Two-dimensional integrable generalization of the Camassa-Holm equation

In this letter we discuss the (2 + 1)-dimensional generalization of the Camassa-Holm equation. We require that this generalization be, at the same time, integrable and physically derivable under the same asymptotic analysis as the original Camassa-Holm equation. First, we find the equation in a perturbative calculation in shallow-water theory. We then demonstrate its integrability and find several particular solutions describing (2 + 1) solitary-wave like solutions. © 1999 Published by Elsevier Science B.V. All rights reserved.

On a negative flow of the AKNS hierarchy and its relation to a two-component Camassa-Holm equation?

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Black-scholes type equations

In this work we are concerned with the analysis and numerical solution of Black-Scholes type equations arising in the modeling of incomplete financial markets and an inverse problem of determining the local volatility function in a generalized Black-Scholes model from observed option prices. In the first chapter a fully nonlinear Black-Scholes equation which models transaction costs arising in option pricing is discretized by a new high order compact scheme. The compact scheme is proved to be unconditionally stable and non-oscillatory and is very efficient compared to classical schemes. Moreover, it is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. In the next chapter we turn to the calibration problem of computing local volatility functions from market data in a generalized Black-Scholes setting. We follow an optimal control approach in a Lagrangian framework. We show the existence of a global solution and study first- and second-order optimality conditions. Furthermore, we propose an algorithm that is based on a globalized sequential quadratic programming method and a primal-dual active set strategy, and present numerical results. In the last chapter we consider a quasilinear parabolic equation with quadratic gradient terms, which arises in the modeling of an optimal portfolio in incomplete markets. The existence of weak solutions is shown by considering a sequence of approximate solutions. The main difficulty of the proof is to infer the strong convergence of the sequence. Furthermore, we prove the uniqueness of weak solutions under a smallness condition on the derivatives of the covariance matrices with respect to the solution, but without additional regularity assumptions on the solution. The results are illustrated by a numerical example.

Dubrovin Type Equations for Completely Integrable Systems Associated with a Polynomial Pencil

Dubrovin type equations for the N -gap solution of a completely integrable system associated with a polynomial pencil is constructed and then integrated to a system of functional equations. The approach used to derive those results is a generalization of the familiar process of finding the 1-soliton (1-gap) solution by integrating the ODE obtained from the soliton equation via the substitution u = u(x + λt).

Fractional Fokker-Planck-Kolmogorov type Equations and their Associated Stochastic Differential Equations

MSC 2010: 26A33, 35R11, 35R60, 35Q84, 60H10 Dedicated to 80-th anniversary of Professor Rudolf Gorenflo

On negative flows of the AKNS hierarchy and a class of deformations of a bihamiltonian structure of hydrodynamic type

A deformation parameter of a bihamiltonian structure of hydrodynamic type is shown to parametrize different extensions of the AKNS hierarchy to include negative flows. This construction establishes a purely algebraic link between, on the one hand, two realizations of the first negative flow of the AKNS model and, on the other, two-component generalizations of Camassa-Holmand Dym-type equations. The two-component generalizations of Camassa-Holm- and Dym-type equations can be obtained from the negative-order Hamiltonians constructed from the Lenard relations recursively applied on the Casimir of the first Poisson bracket of hydrodynamic type. The positive-order Hamiltonians, which follow froth the Lenard scheme applied on the Casimir of the second Poisson bracket of hydrodynamic type, are shown to coincide with the Hamiltonians of the AKNS model. The AKNS Hamiltonians give rise to charges conserved with respect to equations of motion of two-component Camassa-Holm- and two-component Dym-type equations.

Existence Theorems for Generalized Hammerstein Equations

In this paper we obtain existence theorems for generalized Hammerstein-type equations K(u)Nu + u = 0, where for each u in the dual X* of a real reflexive Banach space X, K(u): X -- X* is a bounded linear map and N: X* - X is any map (possibly nonlinear). The method we adopt is totally different from the methods adopted so far in solving these equations. Our results in the reflexive spacegeneralize corresponding results of Petry and Schillings.

