The generalized solution of ill-posed boundary problem

In this paper, we define a kind of new Sobolev spaces, the relative Sobolev spaces Wk,p0(Ω,∑). Then an elliptic partial differential equation of the second order with an ill-posed boundary is discussed. By utilizing the ideal of the generalized inverse of an operator, we introduce the generalized solution of the ill-posed boundary problem. Eventually, the connection between the generalized inverse and the generalized solution is studied. In this way, the non-instability of the minimal normal least square solution of the ill-posed boundary problem is avoided.     

On a terminal value problem for a generalization of the fractional diffusion equation with hyper-Bessel operator

In this paper, we consider an inverse problem of recovering the initial value for a generalization of time-fractional diffusion equation, where the time derivative is replaced by a regularized hyper-Bessel operator. First, we investigate the existence and regularity of our terminal value problem. Then we show that the backward problem is ill-posed, and we propose a regularizing scheme using a fractional Tikhonov regularization method. We also present error estimates between the regularized solution and the exact solution using two parameter choice rules.     

Stable numerical differentiation for the second order derivatives

Consider a numerical differential problem, which aims to compute the second order derivative of a function stably from its given noisy data. For this ill-posed problem, we introduce the Lavrent′ev regularization scheme by reformulating this differentiation problem as an integral equation of the first kind. The advantage of this proposed scheme is that we can give the regularizing solution by an explicit integral expression, therefore it is easy to be implemented. The a-priori and a-posterior choice strategies for the regularization parameter are considered, with convergence analysis and error estimate of the regularizing solution for noisy data based on the integral operator decomposition. The validity of the proposed scheme is shown by several numerical examples.     

短期利率模型中隐含波动率的重构（英文）

This paper concerns an inverse problem of recovering implied volatility in shortterm interest rate model from the market prices of zero-coupon bonds. Based on linearization, an analytic solution, which is given as a power series, is derived for the direct problem.By neglecting high order terms in the power series, an integral equation about the perturbation of volatility is formulated and the Tikhonov regularization method is applied to solve the integral equation. Finally numerical experiments are given and the results show that the method is effective.     

A trace theorem for solutions of the wave equation,and the remote determination of acoustic sources

The determination of sources of acoustic wave motion in several dimensions from remote measurements is of considerable interest in many applications, and the underlying mathematical problem is quite ill-posed. We separate the source determination problem into a control problem for the wave equation and an inverse mixed initial-boundary value problem, and concentrate on the latter, in which the initial data for a solution of the wave equation are to be determined from its trace on a time-like hyperplane. Though the geometry of this problem is simple, it exhibits some of the central analytic difficulties of more complex problems. We prove a uniqueness theorem, give examples of instability, establish regularity properties of the trace, and locate noncompact classes of stable functionals. The existence of these noncompact classes shows that the problem is “partially well-posed”, i.e. that smoothing in all directions is not required to regularize the problem, and distinguishes it from most other ill-posed problems, such as backwards diffusion and analytic continuation.     

A new regularization method for a Cauchy problem of the time fractional diffusion equation

In this paper, we consider a Cauchy problem of the time fractional diffusion equation (TFDE). Such problem is obtained from the classical diffusion equation by replacing the first-order time derivative by the Caputo fractional derivative of order α (0 < α ≤ 1). We show that the Cauchy problem of TFDE is severely ill-posed and further apply a new regularization method to solve it based on the solution given by the Fourier method. Convergence estimates in the interior and on the boundary of solution domain are obtained respectively under different a-priori bound assumptions for the exact solution and suitable choices of regularization parameters. Finally, numerical examples are given to show that the proposed numerical method is effective.     

A modified integral equation method of the semilinear backward heat problem

The paper is concerned with the non-linear backward heat equation in the rectangle domain. The problem is severely ill-posed. We shall use a modified integral equation method to regularize the nonlinear problem. The error estimates of Hölder type of the regularized solutions are obtained. Numerical results are presented to illustrate the accuracy and efficiency of the method. This work is a generalization of many earlier papers, including the recent paper [D.D. Trong, N.H. Tuan, Regularization and error estimate for the nonlinear backward heat problem using a method of integral equation, Nonlinear Anal. 71 (9) (2009) 4167-4176].     

Boundary integral equations for the Helmholtz equation: The third boundary value problem

In this paper we study the application of boundary integral equation methods for the solution of the third, or Robin, boundary value problem for the exterior Helmholtz equation. In contrast to earlier work, the boundary value problem is interpreted here in a weak sense which allows data to be specified in L_∞ (?D), ?D being the boundary of the exterior domain which we assume to be Lyapunov of index 1. For this exterior boundary value problem, we employ Green's theorem to derive a pair of boundary integral equations which have a unique simultaneous solution. We then show that this solution yields a solution of the original exterior boundary value problem.     

嵌入弹性半空间的弹性迴转轴的扭转*

本文用线载荷积分方程法(LLIEM)研究嵌在弹性半空间的弹性迴转轴的扭转问题.将“点环力偶(PRC)”和“半空间点环力偶(PRCHS)”分别分布于迴转轴内和外的轴线上,就能将本问题归结为一维的Fredholm第一种积分方程组.直接用离散法求解时,会发现有时解是不稳定的,也就是病态情形.本文采用以带小参数的Fredholm第二种积分方程代替病态的Fredholm第一种积分方程的方法可以得到稳定的解,此法比Tikhonov正规化法简单,易于在计算机上运行.文中给出圆维、圆柱、圆锥-圆柱、抛物线轴等数值例子.     

