Search results for "finite difference method"
showing 10 items of 63 documents
A numerical approach to the voltammograms of the reduction of Prussian Blue films on ITO electrodes
1997
The uncompensated resistance, mainly due to the ITO electrode, modifies the shape of voltammetric curves of the system Prussian Blue ⇄ Everitt's Salt films deposited on this transparent electrode. A numerical finite difference model which is able to explain the shape of these voltammetric curves is studied in this paper. This model explains the dependence of voltammetric curves on the film thickness and uncompensated resistance.
TORSIONAL STRESS CONCENTRATIONS IN SHAFTS: FROM ELECTRICAL ANALOGIES TO NUMERICAL METHODS
2013
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, in particular those based on electrical analogies proposed since about 1925, and numerical methods, in particular finite difference methods (FDM), finite element methods (FEM) and boundary elements (BEM).
A finite-difference method for numerical solution of the steady-state nernst—planck equations with non-zero convection and electric current density
1986
Abstract A computer algorithm has been developed for digital simulation of ionic transport through membranes obeying the Nernst—Planck and Poisson equations. The method of computation is quite general and allows the treatment of steady-state electrodiffusion equations for multiionic environments, the ionic species having arbitrary valences and mobilities, when convection and electric current are involved. The procedure provides a great flexibility in the choice of suitable boundary conditions and avoids numerical instabilities which are so frequent in numerical methods. Numerical results for concentration and electric potential gradient profiles are presented in the particular case of the t…
Numerical analysis of thermally induced optical nonlinearity in GaSe layered crystal
1996
A numerical approach to studying thermally induced optical nonlinearity in semiconductors is presented. A transient finite difference algorithm is applied to solve the thermal diffusion equation coupled with the nonlinear absorbance-transmittance of Au/GaSe/Au samples with an applied electric field. The presented analysis can deal with any arbitrary axisymmetric dependence of the input power over the sample and external electric field, and provides information about the steady state and transitory effects in the transmittance.
European Option Pricing and Hedging with Both Fixed and Proportional Transaction Costs
2003
Abstract In this paper we provide a systematic treatment of the utility based option pricing and hedging approach in markets with both fixed and proportional transaction costs: we extend the framework developed by Davis et al. (SIAM J. Control Optim., 31 (1993) 470) and formulate the option pricing and hedging problem. We propose and implement a numerical procedure for computing option prices and corresponding optimal hedging strategies. We present a careful analysis of the optimal hedging strategy and elaborate on important differences between the exact hedging strategy and the asymptotic hedging strategy of Whalley and Wilmott (RISK 7 (1994) 82). We provide a simulation analysis in order …
American Option Pricing and Exercising with Transaction Costs
2005
In this paper we examine the problem of finding the reservation option prices and corresponding exercise policies of American options in a market with proportional transaction costs using the utility based approach proposed by Davis and Zariphopoulou (1995). We present a model where the option holder has a constant absolute risk aversion. We discuss the numerical algorithm and propose a new characterization of the option holder's value function. We suggest original discretization schemes for computing reservation prices and exercise policies of American options. The discretization schemes are implemented for the cases of American put and call options. We present the study of the optimal tra…
Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential Equations
2008
In the presence of transaction costs the perfect option replication is impossible which invalidates the celebrated Black and Scholes (1973) model. In this chapter we consider some approaches to option pricing and hedging in the presence of transaction costs. The distinguishing feature of all these approaches is that the solution for the option price and hedging strategy is given by a nonlinear partial differential equation (PDE). We start with a review of the Leland (1985) approach which yields a nonlinear parabolic PDE for the option price, one of the first such in finance. Since the Leland's approach to option pricing has been criticized on different grounds, we present a justification of…
Mathematical Models and their Solutions for Domains of Compex Form
2014
Promocijas darbā tiek apskatīti dažādi oriģināli modeļi un to risinājumi sarežģītas formas apgabaliem. Intensīvās tērauda rūdīšanas procesi sistēmām ar ribām tiek aprakstīti ar 3D hiperbolisko, kā arī ar klasisko siltuma vadīšanas vienādojumu. Precīzā atrisinājuma iegūšanai izmantota Grīna funkciju metode un tās vispārinājums. Modernajos datoros sastopamajām sistēmām ar dubulsieniņu un dubultribu dota stacionārā un nestacionārā siltumvadīšanas problēma 2D gadījumā. Tās risinājums tiek iegūts ar konservatīvās viduvēšanas metodi, galīgo diferenču metodi un tās modifikāciju robežnosacījumiem. Piedāvāts jauns matemātiskais modelis vītola flautai, problēmas formulējumā izmantojot 1D lineāru viļņ…
Estimation of the mechanical properties of the eye through the study of its vibrational modes.
2017
Measuring the eye's mechanical properties in vivo and with minimally invasive techniques can be the key for individualized solutions to a number of eye pathologies. The development of such techniques largely relies on a computational modelling of the eyeball and, it optimally requires the synergic interplay between experimentation and numerical simulation. In Astrophysics and Geophysics the remote measurement of structural properties of the systems of their realm is performed on the basis of (helio-)seismic techniques. As a biomechanical system, the eyeball possesses normal vibrational modes encompassing rich information about its structure and mechanical properties. However, the integral a…
Kāda biomasas gazifikācijas modeļa skaitliskā analīze
2017
Šajā darbā tiek pētīts gazifikācijas procesa matemātiskais modelis. Tiek analizēta siltumapmaiņas reakcijas vienādojumu sistēma, konstruēts tās matemātiskais modelis un izpētīti raksti par gazifikācijas norises procesiem.