Adaptive stepsize based on control theory for stochastic differential equations

The numerical solution of stochastic differential equations (SDEs) has been focussed recently on the development of numerical methods with good stability and order properties. These numerical implementations have been made with fixed stepsize, but there are many situations when a fixed stepsize is not appropriate. In the numerical solution of ordinary differential equations, much work has been carried out on developing robust implementation techniques using variable stepsize. It has been necessary, in the deterministic case, to consider the best choice for an initial stepsize, as well as developing effective strategies for stepsize control-the same, of course, must be carried out in the stochastic case. In this paper, proportional integral (PI) control is applied to a variable stepsize implementation of an embedded pair of stochastic Runge-Kutta methods used to obtain numerical solutions of nonstiff SDEs. For stiff SDEs, the embedded pair of the balanced Milstein and balanced implicit method is implemented in variable stepsize mode using a predictive controller for the stepsize change. The extension of these stepsize controllers from a digital filter theory point of view via PI with derivative (PID) control will also be implemented. The implementations show the improvement in efficiency that can be attained when using these control theory approaches compared with the regular stepsize change strategy. (C) 2004 Elsevier B.V. All rights reserved.

On the chaotic rotation of a liquid-filled gyrostat via the Melnikov-Holmes-Marsden integral

The non-linear motions of a gyrostat with an axisymmetrical, fluid-filled cavity are investigated. The cavity is considered to be completely filled with an ideal incompressible liquid performing uniform rotational motion. Helmholtz theorem, Euler's angular momentum theorem and Poisson equations are used to develop the disturbed Hamiltonian equations of the motions of the liquid-filled gyrostat subjected to small perturbing moments. The equations are established in terms of a set of canonical variables comprised of Euler angles and the conjugate angular momenta in order to facilitate the application of the Melnikov-Holmes-Marsden (MHM) method to investigate homoclinic/heteroclinic transversal intersections. In such a way, a criterion for the onset of chaotic oscillations is formulated for liquid-filled gyrostats with ellipsoidal and torus-shaped cavities and the results are confirmed via numerical simulations. (c) 2006 Elsevier Ltd. All rights reserved.

A Cauchy Integral Related to a Robot-safety Device System

We introduce a robot-safety device system attended by two different repairmen. The twin system is characterized by the natural feature of cold standby and by an admissible “risky” state. In order to analyse the random behaviour of the entire system (robot, safety device, repair facility) we employ a stochastic process endowed with probability measures satisfying general Hokstad-type differential equations. The solution procedure is based on the theory of sectionally holomorphic functions, characterized by a Cauchy-type integral defined as a Cauchy principal value in double sense. An application of the Sokhotski-Plemelj formulae determines the long-run availability of the robot-safety device. Finally, we consider the particular but important case of deterministic repair.

Convolution Products in L1(R+), Integral Transforms and Fractional Calculus

Mathematics Subject Classification: 43A20, 26A33 (main), 44A10, 44A15

Inhomogeneous Fractional Diffusion Equations

2000 Mathematics Subject Classification: Primary 26A33; Secondary 35S10, 86A05

On a Differential Equation with Left and Right Fractional Derivatives

Mathematics Subject Classification: 26A33; 70H03, 70H25, 70S05; 49S05

Representations of Inverse Functions by the Integral Transform with the Sign Kernel

Mathematics Subject Classification: Primary 30C40

Nonlinear Spectral Theories and Solvability of Nonlinear Hammerstein Equations

AMS Subj. Classification: 47J10, 47H30, 47H10

Nonlinear Bihari Type Integral Inequalities with Maxima

Some new nonlinear integral inequalities that involve the maximum of the unknown scalar function of one variable are solved. The considered inequalities are generalizations of the classical nonlinear integral inequality of Bihari. The importance of these integral inequalities is defined by their wide applications in qualitative investigations of differential equations with "maxima" and it is illustrated by some direct applications.

Impulsive Partial Hyperbolic Functional Differential Equations of Fractional Order with State-Dependent Delay

MSC 2010: 26A33, 34A37, 34K37, 34K40, 35R11

Noninear Integral Inequalities Involving Maxima

Снежана Христова, Кремена Стефанова, Лозанка Тренкова - В статията се изучават някои интегрални неравенства, които съдържат макси-мума на неизвестната функция на една променлива. Разглежданите неравенства са обобщения на класическото неравенство на Бихари. Значимостта на тези интегрални неравенства се дълже на широкото им приложение при качественото изследванене на различни свойства на решенията на диференциални уравнения с “максимум” и е илюстрирано с някои директни приложения.

Closed Form Solutions of Integrable Nonlinear Evolution Equations

2010 Mathematics Subject Classification: 35Q55.

Solutions of Fractional Diffusion-Wave Equations in Terms of H-functions

MSC 2010: 35R11, 42A38, 26A33, 33E12

On Some Generalizations of Classical Integral Transforms

MSC 2010: 44A15, 44A20, 33C60

Computation of rare transitions in the barotropic quasi-geostrophic equations

We investigate the theoretical and numerical computation of rare transitions in simple geophysical turbulent models. We consider the barotropic quasi-geostrophic and two-dimensional Navier–Stokes equations in regimes where bistability between two coexisting large-scale attractors exist. By means of large deviations and instanton theory with the use of an Onsager–Machlup path integral formalism for the transition probability, we show how one can directly compute the most probable transition path between two coexisting attractors analytically in an equilibrium (Langevin) framework and numerically otherWe adapt a class of numerical optimization algorithms known as minimum action methods to simple geophysical turbulent models. We show that by numerically minimizing an appropriate action functional in a large deviation limit, one can predict the most likely transition path for a rare transition between two states. By considering examples where theoretical predictions can be made, we show that the minimum action method successfully predicts the most likely transition path. Finally, we discuss the application and extension of such numerical optimization schemes to the computation of rare transitions observed in direct numerical simulations and experiments and to other, more complex, turbulent systems.