Implicit stochastic Runge-Kutta methods for stochastic differential equations

In this paper we construct implicit stochastic Runge-Kutta (SRK) methods for solving stochastic differential equations of Stratonovich type. Instead of using the increment of a Wiener process, modified random variables are used. We give convergence conditions of the SRK methods with these modified random variables. In particular, the truncated random variable is used. We present a two-stage stiffly accurate diagonal implicit SRK (SADISRK2) method with strong order 1.0 which has better numerical behaviour than extant methods. We also construct a five-stage diagonal implicit SRK method and a six-stage stiffly accurate diagonal implicit SRK method with strong order 1.5. The mean-square and asymptotic stability properties of the trapezoidal method and the SADISRK2 method are analysed and compared with an explicit method and a semi-implicit method. Numerical results are reported for confirming convergence properties and for comparing the numerical behaviour of these methods.

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.

Numerical simulation of stochastic ordinary differential equations in biomathematical modelling

In this work we discuss the effects of white and coloured noise perturbations on the parameters of a mathematical model of bacteriophage infection introduced by Beretta and Kuang in [Math. Biosc. 149 (1998) 57]. We numerically simulate the strong solutions of the resulting systems of stochastic ordinary differential equations (SDEs), with respect to the global error, by means of numerical methods of both Euler-Taylor expansion and stochastic Runge-Kutta type. (C) 2003 IMACS. Published by Elsevier B.V. All rights reserved.

A genetic estimation algorithm for parameters of stochastic ordinary differential equations

A generic method for the estimation of parameters for Stochastic Ordinary Differential Equations (SODEs) is introduced and developed. This algorithm, called the GePERs method, utilises a genetic optimisation algorithm to minimise a stochastic objective function based on the Kolmogorov-Smirnov statistic. Numerical simulations are utilised to form the KS statistic. Further, the examination of some of the factors that improve the precision of the estimates is conducted. This method is used to estimate parameters of diffusion equations and jump-diffusion equations. It is also applied to the problem of model selection for the Queensland electricity market. (C) 2003 Elsevier B.V. All rights reserved.

Three-dimensional simulation of the rolling of a saturated fibro-porous media

This paper describes recent advances made in computational modelling of the sugar cane liquid extraction process. The saturated fibro-porous material is rolled between circumferentially grooved rolls, which enhance frictional grip and provide a low-resistance path for liquid flow during the extraction process. Previously reported two-dimensional (2D) computational models, account for the large deformation of the porous material by solving the fully coupled governing fibre stress and fluid-flow equations using finite element techniques. While the 2D simulations provide much insight into the overarching cause-effect relationships, predictions of mechanical quantities such as roll separating force and particularly torque as a function of roll speed and degree of compression are not satisfactory for industrial use. It is considered that the unsatisfactory response in roll torque prediction may be due to the stress levels that exist between the groove tips and roots which have been largely neglected in the geometrically simplified 2D model. This paper gives results for both two- and three-dimensional finite element models and highlights their strengths and weaknesses in predicting key milling parameters. (c) 2005 Elsevier B.V. All rights reserved.

On the existence of solutions to boundary value problems on time scales

This work formulates existence theorems for solutions to two-point boundary value problems on time scales. The methods used include maximum principles, a priori bounds and topological degree theory.

A note on bifurcation from an interval

We study the global bifurcation of nonlinear Sturm-Liouville problems of the form -(pu')' + qu = lambda a(x)f(u), b(0)u(0) - c(0)u' (0) = 0, b(1)u(1) + c(1)u'(1) = 0 which are not linearizable in any neighborhood of the origin. (c) 2005 Published by Elsevier Ltd.

Regularity and relaxed problems of minimizing biharmonic maps into spheres

For n >= 5 and k >= 4, we show that any minimizing biharmonic map from Omega subset of R-n to S-k is smooth off a closed set whose Hausdorff dimension is at most n - 5. When n = 5 and k = 4, for a parameter lambda is an element of [0, 1] we introduce lambda-relaxed energy H-lambda of the Hessian energy for maps in W-2,W-2 (Omega; S-4) so that each minimizer u(lambda) of H-lambda is also a biharmonic map. We also establish the existence and partial regularity of a minimizer of H-lambda for lambda is an element of [0, 1).

A new class of critical sets in Latin squares

Previously the process of finding critical sets in Latin squares has been inside cumbersome by the complexity and number of Latin trades that, must be constructed. In this paper we develop a theory of Latin trades that yields more transparent constructions. We use these Latin trades to find a new class of critical sets for Latin squares which are a product of the Latin square of order 2 with a. back circulant Latin square of odd order.

