An analytical solution of the diffusion- convection equation over a finite domain

Numerical solutions to the diffusion-convection equation are usually evaluated through comparison with analytical solutions in one dimension. Literature survey indicates the most frequently used analytical solution is one derived for asemi-infinite domain. This paper presents an analytical solution to this problem over a finite domain. Comparison is made with a solution to a mathematically similar problem in heat conduction with radiation.     

A new analytical modelling for fractional telegraph equation via Laplace transform

The main aim of the present work is to propose a new and simple algorithm for space-fractional telegraph equation, namely new fractional homotopy analysis transform method (HATM). The fractional homotopy analysis transform method is an innovative adjustment in Laplace transform algorithm (LTA) and makes the calculation much simpler. The proposed technique solves the nonlinear problems without using Adomian polynomials and He’s polynomials which can be considered as a clear advantage of this new algorithm over decomposition and the homotopy perturbation transform method (HPTM). The beauty of the paper is error analysis which shows that our solution obtained by proposed method converges very rapidly to the known exact solution. The numerical solutions obtained by proposed method indicate that the approach is easy to implement and computationally very attractive. Finally, several numerical examples are given to illustrate the accuracy and stability of this method.     

The Robin problem for the Laplace equation in a three-dimensional starlike domain

The internal and external Robin problems for the Laplace equation in bounded starlike domains are addressed. We show how to derive the relevant solutions by using a suitable Fourier series-like method. Numerical results are specifically obtained considering three-dimensional domains whose boundary is defined by a generalization of the so-called “superformula” introduced by Gielis. By using the computer algebra code Mathematica©, truncated series approximations of the solutions are determined. Our findings are in good agreement with the theoretical results on the Fourier series due to Carleson.     

有限分形介质中分数阶反应扩散方程及其解析解

建立了有限分形介质中具有吸附效应的分数阶反应扩散积分方程.利用Lap lace变换、广义有限H ankel变换及其相应的逆变换得到了以M ittag-Leffler函数为主要形式的解析解,并研究了解的渐近性态.     

LAPLACE TRANSFORM OF THE SURVIVAL PROBABILITY UNDER SPARRE ANDERSEN MODEL

In this paper a class of risk processes in which claims occur as a renewal process is studied. A clear expression for Laplace transform of the survival probability is well given when the claim amount distribution is Erlang distribution or mixed Erlang distribution. The expressions for moments of the time to ruin with the model above are given.     

Boundedness of the solution of the third problem for the Laplace equation

A necessary and sufficient condition for the boundedness of a solution of the third problem for the Laplace equation is given. As an application a similar result is given for the third problem for the Poisson equation on domains with Lipschitz boundary.Supported by GACR, Grant No. 201/00/1515.     

A class of consistent tests for exponentiality based on the empirical Laplace transform

The Laplace transform (t=E[exp(–tX)]) of a random variable with exponential density exp(–x), x0, satisfies the differential equation (+t)(t)+(t=0, t0). We study the behaviour of a class of consistent (omnibus) tests for exponentiality based on a suitably weighted integral of % MathType!MTEF!2!1!+-% feaafeart1ev1aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn% hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr% 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqaqpepeea0xe9qqVa0l% b9peea0lb9sq-JfrVkFHe9peea0dXdarVe0Fb9pgea0xa9pue9Fve9% Ffc8meGabaqaciGacaGaaeqabaWaaeaaeaaakeaacaGGBbGaaiikai% qbeU7aSzaajaWaaSbaaSqaaGqaciaa-5gaaeqaaOGaey4kaSIaamiD% aiaacMcacqaHipqEcaWFNaWaaSbaaSqaaiaad6gaaeqaaOGaaiikai% aadshacaGGPaGaey4kaSIaeqiYdK3aaSbaaSqaaiaad6gaaeqaaOGa% aiikaiaadshacaGGPaGaaiyxamaaCaaaleqabaGaaGOmaaaaaaa!4C69!\[[(\hat \lambda _n + t)\psi '_n (t) + \psi _n (t)]^2 \], where % MathType!MTEF!2!1!+-% feaafeart1ev1aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn% hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr% 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqaqpepeea0xe9qqVa0l% b9peea0lb9sq-JfrVkFHe9peea0dXdarVe0Fb9pgea0xa9pue9Fve9% Ffc8meGabaqaciGacaGaaeqabaWaaeaaeaaakeaacuaH7oaBgaqcam% aaBaaaleaaieGacaWFUbaabeaaaaa!3A66!\[\hat \lambda _n \] is the maximum-likelihood-estimate of and _n is the empirical Laplace transform, each based on an i.i.d. sample X ₁,...,X _n .     

Notes on a finite differencing scheme for the dispersion equation

Finite difference techniques applied to atmospheric dispersion problems often encounter time step limitations due to the variance in the characteristic length scales (horizontal to vertical) of both the field variables and the computational region. Methods to maximize the integration time step are explored and techniques are described which ensure numerical accuracy and stability of these optimized time step techniques.

To circumvent time step limitations arising from consideration of the vertical diffusion term in the dispersion equation, a column implicitization technique is suggested which, through correction terms added to the differencing equation to compensate for truncation errors, provides an efficient and economical atmospheric dispersion solver which is insensitive to the common time step limitations of explicit schemes when large aspect ratio computational volumes are required. Further, it is shown that a relaxed stability criteria proposed by Leonard and Clancy for explicit differencing of the horizontal terms in the dispersion equation, presents a further saving in computational time provided correction terms to the differencing equation are included to eliminate phase and amplitude errors resulting from the larger time steps employed.     

Applications to give an analytical solution to the Black Scholes equation

A simple ?-function and its dynamic equation is presented. An application to give an analytical solution to the Black Scholes equation is presented.     