Determination of fractional energy loss of waves in nearshore waters using an improved high-order Boussinesq-type model

Fractional energy losses of waves due to wave breaking when passing over a submerged bar are studied systematically using a modified numerical code that is based on the high-order Boussinesq-type equations. The model is first tested by the additional experimental data, and the model's capability of simulating the wave transformation over both gentle slope and steep slope is demonstrated. Then, the model's breaking index is replaced and tested. The new breaking index, which is optimized from the several breaking indices, is not sensitive to the spatial grid length and includes the bottom slopes. Numerical tests show that the modified model with the new breaking index is more stable and efficient for the shallow-water wave breaking. Finally, the modified model is used to study the fractional energy losses for the regular waves propagating and breaking over a submerged bar. Our results have revealed that how the nonlinearity and the dispersion of the incident waves as well as the dimensionless bar height (normalized by water depth) dominate the fractional energy losses. It is also found that the bar slope (limited to gentle slopes that less than 1:10) and the dimensionless bar length (normalized by incident wave length) have negligible effects on the fractional energy losses.

Fluid mechanics-non-linear waves studies on korteweg-de vries equations

In this thesis the author has presented qualitative studies of certain Kdv equations with variable coefficients. The well-known KdV equation is a model for waves propagating on the surface of shallow water of constant depth. This model is considered as fitting into waves reaching the shore. Renewed attempts have led to the derivation of KdV type equations in which the coefficients are not constants. Johnson's equation is one such equation. The researcher has used this model to study the interaction of waves. It has been found that three-wave interaction is possible, there is transfer of energy between the waves and the energy is not conserved during interaction.

Stability of periodic travelling shallow-water waves determined by Newton`s equation

We study the existence and stability of periodic travelling-wave solutions for generalized Benjamin-Bona-Mahony and Camassa-Holm equations. To prove orbital stability, we use the abstract results of Grillakis-Shatah-Strauss and the Floquet theory for periodic eigenvalue problems.

Low-energy direct muon transfer from H to Ne10+, S16+ and Ar18+ using the two-state close-coupling approximation to the Faddeev-Hahn-type equation

We perform a three-body calculation of direct muon-transfer rates from thermalized muonic hydrogen isotopes to bare nuclei Ne10+, S16+ and Ar18+ employing integro-differential Faddeev-Hahn-type equations in configuration space with a two-state close-coupling approximation scheme. All Coulomb potentials including the strong final-state Coulomb repulsion are treated exactly. A long-range polarization potential is included in the elastic channel to take into account the high polarizability of the muonic hydrogen. The transfer rates so-calculated are in good agreement with recent experiments. We find that the muon is captured predominantly in the n = 6, 9 and 10 states of muonic Ne10+, S16+ and Ar18+, respectively.

Coordinate-space Faddeev-Hahn-type approach to three-body charge-transfer reactions involving exotic particles

Low-energy muon-transfer cross sections and rates in collisions of muonic atoms with hydrogen isotopes are calculated using a six-state close-coupling approximation to coordinate-space Faddeev-Hahn-type equations. In the muonic case satisfactory results are obtained for all hydrogen isotopes and the experimentaly observed strong isotopic dependence of transfer rates is also reproduced. A comparison with results of other theoretical and available experimental works is presented. The present model also leads to good transfer cross sections in the well-understood problem of antihydrogen formation in antiproton-positronium collision.

Quasi-Regular Solutions for 3D Equations of Tricomi and Keldish Types

Цветан Д. Христов, Недю Ив. Попиванов, Манфред Шнайдер - Изучени са някои тримерни гранични задачи за уравнения от смесен тип. За уравнения от типа на Трикоми те са формулирани от М. Протер през 1952, като тримерни аналози на задачите на Дарбу или Коши–Гурса в равнината. Добре известно е, че новите задачи са некоректни. Ние формулираме нова гранична задача за уравнения от типа на Келдиш и даваме понятие за квазиругулярно решение на тази задача и на eдна от задачите на Протер. Намерени са достатъчни условия за единственост на такива решения.

