Search results for "Differential equations"
showing 10 items of 169 documents
ADI schemes for valuing European options under the Bates model
2018
Abstract This paper is concerned with the adaptation of alternating direction implicit (ADI) time discretization schemes for the numerical solution of partial integro-differential equations (PIDEs) with application to the Bates model in finance. Three different adaptations are formulated and their (von Neumann) stability is analyzed. Ample numerical experiments are provided for the Bates PIDE, illustrating the actual stability and convergence behaviour of the three adaptations.
Attractors of stochastic lattice dynamical systems with a multiplicative noise and non-Lipschitz nonlinearities
2012
AbstractIn this paper we study the asymptotic behavior of solutions of a first-order stochastic lattice dynamical system with a multiplicative noise.We do not assume any Lipschitz condition on the nonlinear term, just a continuity assumption together with growth and dissipative conditions, so that uniqueness of the Cauchy problem fails to be true.Using the theory of multi-valued random dynamical systems we prove the existence of a random compact global attractor.
Existence and uniqueness of solution to several kinds of differential equations using the coincidence theory
2015
The purpose of this article is to study the existence of a coincidence point for two mappings defined on a nonempty set and taking values on a Banach space using the fixed point theory for nonexpansive mappings. Moreover, this type of results will be applied to obtain the existence of solutions for some classes of ordinary differential equations. Ministerio de Economía y Competitividad Junta de Andalucía
First-order linear differential equations whose data are complex random variables: Probabilistic solution and stability analysis via densities
2022
[EN] Random initial value problems to non-homogeneous first-order linear differential equations with complex coefficients are probabilistically solved by computing the first probability density of the solution. For the sake of generality, coefficients and initial condition are assumed to be absolutely continuous complex random variables with an arbitrary joint probability density function. The probability of stability, as well as the density of the equilibrium point, are explicitly determined. The Random Variable Transformation technique is extensively utilized to conduct the overall analysis. Several examples are included to illustrate all the theoretical findings.
Une quête d'exactitude : machines, algèbre et géométrie pour la construction traditionnelle des équations différentielles
2015
In La Géométrie, Descartes proposed a “balance” between geometric constructions and symbolic manipulation with the introduction of suitable ideal machines. In particular, Cartesian tools were polynomial algebra (analysis) and a class of diagrammatic constructions (synthesis). This setting provided a classification of curves, according to which only the algebraic ones were considered “purely geometrical.” This limit was overcome with a general method by Newton and Leibniz introducing the infinity in the analytical part, whereas the synthetic perspective gradually lost importance with respect to the analytical one—geometry became a mean of visualization, no longer of construction. Descartes’s…
Dirac equation as a quantum walk over the honeycomb and triangular lattices
2018
A discrete-time Quantum Walk (QW) is essentially an operator driving the evolution of a single particle on the lattice, through local unitaries. Some QWs admit a continuum limit, leading to well-known physics partial differential equations, such as the Dirac equation. We show that these simulation results need not rely on the grid: the Dirac equation in $(2+1)$--dimensions can also be simulated, through local unitaries, on the honeycomb or the triangular lattice. The former is of interest in the study of graphene-like materials. The latter, we argue, opens the door for a generalization of the Dirac equation to arbitrary discrete surfaces.
A fully adaptive wavelet algorithm for parabolic partial differential equations
2001
We present a fully adaptive numerical scheme for the resolution of parabolic equations. It is based on wavelet approximations of functions and operators. Following the numerical analysis in the case of linear equations, we derive a numerical algorithm essentially based on convolution operators that can be efficiently implemented as soon as a natural condition on the space of approximation is satisfied. The algorithm is extended to semi-linear equations with time dependent (adapted) spaces of approximation. Numerical experiments deal with the heat equation as well as the Burgers equation.
On a Retarded Nonlocal Ordinary Differential System with Discrete Diffusion Modeling Life Tables
2021
In this paper, we consider a system of ordinary differential equations with non-local discrete diffusion and finite delay and with either a finite or an infinite number of equations. We prove several properties of solutions such as comparison, stability and symmetry. We create a numerical simulation showing that this model can be appropriate to model dynamical life tables in actuarial or demographic sciences. In this way, some indicators of goodness and smoothness are improved when comparing with classical techniques.
Simplifying differential equations for multi-scale Feynman integrals beyond multiple polylogarithms
2017
In this paper we exploit factorisation properties of Picard-Fuchs operators to decouple differential equations for multi-scale Feynman integrals. The algorithm reduces the differential equations to blocks of the size of the order of the irreducible factors of the Picard-Fuchs operator. As a side product, our method can be used to easily convert the differential equations for Feynman integrals which evaluate to multiple polylogarithms to $\varepsilon$-form.
Simple differential equations for Feynman integrals associated to elliptic curves
2019
The $\varepsilon$-form of a system of differential equations for Feynman integrals has led to tremendeous progress in our abilities to compute Feynman integrals, as long as they fall into the class of multiple polylogarithms. It is therefore of current interest, if these methods extend beyond the case of multiple polylogarithms. In this talk I discuss Feynman integrals, which are associated to elliptic curves and their differential equations. I show for non-trivial examples how the system of differential equations can be brought into an $\varepsilon$-form. Single-scale and multi-scale cases are discussed.