Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion

In this note we prove an existence and uniqueness result for the solution of multidimensional stochastic delay differential equations with normal reflection. The equations are driven by a fractional Brownian motion with Hurst parameter H > 1/2. The stochastic integral with respect to the fractional Brownian motion is a pathwise Riemann¿Stieltjes integral.

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.

Direct Computation of Stochastic Flow in Reservoirs with Uncertain Parameters

A direct method is presented for determining the uncertainty in reservoir pressure, flow, and net present value (NPV) using the time-dependent, one phase, two- or three-dimensional equations of flow through a porous medium. The uncertainty in the solution is modelled as a probability distribution function and is computed from given statistical data for input parameters such as permeability. The method generates an expansion for the mean of the pressure about a deterministic solution to the system equations using a perturbation to the mean of the input parameters. Hierarchical equations that define approximations to the mean solution at each point and to the field covariance of the pressure are developed and solved numerically. The procedure is then used to find the statistics of the flow and the risked value of the field, defined by the NPV, for a given development scenario. This method involves only one (albeit complicated) solution of the equations and contrasts with the more usual Monte-Carlo approach where many such solutions are required. The procedure is applied easily to other physical systems modelled by linear or nonlinear partial differential equations with uncertain data.

A Higher order and stable method for the numerical integration of Random Differential Equations

Trabalho apresentado no Congresso Nacional de Matemática Aplicada à Indústria, 18 a 21 de novembro de 2014, Caldas Novas - Goiás

Lamé differential equations and electrostatics

The problem of existence and uniqueness of polynomial solutions of the Lamé differential equation A(x)y″ + 2B(x)y′ + C(x)y = 0, where A(x),B(x) and C(x) are polynomials of degree p + 1,p and p - 1, is under discussion. We concentrate on the case when A(x) has only real zeros aj and, in contrast to a classical result of Heine and Stieltjes which concerns the case of positive coefficients rj in the partial fraction decomposition B(x)/A(x) = ∑j p=0 rj/(x - aj), we allow the presence of both positive and negative coefficients rj. The corresponding electrostatic interpretation of the zeros of the solution y(x) as points of equilibrium in an electrostatic field generated by charges rj at aj is given. As an application we prove that the zeros of the Gegenbauer-Laurent polynomials are the points of unique equilibrium in a field generated by two positive and two negative charges. © 2000 American Mathematical Society.

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.

Stochastic Partial Budgeting: A New Look at an Old Tool

Farm business managers are constantly making adjustments in their businesses for smoother operations and profitability. Many times, these choices involve actions to enhance the financial return of the farm business; while other times these decisions are made out of necessity to minimize the effects of unfavorable conditions or events such as drought or changes in the market conditions. Some of these decisions are relatively simple, requiring making choices among alternatives within an enterprise; while others are complex involving a total overhaul of the business and its enterprises. Alternative choices within an individual enterprise can have a differential impact on farm profitability. Therefore, making the best decision may make the difference between profit or loss for that enterprise. Partial budgeting is very useful in making such changes within an enterprise of a farm.

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.

An efficient numerical method for highly oscillatory ordinary differential equations /

"Supported in part by the Department of Energy under contract ENERGY/EY-76-S-02-2383, and submitted in partial fulfillment of the requirements of the Graduate College for the degree of doctor of philosophy."

Quasi-separation of the biharmonic partial differential equation

In this paper, we consider analytical and numerical solutions to the Dirichlet boundary-value problem for the biharmonic partial differential equation on a disc of finite radius in the plane. The physical interpretation of these solutions is that of the harmonic oscillations of a thin, clamped plate. For the linear, fourth-order, biharmonic partial differential equation in the plane, it is well known that the solution method of separation in polar coordinates is not possible, in general. However, in this paper, for circular domains in the plane, it is shown that a method, here called quasi-separation of variables, does lead to solutions of the partial differential equation. These solutions are products of solutions of two ordinary linear differential equations: a fourth-order radial equation and a second-order angular differential equation. To be expected, without complete separation of the polar variables, there is some restriction on the range of these solutions in comparison with the corresponding separated solutions of the second-order harmonic differential equation in the plane. Notwithstanding these restrictions, the quasi-separation method leads to solutions of the Dirichlet boundary-value problem on a disc with centre at the origin, with boundary conditions determined by the solution and its inward drawn normal taking the value 0 on the edge of the disc. One significant feature for these biharmonic boundary-value problems, in general, follows from the form of the biharmonic differential expression when represented in polar coordinates. In this form, the differential expression has a singularity at the origin, in the radial variable. This singularity translates to a singularity at the origin of the fourth-order radial separated equation; this singularity necessitates the application of a third boundary condition in order to determine a self-adjoint solution to the Dirichlet boundary-value problem. The penultimate section of the paper reports on numerical solutions to the Dirichlet boundary-value problem; these results are also presented graphically. Two specific cases are studied in detail and numerical values of the eigenvalues are compared with the results obtained in earlier studies.

Solving Differential Equations by Parallel Laplace Method with Assured Accuracy

The paper has been presented at the 12th International Conference on Applications of Computer Algebra, Varna, Bulgaria, June, 2006

Well-Posedness of the Cauchy Problem for Inhomogeneous Time-Fractional Pseudo-Differential Equations

Mathematics Subject Classification: 26A33, 45K05, 35A05, 35S10, 35S15, 33E12

Properties of Lp (K)-Solutions of Linear Nonhomogeneous Impulsive Differential Equations with Unbounded Linear Operator

Sufficient conditions for the existence of Lp(k)-solutions of linear nonhomogeneous impulsive differential equations with unbounded linear operator are found. An example of the theory of the linear nonhomogeneous partial impulsive differential equations of parabolic type is given.

Exact time-dependent solutions for a self-regulating gene

The exact time-dependent solution for the stochastic equations governing the behavior of a binary self-regulating gene is presented. Using the generating function technique to rephrase the master equations in terms of partial differential equations, we show that the model is totally integrable and the analytical solutions are the celebrated confluent Heun functions. Self-regulation plays a major role in the control of gene expression, and it is remarkable that such a microscopic model is completely integrable in terms of well-known complex functions.

An Extension of the Invariance Principle for a Class of Differential Equations with Finite Delay

An extension of the uniform invariance principle for ordinary differential equations with finite delay is developed. The uniform invariance principle allows the derivative of the auxiliary scalar function V to be positive in some bounded sets of the state space while the classical invariance principle assumes that. V <= 0. As a consequence, the uniform invariance principle can deal with a larger class of problems. The main difficulty to prove an invariance principle for functional differential equations is the fact that flows are defined on an infinite dimensional space and, in such spaces, bounded solutions may not be precompact. This difficulty is overcome by imposing the vector field taking bounded sets into bounded sets.