Stochastic modelling of financial time series with memory and multifractal scaling

Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient market hypothesis, is still an issue for further debates. These difficulties present challenges with the problems of memory detection and modelling the co-presence of long memory and heavy tails. This PhD project aims to respond to these challenges. The first part aims to detect memory in a large number of financial time series on stock prices and exchange rates using their scaling properties. Since financial time series often exhibit stochastic trends, a common form of nonstationarity, strong trends in the data can lead to false detection of memory. We will take advantage of a technique known as multifractal detrended fluctuation analysis (MF-DFA) that can systematically eliminate trends of different orders. This method is based on the identification of scaling of the q-th-order moments and is a generalisation of the standard detrended fluctuation analysis (DFA) which uses only the second moment; that is, q = 2. We also consider the rescaled range R/S analysis and the periodogram method to detect memory in financial time series and compare their results with the MF-DFA. An interesting finding is that short memory is detected for stock prices of the American Stock Exchange (AMEX) and long memory is found present in the time series of two exchange rates, namely the French franc and the Deutsche mark. Electricity price series of the five states of Australia are also found to possess long memory. For these electricity price series, heavy tails are also pronounced in their probability densities. The second part of the thesis develops models to represent short-memory and longmemory financial processes as detected in Part I. These models take the form of continuous-time AR(∞) -type equations whose kernel is the Laplace transform of a finite Borel measure. By imposing appropriate conditions on this measure, short memory or long memory in the dynamics of the solution will result. A specific form of the models, which has a good MA(∞) -type representation, is presented for the short memory case. Parameter estimation of this type of models is performed via least squares, and the models are applied to the stock prices in the AMEX, which have been established in Part I to possess short memory. By selecting the kernel in the continuous-time AR(∞) -type equations to have the form of Riemann-Liouville fractional derivative, we obtain a fractional stochastic differential equation driven by Brownian motion. This type of equations is used to represent financial processes with long memory, whose dynamics is described by the fractional derivative in the equation. These models are estimated via quasi-likelihood, namely via a continuoustime version of the Gauss-Whittle method. The models are applied to the exchange rates and the electricity prices of Part I with the aim of confirming their possible long-range dependence established by MF-DFA. The third part of the thesis provides an application of the results established in Parts I and II to characterise and classify financial markets. We will pay attention to the New York Stock Exchange (NYSE), the American Stock Exchange (AMEX), the NASDAQ Stock Exchange (NASDAQ) and the Toronto Stock Exchange (TSX). The parameters from MF-DFA and those of the short-memory AR(∞) -type models will be employed in this classification. We propose the Fisher discriminant algorithm to find a classifier in the two and three-dimensional spaces of data sets and then provide cross-validation to verify discriminant accuracies. This classification is useful for understanding and predicting the behaviour of different processes within the same market. The fourth part of the thesis investigates the heavy-tailed behaviour of financial processes which may also possess long memory. We consider fractional stochastic differential equations driven by stable noise to model financial processes such as electricity prices. The long memory of electricity prices is represented by a fractional derivative, while the stable noise input models their non-Gaussianity via the tails of their probability density. A method using the empirical densities and MF-DFA will be provided to estimate all the parameters of the model and simulate sample paths of the equation. The method is then applied to analyse daily spot prices for five states of Australia. Comparison with the results obtained from the R/S analysis, periodogram method and MF-DFA are provided. The results from fractional SDEs agree with those from MF-DFA, which are based on multifractal scaling, while those from the periodograms, which are based on the second order, seem to underestimate the long memory dynamics of the process. This highlights the need and usefulness of fractal methods in modelling non-Gaussian financial processes with long memory.

Does physical protection of soil organic matter attenuate temperature sensitivity?

Global climate change may induce accelerated soil organic matter (SOM) decomposition through increased soil temperature, and thus impact the C balance in soils. We hypothesized that compartmentalization of substrates and decomposers in the soil matrix would decrease SOM sensitivity to temperature. We tested our hypothesis with three short-term laboratory incubations with differing physical protection treatments conducted at different temperatures. Overall, CO2 efflux increased with temperature, but responses among physical protection treatments were not consistently different. Similar respiration quotient (Q(10)) values across physical protection treatments did not support our original hypothesis that the largest Q(10) values would be observed in the treatment with the least physical protection. Compartmentalization of substrates and decomposers is known to reduce the decomposability of otherwise labile material, but the hypothesized attenuation of temperature sensitivity was not detected, and thus the sensitivity is probably driven by the thermodynamics of biochemical reactions as expressed by Arrhenius-type equations.