Browsing by Subject "Partial differential equations"
Now showing items 120 of 48

Article
Algebraic properties of evolution partial differential equations modelling prices of commodities
(2008)Schwartz (J. Finance 1997

Article
Analyticity for a class of nonlinear evolutionary pseudodifferential equations
(2014)We study the analyticity properties of solutions for a class of nonlinear evolutionary pseudodifferential equations possessing global attractors. In order to do this we utilise an analyticity criterion for spatially ...

Article
Analyticity for KuramotoSivashinskytype equations in two spatial dimensions
(2016)I. Stratis In this work, we investigate the analyticity properties of solutions of KuramotoSivashinskytype equations in two spatial dimensions, with periodic initial data. In order to do this, we explore the applicability ...

Article
Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition
(2013)We demonstrate the power of symmetry in the resolution of some evolution partial differential equations which arise in various aspects of finance. The essential theme is that which Lie promulgated approximately 140 years ...

Conference Object
Applications of minimum principle for continuoustime partially observable risksensitive control problems
(IEEE, 1995)This paper employs the minimum principle derived in [1], for nonlinear partially observable exponential of integral control problems, to solve linearexponentialquadraticGaussian (LEQG) tracking problems using two different ...

Conference Object
Certain results concerning filtering and control of diffusions in small white noise
(IEEE, 1997)The purpose of this talk is twofold. First, we examine in detail the binary hypothesis decision and/or estimation problem using a risksensitive cost criterion, when the state and observation processes are diffusion signals. ...

Article
Computational study of the dispersively modified KuramotoSivashinsky equation
(2012)We analyze and implement fully discrete schemes for periodic initial value problems for a general class of dispersively modified KuramotoSivashinsky equations. Time discretizations are constructed using linearly implicit ...

Conference Object
Computational study of the KuramotoSivashinsky equation
(Soc for Industrial & Applied Mathematics Publ, 1996)We report the results of extensive numerical experiments on the KuramotoSivashinsky equation in the strongly chaotic regime as the viscosity parameter is decreased and increasingly more linearly unstable modes enter the ...

Article
Conditional densities for continuoustime nonlinear hybrid systems with applications to fault detection
(1998)Continuoustime nonlinear stochastic differential state and measurement equations, all of which have coefficients capable of abrupt changes at a random time, are considered; finitestate jump Markov chains are used to model ...

Article
Conditional densities for continuoustime nonlinear hybrid systems with applications to fault detection
(1999)Continuoustime nonlinear stochastic differential state and measurement equations, all of which have coefficients capable of abrupt changes at a random time, are considered; finitestate jump Markov chains are used to model ...

Conference Object
Conditional moment generating functions for integrals and stochastic integrals
(IEEE, 1997)In this paper we present two methods for computing filtered estimates for moments of integrals and stochastic integrals of continuoustime nonlinear systems. The first method utilizes recursive stochastic partial differential ...

Article
Conservation laws and hierarchies of potential symmetries for certain diffusion equations
(2009)We show that the socalled hidden potential symmetries considered in a recent paper [M.L. Gandarias, New potential symmetries for some evolution equations, Physica A 387 (2008) 22342242] are ordinary potential symmetries ...

Article
A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with timedependent parameters
(2015)In a fairly recent paper (2008 American Control Conference, June 1113, 10351039), the problem of dealing with trading in optimal pairs was treated from the viewpoint of stochastic control. The analysis of the subsequent ...

Conference Object
Eigenvalue estimates on bakry–Émery manifolds
(Springer Verlag, 2015)We demonstrate lower bounds for the eigenvalues of compact Bakry– Émery manifolds with and without boundary. The lower bounds for the first eigenvalue rely on a generalized maximum principle which allows gradient estimates ...

Conference Object
Evaluation of likelihoodratio and performance bounds for nonlinear decision problems via stochastic PDE
(American Automatic Control Council, 1994)The nonlinear binary decision problem with signal satisfying a diffusion equation observed through noisy measurements is considered. Using the unnormalized conditional density of nonlinear filtering, expressions for ...

Article
Finitedimensional nonlinear output feedback dynamic games and bounds for sector nonlinearities
(1999)In general, nonlinear output feedback dynamic games are infinitedimensional. This paper treats a class of minimax games when the nonlinearities enter the dynamics of the unobservable states. An information state approach ...

Article
Functional deconvolution in a periodic setting: Uniform case
(2009)We extend deconvolution in a periodic setting to deal with functional data. The resulting functional deconvolution model can be viewed as a generalization of a multitude of inverse problems in mathematical physics where ...

Article
Group analysis of Benjamin  Bona  Mahony equations with time dependent coefficients
(2015)Group classification of a class of BenjaminBonaMahony (BBM) equations with time dependent coefficients is carried out. Two equivalent lists of equations possessing Lie symmetry extensions are presented: up to point ...

Article
Group classification of systems of diffusion equations
(2017)Group classification of a class of systems of diffusion equations is carried out. Arbitrary elements that appear in the system depend on two variables. All forms of the arbitrary elements that provide additional Lie ...

Article
High performance solution of partial differential equations discretized using a chebyshev spectral collocation method
(1996)When a Chebyshev spectral collocation method is applied to a flow problem in a rectangularly decomposable domain it leads to the solution of a structured linear system. Since the linear system is solved at each step of a ...