An explicit series approximation to the optimal exercise boundary of American put options

This paper derives an explicit series approximation solution for the optimal exercise boundary of an American put option by means of a new analytical method for strongly nonlinear problems, namely the homotopy analysis method (HAM). The Black–Sholes equation subject to the moving boundary conditions for an American put option is transferred into an infinite number of linear sub-problems in a fixed domain through the deformation equations. Different from perturbation/asymptotic approximations, the HAM approximation can be applicable for options with much longer expiry. Accuracy tests are made in comparison with numerical solutions. It is found that the current approximation is as accurate as many numerical methods. Considering its explicit form of expression, it can bring great convenience to the market practitioners.     

An analytical approach for solving nonlinear boundary value problems in finite domains

Based on the homotopy analysis method (HAM), a general analytical approach for obtaining approximate series solutions to nonlinear two-point boundary value problems in finite domains is proposed. To demonstrate its effectiveness, this approach is applied to solve three nonlinear problems, and the analytical solutions obtained are more accurate than the numerical solutions obtained via the shooting method and the sinc-Galerkin method.     

Analytical approximations to nonlinear vibration of an electrostatically actuated microbeam

This paper employs the homotopy analysis method (HAM) to derive analytical approximate solutions for the nonlinear problem with high-order nonlinearity. Such a problem corresponds to the large-amplitude vibration of electrostatically actuated microbeams. The HAM is also optimized to accelerate the convergence of approximate solutions. To verify the accuracy of the present approach, illustrative examples are provided and compared with other analytical and exact solutions.     

Homotopy analysis method applied to electrohydrodynamic flow

In this paper, we consider the nonlinear boundary value problem (BVP) for the electrohydrodynamic flow of a fluid in an ion drag configuration in a circular cylindrical conduit. We present analytical solutions based on the homotopy analysis method (HAM) for various values of the relevant parameters and discuss the convergence of these solutions. We also compare our results with numerical solutions. The results provide another example of a highly nonlinear problem in which HAM is the only known analytical method that yields convergent solutions for all values of the relevant parameters.     

Approximate limit cycles of coupled nonlinear oscillators with fractional derivatives

In this paper, the homotopy analysis method (HAM) is presented to establish the accurate approximate analytical solutions for multi-degree-of-freedom (MDOF) coupled nonlinear oscillators with fractional derivatives. Approximate limit cycles (LCs) of two systems of the coupled fractional van der Pol (VDP) oscillators and the fractional damped Duffing resonator driven by a fractional VDP oscillator are exampled for illustrating the validity and great potential of the HAM. The presented approach can provide approximate LCs very accurately and efficiently compared with some direct simulation results. This method can keep high accuracy and efficiency for both weakly and strongly nonlinear problems with any given fractional order. Furthermore, it is capable of tracking unstable LCs which cannot be generated by some time-marching numerical algorithm. Based on the obtained results, we analyze effect of different fractional orders, coupling coefficient, and nonlinear coefficient of the coupled equations on amplitudes and frequencies of the LCs.     

电池系统建模中Butler-Volmer方程的同伦分析求解

Butler-Volmer方程是电化学系统中描述电极动力学过程的本构方程,具有强非线性．为了对这一方程(耦合两个Ohm方程)进行解析求解,在同伦分析方法的框架下,发展了满足简单条件的广义非线性算子的算法,以取代原同伦分析中的非线性算子．该广义非线性算子的构造保证了高阶形变方程的线性特征．这一方法的有效性通过一些算例得到了验证．最后通过同伦分析方法对Butler-Volmer方程进行了求解,结果显示过电位和电流密度的级数解析解与数值解吻合很好,并有很好的收敛效率．     

Solution of the laminar viscous flow in a semi-porous channel in the presence of a uniform magnetic field by using the homotopy analysis method

In this paper, the problem of laminar viscous flow in a semi-porous channel in the presence of a transverse magnetic field is presented and the homotopy analysis method (HAM) is employed to compute an approximation to the solution of the system of nonlinear differential equations governing the problem. It has been attempted to show the capabilities and wide-range applications of the homotopy analysis method in comparison with the numerical method in solving this problem. The obtained solutions, in comparison with the numeric solutions admit a remarkable accuracy. A clear conclusion can be drawn from the numerical method’s (NM) results that the HAM provides highly accurate solutions for nonlinear differential equations.     

Comparison between the homotopy analysis method and homotopy perturbation method to solve coupled Schrodinger-KdV equation

In this paper, we apply the homotopy analysis method (HAM) and the homotopy perturbation method (HPM) to obtain approximate analytical solutions of the coupled Schrodinger-KdV equation. The results show that HAM is a very efficient method and that HPM is a special case of HAM.     