Tests of fit for the Rayleigh distribution based on the empirical Laplace transform

In this paper a class of goodness-of-fit tests for the Rayleigh distribution is proposed. The tests are based on a weighted integral involving the empirical Laplace transform. The consistency of the tests as well as their asymptotic distribution under the null hypothesis are investigated. As the decay of the weight function tends to infinity the test statistics approach limit values. In a particular case the resulting limit statistic is related to the first nonzero component of Neyman’s smooth test for this distribution. The new tests are compared with other omnibus tests for the Rayleigh distribution.     

Acceleration of the convergence of the Laguerre series in the problem of inverting the Laplace transform

When the Laplace transform is inverted numerically, the original function is sought in the form of a series in the Laguerre polynomials. To accelerate the convergence of this series, the Euler-Knopp method is used. The techniques for selecting the optimal value of the parameter of the transform on the real axis and in the complex plane are proposed.     

The Laplace transform of the digamma function: An integral due to Glasser, Manna and Oloa

The definite integral

is related to the Laplace transform of the digamma function

by when . Certain analytic expressions for in the complementary range, , are also provided.

     

Error analysis of a Collocation method for numerically inverting a Laplace transform in case of real samples

In [S. Cuomo, L. D’Amore, A. Murli, M.R. Rizzardi, Computation of the inverse Laplace transform based on a collocation method which uses only real values, J. Comput. Appl. Math., 198 (1) (2007) 98–115] the authors proposed a Collocation method (C-method) for real inversion of Laplace transforms (Lt), based on the truncated Laguerre expansion of the inverse function:

where σ, b are parameters and c_k, kN, are the MacLaurin coefficients of a function depending on the Lt. The computational kernel of a C-method is the solution of a Vandermonde linear system, where the right hand side is obtained evaluating the Lt on the real axis. The Bjorck Pereira algorithm has been used for solving the Vandermonde linear system, providing a computable componentwise error bound on the solution.

For an inversion problem on discrete data F is known on a pre-assigned set of points (we refer to these points as samples of F) only and the major challenge is to deal with a significative loss of information. A natural approach to overcome this intrinsic difficulty is to construct a suitable fitting model that approximates the given data. In this case, we show that such approach leads to a C-method with perturbed right hand side, and then we use again the Bjorck Pereira algorithm.

Starting from the error introduced by the fitting model, we study its propagation in order to determine the maximum attainable accuracy on f_N. Moreover we derive a computable error bound that allows to get the suitable value of the parameter N that gives the maximum attainable accuracy.     

A joint Laplace transform for pre-exit diffusion of occupation times

For a < r < b, the approach of Li and Zhou (2014) is adopted to find joint Laplace transforms of occupation times over intervals (a, r) and (r, b) for a time homogeneous diffusion process before it first exits from either a or b. The results are expressed in terms of solutions to the differential equations associated with the diffusions generator. Applying these results, we obtain more explicit expressions on the joint Laplace transforms of occupation times for Brownian motion with drift, Brownian motion with alternating drift and skew Brownian motion, respectively.     

A Laplace transform method for order statistics from nonidentical random variables and its application in Phase-type distribution

In this paper, we derive a method for obtaining the Laplace transform of order statistics (o.s.) arising from general independent nonidentically distributed random variables (r.v.’s). A survey of the most important properties, applications and the o.s. of a Phase-type (PH) distribution are also presented. Two illustrative examples are provided.     

A two-stage difference method for solving the Dirichlet problem for the Laplace equation on a rectangular parallelepiped

A novel two-stage difference method is proposed for solving the Dirichlet problem for the Laplace equation on a rectangular parallelepiped. At the first stage, approximate values of the sum of the pure fourth derivatives of the desired solution are sought on a cubic grid. At the second stage, the system of difference equations approximating the Dirichlet problem is corrected by introducing the quantities determined at the first stage. The difference equations at the first and second stages are formulated using the simplest six-point averaging operator. Under the assumptions that the given boundary values are six times differentiable at the faces of the parallelepiped, those derivatives satisfy the Hölder condition, and the boundary values are continuous at the edges and their second derivatives satisfy a matching condition implied by the Laplace equation, it is proved that the difference solution to the Dirichlet problem converges uniformly as O(h ⁴lnh ^?1), where h is the mesh size.     

High‐order compact finite difference and laplace transform method for the solution of time‐fractional heat equations with dirchlet and neumann boundary conditions

The work presents a novel coupling of the Laplace Transform and the compact fourth‐order finite‐difference discretization scheme for the efficient and accurate solution of linear time‐fractional nonhomogeneous diffusion equations subject to both Dirichlet and Neumann boundary conditions. A translational transformation of the dependent variable ensures the Caputo derivative is aligned with the Riemann‐Louiville fractional derivative. The resulting scheme is computationally efficient and shown to be uniquely solvable in all cases, accurate and convergent to in the spatial domain. The convergence rates in the temporal domain are contour dependent but exhibit geometric convergence. © 2015 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 32: 1184–1199, 2016     

On a combined grid method for solving the Dirichlet problem for the Laplace equation in a rectangular parallelepiped

A combined grid method for solving the Dirichlet problem for the Laplace equation in a rectangular parallelepiped is proposed. At the grid points that are at the distance equal to the grid size from the boundary, the 6-point averaging operator is used. At the other grid points, the 26-point averaging operator is used. It is assumed that the boundary values have the third derivatives satisfying the Lipschitz condition on the faces; on the edges, they are continuous and their second derivatives satisfy the compatibility condition implied by the Laplace equation. The uniform convergence of the grid solution with the fourth order with respect to the grid size is proved