An improved non-local boundary value problem method for a cauchy problem of the Laplace equation

In this paper, we propose an improved non-local boundary value problem method to solve a Cauchy problem for the Laplace equation. It is known that the Cauchy problem for the Laplace equation is severely ill-posed, i.e., the solution does not depend continuously on the given Cauchy data. Convergence estimates for the regularized solutions are obtained under a-priori bound assumptions for the exact solution. Some numerical results are given to show the effectiveness of the proposed method.     

Modified regularization method for the Cauchy problem of the Helmholtz equation

In this paper, the Cauchy problem for the Helmholtz equation is investigated. It is known that such problem is severely ill-posed. We propose a modified regularization method to solve it based on the solution given by the method of separation of variables. Convergence estimates are presented under two different a-priori bounded assumptions for the exact solution. Finally, numerical examples are given to show the effectiveness of the proposed numerical method.     

The exterior dirichlet problem for the Laplace equation

Using a standard application of Green's theorem, the exterior Dirichlet problem for the Laplace equation in three dimensions is reduced to a pair of integral equations. One integral equation is of the second kind and the other is of the first kind. It is known that the integral equation of the second kind is not uniquely solvable, however, it has been demonstrated that the pair of integral equations has a unique solution. The present approach is based on the observation that the known function appearing in the integral equation of the second kind lies in a certain Banach space E which is a proper subspace of the Banach space of continuous complex-valued functions equipped with the maximum norm. Furthermore, it can be shown that the related integral operator when restricted to E has spectral radius less than unity. Consequently, a particular solution to the integral equation of the second kind can be obtained by the method of successive approximations and the unique solution to the problem is then obtained by using the integral equation of the first kind. Comparisons are made between the present algorithm and other known constructive methods. Finally, an example is supplied to illustrate the method of this paper.     

On the Cauchy problem for a semilinear fractional elliptic equation

We study, for the first time in the literature on the subject, the Cauchy problem for a semilinear fractional elliptic equation. Under an a priori assumption on the solution, we propose the Fourier truncation method for stabilizing the ill-posed problem. A stability estimate of logarithmic type is established.     

A Note on a Moving Boundary Problem Arising in the American Put Option

We consider an American put option, under the Black–Scholes model. This corresponds to a moving boundary problem for a PDE. We convert the problem to a nonlinear integral equation for the moving boundary, which corresponds to the optimal exercise of the option. We use singular perturbation methods to compute the moving boundary, as well as the full solution to the PDE, in various asymptotic limits. We consider times close to the expiration date, as well as systems where the interest rate is large or small, relative to the volatility of the asset for which the option is sold.     

On a problem of integral geometry related to the Dirichlet problem for an ultrahyperbolic equation

We study the nontrivial solvability of the homogeneous problem of integral geometry on the family of spheres formed by sections of the (n − 1)-dimensional unit sphere by hyperplanes perpendicular to the generators of a given cone. By using a relationship between this problem and the Dirichlet problem for an ultrahyperbolic equation in a ball and a criterion for the failure of uniqueness of the solution of the latter problem in terms of zeros of classical Jacobi polynomials, we obtain a criterion for the uniqueness of the solution of the former problem.     

Determining surface heat flux in the steady state for the Cauchy problem for the Laplace equation

In this paper, we consider the Cauchy problem for the Laplace equation, in a strip where the Cauchy data is given at x = 0 and the flux is sought in the interval 0<x?1. This problem is typical ill-posed: the solution (if it exists) does not depend continuously on the data. We study a modification of the equation, where a fourth-order mixed derivative term is added. Some error stability estimates for the flux are given, which show that the solution of the modified equation is approximate to the solution of the Cauchy problem for the Laplace equation. Furthermore, numerical examples show that the modified method works effectively.     

Computation and analysis for a constrained entropy optimization problem in finance

In [T. Coleman, C. He, Y. Li, Calibrating volatility function bounds for an uncertain volatility model, Journal of Computational Finance (2006) (submitted for publication)], an entropy minimization formulation has been proposed to calibrate an uncertain volatility option pricing model (UVM) from market bid and ask prices. To avoid potential infeasibility due to numerical error, a quadratic penalty function approach is applied. In this paper, we show that the solution to the quadratic penalty problem can be obtained by minimizing an objective function which can be evaluated via solving a Hamilton–Jacobian–Bellman (HJB) equation. We prove that the implicit finite difference solution of this HJB equation converges to its viscosity solution. In addition, we provide computational examples illustrating accuracy of calibration.     

The Neumann problem for the planar Stokes system

The Neumann problem for the Stokes system is studied on bounded and unbounded domains with Ljapunov boundary (i.e. of class ${{\mathcal C}^{1,\alpha }}$ ) in the plane. We construct a solution of this problem in the form of appropriate potentials and reduce the problem to an integral equation systems on the boundary of the domain. We determine a necessary and sufficient condition for the solvability of the problem. Then we study the direct integral equation method and prove that a solution of the corresponding integral equation can be obtained by the successive approximation.     

On the transmission problem of the helmholtz equation for quadrants

The plane transmission problem of the Helmholtz equation for quadrants is characterized by a one-dimensional singular integral equation, which refers to the Fourier transform of the normal derivative of the solution along the x-axis. It is derived by solving the transmission problem for the upper and the lower half-plane involving a Neumann condition at y = 0. This is done by a two-dimensional Laplace transform technique. The inverse Laplace transform with respect to the second cartesian coordinate and the restriction of this one to y = 0 then lead to the integral equation. Thereby the transmission conditions of the original problem at y = 0 have to be taken into account. The resulting integral equation is of generalized Wiener-Hopf-type. It is solved via the contraction theorem imposing restricting conditions on the wave numbers.