method employing techniques from stochastic calculus. Stochastic differential equations are used to obtain autocorrelation functions of the output noise voltage and other solution statistics like mean and variance. The analysis leads to important design implications and suggests changes in the device parameters for improved noise characteristics of the differential amplifier.

**Keywords:**
Single-ended input differential amplifier,
Noise,
stochastic differential equation,
mean and variance.

##### 1869 The Strict Stability of Impulsive Stochastic Functional Differential Equations with Markovian Switching

**Authors:**
Dezhi Liu Guiyuan Yang Wei Zhang

**Abstract:**

**Keywords:**
Impulsive; Stochastic functional differential equation; Strict stability; Razumikhin technique.

##### 1868 On Diffusion Approximation of Discrete Markov Dynamical Systems

**Authors:**
Jevgenijs Carkovs

**Abstract:**

**Keywords:**
Markov dynamical system,
diffusion approximation,
equilibrium stochastic stability.

##### 1867 Solving Stochastic Eigenvalue Problem of Wick Type

**Authors:**
Hassan Manouzi,
Taous-Meriem Laleg-Kirati

**Abstract:**

In this paper we study mathematically the eigenvalue problem for stochastic elliptic partial differential equation of Wick type. Using the Wick-product and the Wiener-Itô chaos expansion, the stochastic eigenvalue problem is reformulated as a system of an eigenvalue problem for a deterministic partial differential equation and elliptic partial differential equations by using the Fredholm alternative. To reduce the computational complexity of this system, we shall use a decomposition method using the Wiener-Itô chaos expansion. Once the approximation of the solution is performed using the finite element method for example, the statistics of the numerical solution can be easily evaluated.

**Keywords:**
Eigenvalue problem,
Wick product,
SPDEs,
finite
element,
Wiener-Itô chaos expansion.

##### 1866 The Proof of Analogous Results for Martingales and Partial Differential Equations Options Price Valuation Formulas Using Stochastic Differential Equation Models in Finance

**Authors:**
H. D. Ibrahim,
H. C. Chinwenyi,
A. H. Usman

**Abstract:**

Valuing derivatives (options, futures, swaps, forwards, etc.) is one uneasy task in financial mathematics. The two ways this problem can be effectively resolved in finance is by the use of two methods (Martingales and Partial Differential Equations (PDEs)) to obtain their respective options price valuation formulas. This research paper examined two different stochastic financial models which are Constant Elasticity of Variance (CEV) model and Black-Karasinski term structure model. Assuming their respective option price valuation formulas, we proved the analogous of the Martingales and PDEs options price valuation formulas for the two different Stochastic Differential Equation (SDE) models. This was accomplished by using the applications of Girsanov theorem for defining an Equivalent Martingale Measure (EMM) and the Feynman-Kac theorem. The results obtained show the systematic proof for analogous of the two (Martingales and PDEs) options price valuation formulas beginning with the Martingales option price formula and arriving back at the Black-Scholes parabolic PDEs and vice versa.

**Keywords:**
Option price valuation,
Martingales,
Partial Differential Equations,
PDEs,
Equivalent Martingale Measure,
Girsanov Theorem,
Feyman-Kac Theorem,
European Put Option.

##### 1865 Existence of Solution of Nonlinear Second Order Neutral Stochastic Differential Inclusions with Infinite Delay

**Authors:**
Yong Li

**Abstract:**

The paper is concerned with the existence of solution of nonlinear second order neutral stochastic differential inclusions with infinite delay in a Hilbert Space. Sufficient conditions for the existence are obtained by using a fixed point theorem for condensing maps.

**Keywords:**
Mild solution,
Convex multivalued map,
Neutral
stochastic differential inclusions.

##### 1864 Existence of Iterative Cauchy Fractional Differential Equation

**Authors:**
Rabha W. Ibrahim

**Abstract:**

Our main aim in this paper is to use the technique of non expansive operators to more general iterative and non iterative fractional differential equations (Cauchy type ). The non integer case is taken in sense of Riemann-Liouville fractional operators. Applications are illustrated.

**Keywords:**
Fractional calculus,
fractional differential equation,
Cauchy equation,
Riemann-Liouville fractional operators,
Volterra
integral equation,
non-expansive mapping,
iterative differential equation.

