Search results for "differential equation"
showing 10 items of 759 documents
Stochastic differential calculus for wind-exposed structures with autoregressive continuous (ARC) filters
2008
In this paper, an alternative method to represent Gaussian stationary processes describing wind velocity fluctuations is introduced. The technique may be considered the extension to a time continuous description of the well-known discrete-time autoregressive model to generate Gaussian processes. Digital simulation of Gaussian random processes with assigned auto-correlation function is provided by means of a stochastic differential equation with time delayed terms forced by Gaussian white noise. Solution of the differential equation is a specific sample of the target Gaussian wind process, and in this paper it describes a digitally obtained record of the wind turbolence. The representation o…
Quadratic backward stochastic differential equations
2017
Tässä tutkielmassa analysoimme takaperoisia stokastisia differentiaaliyhtälöitä. Aloitamme esittelemällä stokastiset prosessit, Brownin liikkeen, stokastiset integraalit ja Itôn kaavan. Tämän jälkeen siirrymme tarkastelemaan stokastisia differentiaaliyhtälöitä ja lopulta takaperoisia stokastisia differentiaaliyhtälöitä. Tämän tutkielman pääaiheena on takaperoiset stokastiset differentiaaliyhtälöt kvadraattisilla oletuksilla. Näillä oletuksilla todistamme olemassaoloteoreeman ja tietyt säännöllisyysehdot takaperoisen stokastisen differentiaaliyhtälön ratkaisulle. In this thesis, we analyze backward stochastic differential equations. We begin by introducing stochastic processes, Brownian moti…
Operator splitting methods for American option pricing
2004
Abstract We propose operator splitting methods for solving the linear complementarity problems arising from the pricing of American options. The space discretization of the underlying Black-Scholes Scholes equation is done using a central finite-difference scheme. The time discretization as well as the operator splittings are based on the Crank-Nicolson method and the two-step backward differentiation formula. Numerical experiments show that the operator splitting methodology is much more efficient than the projected SOR, while the accuracy of both methods are similar.
A correction method for dynamic analysis of linear systems
2004
Abstract This paper proposes an analytical method to improve the accuracy of the dynamic response of classically damped linear systems, as given by a standard truncated modal analysis. Upon computing the first m undamped modes of a n-degree-of-freedom system, two sets of equations in the Rn nodal space are built, which are uncoupled and govern the contribution to the response of the m computed modes and the remaining (n−m) unknown modes, respectively. The first set is solved in the Rm modal space by using the m available modes; the second set is solved in a reduced R(n−m) nodal space, without computing additional modes. Specifically, it is shown that the particular solution of the second se…
Integration of a Dirac comb and the Bernoulli polynomials
2016
Abstract For any positive integer n , we consider the ordinary differential equations of the form y ( n ) = 1 − Ш + F where Ш denotes the Dirac comb distribution and F is a piecewise- C ∞ periodic function with null average integral. We prove the existence and uniqueness of periodic solutions of maximal regularity. Above all, these solutions are given by means of finite explicit formulae involving a minimal number of Bernoulli polynomials. We generalize this approach to a larger class of differential equations for which the computation of periodic solutions is also sharp, finite and effective.
A generalized model of elastic foundation based on long-range interactions: Integral and fractional model
2009
The common models of elastic foundations are provided by supposing that they are composed by elastic columns with some interactions between them, such as contact forces that yield a differential equation involving gradients of the displacement field. In this paper, a new model of elastic foundation is proposed introducing into the constitutive equation of the foundation body forces depending on the relative vertical displacements and on a distance-decaying function ruling the amount of interactions. Different choices of the distance-decaying function correspond to different kind of interactions and foundation behavior. The use of an exponential distance-decaying function yields an integro-d…
Many-body Green's function theory of electrons and nuclei beyond the Born-Oppenheimer approximation
2020
The method of many-body Green's functions is developed for arbitrary systems of electrons and nuclei starting from the full (beyond Born-Oppenheimer) Hamiltonian of Coulomb interactions and kinetic energies. The theory presented here resolves the problems arising from the translational and rotational invariance of this Hamiltonian that afflict the existing many-body Green's function theories. We derive a coupled set of exact equations for the electronic and nuclear Green's functions and provide a systematic way to approximately compute the properties of arbitrary many-body systems of electrons and nuclei beyond the Born-Oppenheimer approximation. The case of crystalline solids is discussed …
Stress gradient versus strain gradient constitutive models within elasticity
2014
Abstract A stress gradient elasticity theory is developed which is based on the Eringen method to address nonlocal elasticity by means of differential equations. By suitable thermodynamics arguments (involving the free enthalpy instead of the free internal energy), the restrictions on the related constitutive equations are determined, which include the well-known Eringen stress gradient constitutive equations, as well as the associated (so far uncertain) boundary conditions. The proposed theory exhibits complementary characters with respect to the analogous strain gradient elasticity theory. The associated boundary-value problem is shown to admit a unique solution characterized by a Helling…
Theoretical study of a Bénard Marangoni problem
2011
[EN] In this paper we prove the existence of strong solutions for the stationary Benard-Marangoni problem in a finite domain flat on the top, bifurcating from the basic heat conductive state. The Benard-Marangoni problem is a physical phenomenon of thermal convection in which the effects of buoyancy and surface tension are taken into account. This problem is modelled with a system of partial differential equations of the type Navier-Stokes and heat equation. The boundary conditions include crossed boundary conditions involving tangential derivatives of the temperature and normal derivatives of the velocity field. To define tangential derivatives at the boundary, intended in the trace sense,…
PDE triangular Bézier surfaces: Harmonic, biharmonic and isotropic surfaces
2011
We approach surface design by solving second-order and fourth-order Partial Differential Equations (PDEs). We present many methods for designing triangular Bézier PDE surfaces given different sets of prescribed control points and including the special cases of harmonic and biharmonic surfaces. Moreover, we introduce and study a second-order and a fourth-order symmetric operator to overcome the anisotropy drawback of the harmonic and biharmonic operators over triangular Bézier surfaces. © 2010 Elsevier B.V. All rights reserved.