QRT: A Qr-based tridiagonalization algorithm for nonsymmetric matrices

The stable similarity reduction of a nonsymmetric square matrix to tridiagonal form has been a long-standing problem in numerical linear algebra. The biorthogonal Lanczos process is in principle a candidate method for this task, but in practice it is confined to sparse matrices and is restarted periodically because roundoff errors affect its three-term recurrence scheme and degrade the biorthogonality after a few steps. This adds to its vulnerability to serious breakdowns or near-breakdowns, the handling of which involves recovery strategies such as the look-ahead technique, which needs a careful implementation to produce a block-tridiagonal form with unpredictable block sizes. Other candidate methods, geared generally towards full matrices, rely on elementary similarity transformations that are prone to numerical instabilities. Such concomitant difficulties have hampered finding a satisfactory solution to the problem for either sparse or full matrices. This study focuses primarily on full matrices. After outlining earlier tridiagonalization algorithms from within a general framework, we present a new elimination technique combining orthogonal similarity transformations that are stable. We also discuss heuristics to circumvent breakdowns. Applications of this study include eigenvalue calculation and the approximation of matrix functions.

Multiplicity results for second-order two-point boundary value problems with nonlinearities across several eigenvalues

We consider the boundary value problems for nonlinear second-order differential equations of the form u '' + a(t)f (u) = 0, 0 < t < 1, u(0) = u (1) = 0. We give conditions on the ratio f (s)/s at infinity and zero that guarantee the existence of solutions with prescribed nodal properties. Then we establish existence and multiplicity results for nodal solutions to the problem. The proofs of our main results are based upon bifurcation techniques. (c) 2004 Elsevier Ltd. All rights reserved.

A new system of variational inclusions with (H,eta)-monotone operators in Hilbert spaces

In this paper, we introduce and study a new system of variational inclusions involving (H, eta)-monotone operators in Hilbert space. Using the resolvent operator associated with (H, eta)monotone operators, we prove the existence and uniqueness of solutions for this new system of variational inclusions. We also construct a new algorithm for approximating the solution of this system and discuss the convergence of the sequence of iterates generated by the algorithm. (c) 2005 Elsevier Ltd. All rights reserved.

Multiplicity results for second-order two-point boundary value problems with superlinear or sublinear nonlinearities

We consider boundary value problems for nonlinear second order differential equations of the form u + a(t) f(u) = 0, t epsilon (0, 1), u(0) = u(1) = 0, where a epsilon C([0, 1], (0, infinity)) and f : R --> R is continuous and satisfies f (s)s > 0 for s not equal 0. We establish existence and multiplicity results for nodal solutions to the problems if either f(0) = 0, f(infinity) = infinity or f(0) = infinity, f(0) = 0, where f (s)/s approaches f(0) and f(infinity) as s approaches 0 and infinity, respectively. We use bifurcation techniques to prove our main results. (C) 2004 Elsevier Inc. All rights reserved.

Existence of complementary pairs of proportionally balanced designs

Proportionally balanced designs (pi BDs) were introduced by Gray and Matters in response to a need for the allocation of markers of the Queensland Core Skills Test to have a certain property. Subsequent papers extended the theoretical results relating to such designs and provided further instances and general constructions. This work focused on designs comprising blocks of precisely two sizes, and when each variety occurs with one of precisely two possible frequencies. Two designs based on the set V of varieties are complementary if, whenever B is a block of one, then its complement with regard to the set V is a block of the other. Here we present necessary conditions for the existence of complementary pairs of such pi BDs and provide lists of some restricted parameter sets satisfying these necessary conditions. The lists are arranged according to the number of blocks. We demonstrate that not all of these parameter sets give rise to designs. However we establish by construction of the sets of blocks that, for every feasible number of blocks less than or equal to 100, with the possible exception of 63, there exists at least one pair of complementary pi BDs. We also investigate the conditions under which the complementary design can be isomorphic to the original design, and again provide a list of feasible parameters for pairs of such designs with at most 400 blocks.

Existence of solutions for p(x)-Laplacian problems on a bounded domain

In this paper we study the following p(x)-Laplacian problem: -div(a(x)&VERBAR;&DEL; u&VERBAR;(p(x)-2)&DEL; u)+b(x)&VERBAR; u&VERBAR;(p(x)-2)u = f(x, u), x ε &UOmega;, u = 0, on &PARTIAL; &UOmega;, where 1< p(1) &LE; p(x) &LE; p(2) < n, &UOmega; &SUB; R-n is a bounded domain and applying the mountain pass theorem we obtain the existence of solutions in W-0(1,p(x)) for the p(x)-Laplacian problems in the superlinear and sublinear cases. © 2004 Elsevier Inc. All rights reserved.