##### 1863 Stability of Stochastic Model Predictive Control for Schrödinger Equation with Finite Approximation

**Authors:**
Tomoaki Hashimoto

**Abstract:**

**Keywords:**
Optimal control,
stochastic systems,
quantum systems,
stabilization.

##### 1862 Numerical Study of Some Coupled PDEs by using Differential Transformation Method

**Authors:**
Reza Abazari,
Rasool Abazari

**Abstract:**

In this paper, the two-dimension differential transformation method (DTM) is employed to obtain the closed form solutions of the three famous coupled partial differential equation with physical interest namely, the coupled Korteweg-de Vries(KdV) equations, the coupled Burgers equations and coupled nonlinear Schrödinger equation. We begin by showing that how the differential transformation method applies to a linear and non-linear part of any PDEs and apply on these coupled PDEs to illustrate the sufficiency of the method for this kind of nonlinear differential equations. The results obtained are in good agreement with the exact solution. These results show that the technique introduced here is accurate and easy to apply.

**Keywords:**
Coupled Korteweg-de Vries(KdV) equation,
Coupled Burgers equation,
Coupled Schrödinger equation,
differential transformation method.

##### 1861 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:**
Option price valuation,
Partial Differential Equations,
Black-Scholes PDEs,
Ito process.

##### 1860 Optimal Portfolio Selection in a DC Pension with Multiple Contributors and the Impact of Stochastic Additional Voluntary Contribution on the Optimal Investment Strategy

**Authors:**
Edikan E. Akpanibah,
Okwigbedi Oghen’Oro

**Abstract:**

In this paper, we studied the optimal portfolio selection in a defined contribution (DC) pension scheme with multiple contributors under constant elasticity of variance (CEV) model and the impact of stochastic additional voluntary contribution on the investment strategies. We assume that the voluntary contributions are stochastic and also consider investments in a risk free asset and a risky asset to increase the expected returns of the contributing members. We derived a stochastic differential equation which consists of the members’ monthly contributions and the invested fund and obtained an optimized problem with the help of Hamilton Jacobi Bellman equation. Furthermore, we find an explicit solution for the optimal investment strategy with stochastic voluntary contribution using power transformation and change of variables method and the corresponding optimal fund size was obtained. We discussed the impact of the voluntary contribution on the optimal investment strategy with numerical simulations and observed that the voluntary contribution reduces the optimal investment strategy of the risky asset.

**Keywords:**
DC pension fund,
Hamilton-Jacobi-Bellman,
optimal investment strategies,
power transformation method,
stochastic,
voluntary contribution.

##### 1859 Mean Square Stability of Impulsive Stochastic Delay Differential Equations with Markovian Switching and Poisson Jumps

**Authors:**
Dezhi Liu

**Abstract:**

In the paper, based on stochastic analysis theory and Lyapunov functional method, we discuss the mean square stability of impulsive stochastic delay differential equations with markovian switching and poisson jumps, and the sufficient conditions of mean square stability have been obtained. One example illustrates the main results. Furthermore, some well-known results are improved and generalized in the remarks.

**Keywords:**
Impulsive,
stochastic,
delay,
Markovian switching,
Poisson jumps,
mean square stability.

##### 1858 Adomian Decomposition Method Associated with Boole-s Integration Rule for Goursat Problem

**Authors:**
Mohd Agos Salim Nasir,
Ros Fadilah Deraman,
Siti Salmah Yasiran

**Abstract:**

**Keywords:**
Goursat problem,
partial differential equation,
Adomian decomposition method,
Boole's integration rule.

##### 1857 Modelling an Investment Portfolio with Mandatory and Voluntary Contributions under M-CEV Model

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

**Abstract:**

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.

##### 1856 Hybrid Equity Warrants Pricing Formulation under Stochastic Dynamics

**Authors:**
Teh Raihana Nazirah Roslan,
Siti Zulaiha Ibrahim,
Sharmila Karim

**Abstract:**

A warrant is a financial contract that confers the right but not the obligation, to buy or sell a security at a certain price before expiration. The standard procedure to value equity warrants using call option pricing models such as the Black–Scholes model had been proven to contain many flaws, such as the assumption of constant interest rate and constant volatility. In fact, existing alternative models were found focusing more on demonstrating techniques for pricing, rather than empirical testing. Therefore, a mathematical model for pricing and analyzing equity warrants which comprises stochastic interest rate and stochastic volatility is essential to incorporate the dynamic relationships between the identified variables and illustrate the real market. Here, the aim is to develop dynamic pricing formulations for hybrid equity warrants by incorporating stochastic interest rates from the Cox-Ingersoll-Ross (CIR) model, along with stochastic volatility from the Heston model. The development of the model involves the derivations of stochastic differential equations that govern the model dynamics. The resulting equations which involve Cauchy problem and heat equations are then solved using partial differential equation approaches. The analytical pricing formulas obtained in this study comply with the form of analytical expressions embedded in the Black-Scholes model and other existing pricing models for equity warrants. This facilitates the practicality of this proposed formula for comparison purposes and further empirical study.

