Search results for "difference [momentum]"
showing 10 items of 141 documents
Further experiences on unsteady seepage flow
1973
The present paper describes the results of a study on the unsteady flow in a horizontal homogeneous filter, which is accomplished when the level of the reservoir that recharges the filter is instantly drawn up. This study was carried out at the University of Palermo Institute of Hydraulics as a part of a research program concerning artificial recharge of ground water and the geotechnical problems involving the stability of porous media subject to the variations of surrounding pressures. A numerical procedure, aiming at solving the equation of Boussinesq by a finite difference method, was adopted and an electronic computer was used. A Hele-Shaw filter model was used to carry out several expe…
Determination of Torsional Stresses in Shafts: From Physical Analogies to Mathematical Models
2015
This paper presents the historical development of methods used for the study of torsional stresses in shafts. In particular, the paper covers both analog methods, especially those based on electrical analogies proposed circa 1925, and numerical methods, especially finite difference methods (FDM), finite element methods (FEM) and boundary element methods (BEM).
On Mathematical Modelling of Metals Distribution in Peat Layers
2014
In this paper we consider averaging and finite difference methods for solving the 3-D boundary-value problem in multilayered domain. We consider the metals Fe and Ca concentration in the layered peat blocks. Using experimental data the mathematical model for calculation of concentration of metals in different points in peat layers is developed. A specific feature of these problems is that it is necessary to solve the 3-D boundary-value problems for elliptic type partial differential equations (PDEs) of second order with piece-wise diffusion coefficients in the layered domain. We develop here a finite-difference method for solving of a problem of one, two and three peat blocks with periodica…
One- and multi-locus multi-allele selection models in a random environment
1979
We deduce conditions for stochastic local stability of general perturbed linear stochastic difference equations widely applicable in population genetics. The findings are adapted to evaluate the stability properties of equilibria in classical one- and multi-locus multi-allele selection models influenced by random temporal variation in selection intensities. As an example of some conclusions and biological interpretations we analyse a special one-locus multi-allele model in more detail.
An Iterative Method for Pricing American Options Under Jump-Diffusion Models
2011
We propose an iterative method for pricing American options under jump-diffusion models. A finite difference discretization is performed on the partial integro-differential equation, and the American option pricing problem is formulated as a linear complementarity problem (LCP). Jump-diffusion models include an integral term, which causes the resulting system to be dense. We propose an iteration to solve the LCPs efficiently and prove its convergence. Numerical examples with Kou's and Merton's jump-diffusion models show that the resulting iteration converges rapidly.
An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps
2014
Partial integro-differential equation (PIDE) formulations are often preferable for pricing options under models with stochastic volatility and jumps, especially for American-style option contracts. We consider the pricing of options under such models, namely the Bates model and the so-called stochastic volatility with contemporaneous jumps (SVCJ) model. The nonlocality of the jump terms in these models leads to matrices with full matrix blocks. Standard discretization methods are not viable directly since they would require the inversion of such a matrix. Instead, we adopt a two-step implicit-explicit (IMEX) time discretization scheme, the IMEX-CNAB scheme, where the jump term is treated ex…
Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
2004
A high-order compact finite difference scheme for a fully nonlinear parabolic differential equation is analyzed. The equation arises in the modeling of option prices in financial markets with transaction costs. It is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. The proof is based on a careful study of the discretization matrices and on an abstract convergence result due to Barles and Souganides.
Construction of a fundamental set of solutions of an arbitrary homogeneous linear difference equation
2002
Abstract The detailed construction of a prefixed fundamental set of solutions of a linear homogeneous difference equation of any order with arbitrarily variable coefficients is reported. The usefulness of the resulting resolutive formula is illustrated by simple applications to the Hermite polynomials and to the Fibonacci sequence.
Improvement of matrix solutions of generalized nonlinear wave equation
2005
Four classes of nonlinear wave equations are joined in one generalized nonlinear wave equation. A theorem is proved that the whole series of matrix functions satisfy the generalized wave equation. A justification of rotational properties of matrix solutions is given and a mathematical model of the ring vortex around the acute edge is proposed using of matrix solutions.
A Non-Local Two Dimensional Foundation Model
2012
Classical foundation models such as the Pasternak and the Reissner models have been recently reformulated within the framework of non-local mechanics, by using the gradient theory of elasticity. To contribute to the research effort in this field, this paper presents a two-dimensional foundation model built by using a mechanically based non-local elasticity theory, recently proposed by the authors. The foundation is thought of as an ensemble of soil column elements resting on an elastic base. It is assumed that each column element is acted upon by a local Winkler-like reaction force exerted by the elastic base, by contact shear forces and volume forces due, respectively, to adjacent and non-…