The fully implicit stochastic-alpha method for stiff stochastic differential equations

A fully implicit integration method for stochastic differential equations with significant multiplicative noise and stiffness in both the drift and diffusion coefficients has been constructed, analyzed and illustrated with numerical examples in this work. The method has strong order 1.0 consistency and has user-selectable parameters that allow the user to expand the stability region of the method to cover almost the entire drift-diffusion stability plane. The large stability region enables the method to take computationally efficient time steps. A system of chemical Langevin equations simulated with the method illustrates its computational efficiency.

Boundary value problems for third-order nonlinear ordinary differential equations

In this paper, we describe how to analyze boundary value problems for third-order nonlinear ordinary differential equations over an infinite interval. Several physical problems of interest are governed by such systems. The seminumerical schemes described here offer some advantages over solutions obtained by using traditional methods such as finite differences, shooting method, etc. These techniques also reveal the analytic structure of the solution function. For illustrative purposes, several physical problems, mainly drawn from fluid mechanics, are considered; they clearly demonstrate the efficiency of the techniques presented here.

Boundary value problems for third-order nonlinear ordinary differential equations

In this paper, we describe how to analyze boundary value problems for third-order nonlinear ordinary differential equations over an infinite interval. Several physical problems of interest are governed by such systems. The seminumerical schemes described here offer some advantages over solutions obtained by using traditional methods such as finite differences, shooting method, etc. These techniques also reveal the analytic structure of the solution function. For illustrative purposes, several physical problems, mainly drawn from fluid mechanics, are considered; they clearly demonstrate the efficiency of the techniques presented here.

Numerical procedure for second order non-linear ordinary differential equations and application to heat transfer problem

In this paper, we have first given a numerical procedure for the solution of second order non-linear ordinary differential equations of the type y″ = f (x;y, y′) with given initial conditions. The method is based on geometrical interpretation of the equation, which suggests a simple geometrical construction of the integral curve. We then translate this geometrical method to the numerical procedure adaptable to desk calculators and digital computers. We have studied the efficacy of this method with the help of an illustrative example with known exact solution. We have also compared it with Runge-Kutta method. We have then applied this method to a physical problem, namely, the study of the temperature distribution in a semi-infinite solid homogeneous medium for temperature-dependent conductivity coefficient.

Trajectory controllability of nonlinear integro-differential system

A stronger concept of complete (exact) controllability which we call Trajectory Controllability is introduced in this paper. We study the Trajectory Controllability of an abstract nonlinear integro-differential system in the finite and infinite dimensional space setting. (C) 2010 The Franklin Institute. Published by Elsevier Ltd. All rights reserved.

A parallel multistep predictor-corrector algorithm for solving ordinary differential equations

In this paper we give a generalized predictor-corrector algorithm for solving ordinary differential equations with specified initial values. The method uses multiple correction steps which can be carried out in parallel with a prediction step. The proposed method gives a larger stability interval compared to the existing parallel predictor-corrector methods. A method has been suggested to implement the algorithm in multiple processor systems with efficient utilization of all the processors.

Exact-Solutions Of Linear Partial-Differential Equations With Variable-Coefficients

Backlund transformations relating the solutions of linear PDE with variable coefficients to those of PDE with constant coefficients are found, generalizing the study of Varley and Seymour [2]. Auto-Backlund transformations are also determined. To facilitate the generation of new solutions via Backlund transformation, explicit solutions of both classes of the PDE just mentioned are found using invariance properties of these equations and other methods. Some of these solutions are new.

The Adomian method applied to some extraordinary differential equations

Several ''extraordinary'' differential equations are considered for their solutions via the decomposition method of Adomian. Verifications are made with the solutions obtained by other methods.

Multiple scales without center manifold reductions for delay differential equations near Hopf bifurcations

We study small perturbations of three linear Delay Differential Equations (DDEs) close to Hopf bifurcation points. In analytical treatments of such equations, many authors recommend a center manifold reduction as a first step. We demonstrate that the method of multiple scales, on simply discarding the infinitely many exponentially decaying components of the complementary solutions obtained at each stage of the approximation, can bypass the explicit center manifold calculation. Analytical approximations obtained for the DDEs studied closely match numerical solutions.

A computational procedure to generate difference equations from differential equations

In this paper we have developed methods to compute maps from differential equations. We take two examples. First is the case of the harmonic oscillator and the second is the case of Duffing's equation. First we convert these equations to a canonical form. This is slightly nontrivial for the Duffing's equation. Then we show a method to extend these differential equations. In the second case, symbolic algebra needs to be used. Once the extensions are accomplished, various maps are generated. The Poincare sections are seen as a special case of such generated maps. Other applications are also discussed.

SPLIT-STEP FORWARD MILSTEIN METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS

In this paper, we consider the problem of computing numerical solutions for stochastic differential equations (SDEs) of Ito form. A fully explicit method, the split-step forward Milstein (SSFM) method, is constructed for solving SDEs. It is proved that the SSFM method is convergent with strong order gamma = 1 in the mean-square sense. The analysis of stability shows that the mean-square stability properties of the method proposed in this paper are an improvement on the mean-square stability properties of the Milstein method and three stage Milstein methods.

Adaptive mesh generation for singularly perturbed fourth-order ordinary differential equations

In this paper, we consider a singularly perturbed boundary-value problem for fourth-order ordinary differential equation (ODE) whose highest-order derivative is multiplied by a small perturbation parameter. To solve this ODE, we transform the differential equation into a coupled system of two singularly perturbed ODEs. The classical central difference scheme is used to discretize the system of ODEs on a nonuniform mesh which is generated by equidistribution of a positive monitor function. We have shown that the proposed technique provides first-order accuracy independent of the perturbation parameter. Numerical experiments are provided to validate the theoretical results.