**Keywords:**
Cox-Ingersoll-Ross model,
equity warrants,
Heston model,
hybrid models,
stochastic.

##### 1855 Simulink Approach to Solve Fuzzy Differential Equation under Generalized Differentiability

**Authors:**
N. Kumaresan ,
J. Kavikumar,
Kuru Ratnavelu

**Abstract:**

**Keywords:**
Fuzzy differential equation,
Generalized differentiability,
H-difference and Simulink.

##### 1854 Step Method for Solving Nonlinear Two Delays Differential Equation in Parkinson’s Disease

**Authors:**
H. N. Agiza,
M. A. Sohaly,
M. A. Elfouly

**Abstract:**

Parkinson's disease (PD) is a heterogeneous disorder with common age of onset, symptoms, and progression levels. In this paper we will solve analytically the PD model as a non-linear delay differential equation using the steps method. The step method transforms a system of delay differential equations (DDEs) into systems of ordinary differential equations (ODEs). On some numerical examples, the analytical solution will be difficult. So we will approximate the analytical solution using Picard method and Taylor method to ODEs*.*

**Keywords:**
Parkinson's disease,
Step method,
delay differential equation,
simulation.

##### 1853 An Analytical Method for Solving General Riccati Equation

**Authors:**
Y. Pala,
M. O. Ertas

**Abstract:**

In this paper, the general Riccati equation is analytically solved by a new transformation. By the method developed, looking at the transformed equation, whether or not an explicit solution can be obtained is readily determined. Since the present method does not require a proper solution for the general solution, it is especially suitable for equations whose proper solutions cannot be seen at first glance. Since the transformed second order linear equation obtained by the present transformation has the simplest form that it can have, it is immediately seen whether or not the original equation can be solved analytically. The present method is exemplified by several examples.

**Keywords:**
Riccati Equation,
ordinary differential equation,
nonlinear differential equation,
analytical solution,
proper solution.

##### 1852 Position Vector of a Partially Null Curve Derived from a Vector Differential Equation

**Authors:**
Süha Yılmaz,
Emin Özyılmaz,
Melih Turgut,
Şuur Nizamoğlu

**Abstract:**

In this paper, position vector of a partially null unit speed curve with respect to standard frame of Minkowski space-time is studied. First, it is proven that position vector of every partially null unit speed curve satisfies a vector differential equation of fourth order. In terms of solution of the differential equation, position vector of a partially null unit speed curve is expressed.

**Keywords:**
Frenet Equations,
Partially Null Curves,
Minkowski Space-time,
Vector Differential Equation.

##### 1851 Instability of a Nonlinear Differential Equation of Fifth Order with Variable Delay

**Authors:**
Cemil Tunc

**Abstract:**

In this paper, we study the instability of the zero solution to a nonlinear differential equation with variable delay. By using the Lyapunov functional approach, some sufficient conditions for instability of the zero solution are obtained.

**Keywords:**
Instability,
Lyapunov-Krasovskii functional,
delay differential equation,
fifth order.

##### 1850 Development of Extended Trapezoidal Method for Numerical Solution of Volterra Integro-Differential Equations

**Authors:**
Fuziyah Ishak,
Siti Norazura Ahmad

**Abstract:**

Volterra integro-differential equations appear in many models for real life phenomena. Since analytical solutions for this type of differential equations are hard and at times impossible to attain, engineers and scientists resort to numerical solutions that can be made as accurately as possible. Conventionally, numerical methods for ordinary differential equations are adapted to solve Volterra integro-differential equations. In this paper, numerical solution for solving Volterra integro-differential equation using extended trapezoidal method is described. Formulae for the integral and differential parts of the equation are presented. Numerical results show that the extended method is suitable for solving first order Volterra integro-differential equations.

**Keywords:**
Accuracy,
extended trapezoidal method,
numerical solution,
Volterra integro-differential equations.

##### 1849 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.

##### 1848 Group Invariant Solutions of Nonlinear Time-Fractional Hyperbolic Partial Differential Equation

**Authors:**
Anupma Bansal,
Rajeev Budhiraja,
Manoj Pandey

**Abstract:**

**Keywords:**
Nonlinear time-fractional hyperbolic PDE,
Lie
Classical method,
exact solutions.

##### 1847 Stability Analysis of Linear Fractional Order Neutral System with Multiple Delays by Algebraic Approach

**Authors:**
Lianglin Xiong,
Yun Zhao,
Tao Jiang

**Abstract:**

In this paper, we study the stability of n-dimensional linear fractional neutral differential equation with time delays. By using the Laplace transform, we introduce a characteristic equation for the above system with multiple time delays. We discover that if all roots of the characteristic equation have negative parts, then the equilibrium of the above linear system with fractional order is Lyapunov globally asymptotical stable if the equilibrium exist that is almost the same as that of classical differential equations. An example is provided to show the effectiveness of the approach presented in this paper.

