Numerical Simulation of Stochastic Di erential Equations

Stochastic differential equation (SDE) is a differential equation in which some of the terms and its solution are stochastic processes. SDEs play a central role in modeling physical systems like finance, Biology, Engineering, to mention some. In modeling process, the computation of the trajectories (sample paths) of solutions to SDEs is very important. However, the exact solution to a SDE is generally difficult to obtain due to non-differentiability character of realizations of the Brownian motion. There exist approximation methods of solutions of SDE. The solutions will be continuous stochastic processes that represent diffusive dynamics, a common modeling assumption for financial, Biology, physical, environmental systems. This Masters' thesis is an introduction and survey of numerical solution methods for stochastic differential equations. Standard numerical methods, local linearization methods and filtering methods are well described. We compute the root mean square errors for each method from which we propose a better numerical scheme. Stochastic differential equations can be formulated from a given ordinary differential equations. In this thesis, we describe two kind of formulations: parametric and non-parametric techniques. The formulation is based on epidemiological SEIR model. This methods have a tendency of increasing parameters in the constructed SDEs, hence, it requires more data. We compare the two techniques numerically.

On Vessiot's Theory of Partial Differential Equations

The object of research presented here is Vessiot's theory of partial differential equations: for a given differential equation one constructs a distribution both tangential to the differential equation and contained within the contact distribution of the jet bundle. Then within it, one seeks n-dimensional subdistributions which are transversal to the base manifold, the integral distributions. These consist of integral elements, and these again shall be adapted so that they make a subdistribution which closes under the Lie-bracket. This then is called a flat Vessiot connection. Solutions to the differential equation may be regarded as integral manifolds of these distributions. In the first part of the thesis, I give a survey of the present state of the formal theory of partial differential equations: one regards differential equations as fibred submanifolds in a suitable jet bundle and considers formal integrability and the stronger notion of involutivity of differential equations for analyzing their solvability. An arbitrary system may (locally) be represented in reduced Cartan normal form. This leads to a natural description of its geometric symbol. The Vessiot distribution now can be split into the direct sum of the symbol and a horizontal complement (which is not unique). The n-dimensional subdistributions which close under the Lie bracket and are transversal to the base manifold are the sought tangential approximations for the solutions of the differential equation. It is now possible to show their existence by analyzing the structure equations. Vessiot's theory is now based on a rigorous foundation. Furthermore, the relation between Vessiot's approach and the crucial notions of the formal theory (like formal integrability and involutivity of differential equations) is clarified. The possible obstructions to involution of a differential equation are deduced explicitly. In the second part of the thesis it is shown that Vessiot's approach for the construction of the wanted distributions step by step succeeds if, and only if, the given system is involutive. Firstly, an existence theorem for integral distributions is proven. Then an existence theorem for flat Vessiot connections is shown. The differential-geometric structure of the basic systems is analyzed and simplified, as compared to those of other approaches, in particular the structure equations which are considered for the proofs of the existence theorems: here, they are a set of linear equations and an involutive system of differential equations. The definition of integral elements given here links Vessiot theory and the dual Cartan-Kähler theory of exterior systems. The analysis of the structure equations not only yields theoretical insight but also produces an algorithm which can be used to derive the coefficients of the vector fields, which span the integral distributions, explicitly. Therefore implementing the algorithm in the computer algebra system MuPAD now is possible.

An introduction to ordinary differential equations by computer algebra-systems

We report on an elementary course in ordinary differential equations (odes) for students in engineering sciences. The course is also intended to become a self-study package for odes and is is based on several interactive computer lessons using REDUCE and MATHEMATICA . The aim of the course is not to do Computer Algebra (CA) by example or to use it for doing classroom examples. The aim ist to teach and to learn mathematics by using CA-systems.

Upwind solution of singular differential equations arising from steady channel flows

We study ordinary nonlinear singular differential equations which arise from steady conservation laws with source terms. An example of steady conservation laws which leads to those scalar equations is the Saint–Venant equations. The numerical solution of these scalar equations is sought by using the ideas of upwinding and discretisation of source terms. Both the Engquist–Osher scheme and the Roe scheme are used with different strategies for discretising the source terms.

Periodic solutions of abstract neutral functional differential equations

We characterize the existence of periodic solutions of some abstract neutral functional differential equations with finite and infinite delay when the underlying space is a UMD space. (C) 2011 Elsevier B.V. All rights reserved.

Stability results for impulsive functional differential equations with infinite delay

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

Solutions for a class of integro-differential equations with time periodic coefficients

In this work, a series solution is found for the integro-differential equation y″ (t) = -(ω2 c + ω2 f sin2 ωpt)y(t) + ωf (sin ωpt) z′ (0) + ω2 fωp sin ωpt ∫t 0 (cos ωps) y(s)ds, which describes the charged particle motion for certain configurations of oscillating magnetic fields. As an interesting feature, the terms of the solution are related to distinct sequences of prime numbers.

On the periodic solutions of a class of duffing differential equations

In this work we study the periodic solutions, their stability and bifurcation for the class of Duffing differential equation mathematical equation represented where C > 0, ε > 0 and Λ are real parameter, A(t), b(t) and h(t) are continuous T periodic functions and ε is sufficiently small. Our results are proved using the averaging method of first order.

On a class of abstract neutral functional differential equations

By using the theory of semigroups of growth α, we discuss the existence of mild solutions for a class of abstract neutral functional differential equations. A concrete application to partial neutral functional differential equations is considered.

Boundedness of solutions of retarded functional differential equations with variable impulses via generalized ordinary differential equations

In this paper, we give sufficient conditions for the uniform boundedness and uniform ultimate boundedness of solutions of a class of retarded functional differential equations with impulse effects acting on variable times. We employ the theory of generalized ordinary differential equations to obtain our results. As an example, we investigate the boundedness of the solution of a circulating fuel nuclear reactor model.

Periodic solutions of abstract neutral functional differential equations

We characterize the existence of periodic solutions of some abstract neutral functional differential equations with finite and infinite delay when the underlying space is a UMD space. (C) 2011 Elsevier Inc. All rights reserved.

Existence of Solutions for Abstract Non-Autonomous Neutral Differential Equations

In this paper we discuss the existence of mild and classical solutions for a class of abstract non-autonomous neutral functional differential equations. An application to partial neutral differential equations is considered.