**Keywords:**
Fractional neutral differential equation,
Laplace transform,
characteristic equation.

##### 1846 Stepsize Control of the Finite Difference Method for Solving Ordinary Differential Equations

**Authors:**
Davod Khojasteh Salkuyeh

**Abstract:**

An important task in solving second order linear ordinary differential equations by the finite difference is to choose a suitable stepsize h. In this paper, by using the stochastic arithmetic, the CESTAC method and the CADNA library we present a procedure to estimate the optimal stepsize hopt, the stepsize which minimizes the global error consisting of truncation and round-off error.

**Keywords:**
Ordinary differential equations,
optimal stepsize,
error,
stochastic arithmetic,
CESTAC,
CADNA.

##### 1845 Solution of Fuzzy Differential Equation under Generalized Differentiability by Genetic Programming

**Authors:**
N. Kumaresan,
J. Kavikumar,
M. Kumudthaa,
Kuru Ratnavelu

**Abstract:**

**Keywords:**
Fuzzy differential equation,
Generalized differentiability,
Genetic programming and H-difference.

##### 1844 The Martingale Options Price Valuation for European Puts Using Stochastic Differential Equation Models

**Authors:**
H. C. Chinwenyi,
H. D. Ibrahim,
F. A. Ahmed

**Abstract:**

In modern financial mathematics, valuing derivatives such as options is often a tedious task. This is simply because their fair and correct prices in the future are often probabilistic. This paper examines three different Stochastic Differential Equation (SDE) models in finance; the Constant Elasticity of Variance (CEV) model, the Balck-Karasinski model, and the Heston model. The various Martingales option price valuation formulas for these three models were obtained using the replicating portfolio method. Also, the numerical solution of the derived Martingales options price valuation equations for the SDEs models was carried out using the Monte Carlo method which was implemented using MATLAB. Furthermore, results from the numerical examples using published data from the Nigeria Stock Exchange (NSE), all share index data show the effect of increase in the underlying asset value (stock price) on the value of the European Put Option for these models. From the results obtained, we see that an increase in the stock price yields a decrease in the value of the European put option price. Hence, this guides the option holder in making a quality decision by not exercising his right on the option.

**Keywords:**
Equivalent Martingale Measure,
European Put Option,
Girsanov Theorem,
Martingales,
Monte Carlo method,
option price valuation,
option price valuation formula.

##### 1843 Periodic Solutions for a Higher Order Nonlinear Neutral Functional Differential Equation

**Authors:**
Yanling Zhu

**Abstract:**

In this paper, a higher order nonlinear neutral functional differential equation with distributed delay is studied by using the continuation theorem of coincidence degree theory. Some new results on the existence of periodic solutions are obtained.

**Keywords:**
Neutral functional differential equation,
higher order,
periodic solution,
coincidence degree theory.

##### 1842 Stability of Fractional Differential Equation

**Authors:**
Rabha W. Ibrahim

**Abstract:**

We study a Dirichlet boundary value problem for Lane-Emden equation involving two fractional orders. Lane-Emden equation has been widely used to describe a variety of phenomena in physics and astrophysics, including aspects of stellar structure, the thermal history of a spherical cloud of gas, isothermal gas spheres,and thermionic currents. However, ordinary Lane-Emden equation does not provide the correct description of the dynamics for systems in complex media. In order to overcome this problem and describe dynamical processes in a fractalmedium, numerous generalizations of Lane-Emden equation have been proposed. One such generalization replaces the ordinary derivative by a fractional derivative in the Lane-Emden equation. This gives rise to the fractional Lane-Emden equation with a single index. Recently, a new type of Lane-Emden equation with two different fractional orders has been introduced which provides a more flexible model for fractal processes as compared with the usual one characterized by a single index. The contraction mapping principle and Krasnoselskiis fixed point theorem are applied to prove the existence of solutions of the problem in a Banach space. Ulam-Hyers stability for iterative Cauchy fractional differential equation is defined and studied.

**Keywords:**
Fractional calculus,
fractional differential equation,
Lane-Emden equation,
Riemann-Liouville fractional operators,
Volterra integral equation.

##### 1841 Existence of Solution for Singular Two-point Boundary Value Problem of Second-order Differential Equation

**Authors:**
Xiguang Li

**Abstract:**

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

**Keywords:**
Singular differential equation,
boundary value problem,
coin,
fixed point theory.