Application of homotopy analysis method for natural convection of Darcian fluid about a vertical full cone embedded in pours media prescribed surface heat flux

In this paper, a powerful analytical method, called homotopy analysis method (HAM) is used to obtain the analytical solution for a nonlinear ordinary deferential equation that often appear in boundary layers problems arising in heat and mass transfer which these kinds of the equations contain infinity boundary condition. The boundary layer approximations of fluid flow and heat transfer of vertical full cone embedded in porous media give us the similarity solution for full cone subjected to surface heat flux boundary conditions. Nonlinear ODE which is obtained by similarity solution has been solved through homotopy analysis method (HAM). The main objective is to propose alternative methods of solution, which do not require small parameters and avoid linearization and physically unrealistic assumptions. The obtained analytical solution in comparison with the numerical ones represents a remarkable accuracy. The results also indicate that HAM can provide us with a convenient way to control and adjust the convergence region.     

The comparison of two reliable methods for accurate solution of time‐fractional Kaup–Kupershmidt equation arising in capillary gravity waves

In this paper, we compared two different methods, one numerical technique, viz Legendre multiwavelet method, and the other analytical technique, viz optimal homotopy asymptotic method (OHAM), for solving fractional‐order Kaup–Kupershmidt (KK) equation. Two‐dimensional Legendre multiwavelet expansion together with operational matrices of fractional integration and derivative of wavelet functions is used to compute the numerical solution of nonlinear time‐fractional KK equation. The approximate solutions of time fractional Kaup–Kupershmidt equation thus obtained by Legendre multiwavelet method are compared with the exact solutions as well as with OHAM. The present numerical scheme is quite simple, effective, and expedient for obtaining numerical solution of fractional KK equation in comparison to analytical approach of OHAM. Copyright © 2016 John Wiley & Sons, Ltd.     

The homotopy analysis method for explicit analytical solutions of Jaulent–Miodek equations

In this work, the homotopy analysis method (HAM) is applied to obtain the explicit analytical solutions for system of the Jaulent–Miodek equations. The validity of the method is verified by comparing the approximation series solutions with the exact solutions. Unlike perturbation methods, the HAM does not depend on any small physical parameters at all. Thus, it is valid for both weakly and strongly nonlinear problems. Besides, different from all other analytic techniques, the HAM provides us a simple way to adjust and control the convergence region of the series solution by means of an auxiliary parameter ?. Briefly speaking, this work verifies the validity and the potential of the HAM for the study of nonlinear systems. © 2008 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2009     

Singularly perturbed homotopy analysis method

In this paper we combined the homotopy analysis method (HAM) and the method of integral manifold (MIM) to investigate the problem of thermal explosion in two-phases polydisperse combustible mixtures of gas with fuel droplets. The size distribution of the fuel droplets is assumed to be continuous in the form of an exponential distribution and is found from the solution of the kinetic equation for the probability density function. The system of the polydisperse fuel spray takes into account the effects of the thermal radiation and convection. By applying the HAM and the MIM, we derived an analytical solution of the system and we compared our results with the numerical solutions.     

Elzaki Transform Based Accelerated Homotopy Perturbation Method for Multi-dimensional Smoluchowski"s Coagulation and Coupled Coagulation-fragmentation Equations

This article aims to establish a semi-analytical approach based on the homotopy perturbation method (HPM) to find the closed form or approximated solutions for the population balance equations such as Smoluchowski"s coagulation, fragmentation, coupled coagulation-fragmentation and bivariate coagulation equations. An accelerated form of the HPM is combined with the Elzaki transformation to improve the accuracy and efficiency of the method. One of the significant advantages of the technique lies over the classic numerical methods as it allows solving the linear and non-linear differential equations without discretization. Further, it has benefits over the existing semi-analytical techniques such as Adomian decomposition method (ADM), optimized decomposition method (ODM), and homotopy analysis method (HAM) in the sense that computation of Adomian polynomials and convergence parameters are not required. The novelty of the scheme is shown by comparing the numerical findings with the existing results obtained via ADM, HPM, HAM and ODM for non-linear coagulation equation. This motivates us to extend the scheme for solving the other models mentioned above. The supremacy of the proposed scheme is demonstrated by taking several numerical examples for each problem. The error between exact and series solutions provided in graphs and tables show the accuracy and applicability of the method. In addition to this, convergence of the series solution is also the key attraction of the work.     

On the choice of auxiliary linear operator in the optimal homotopy analysis of the Cahn-Hilliard initial value problem

Analytical solutions for the Cahn-Hilliard initial value problem are obtained through an application of the homotopy analysis method. While there exist numerical results in the literature for the Cahn-Hilliard equation, a nonlinear partial differential equation, the present results are completely analytical. In order to obtain accurate approximate analytical solutions, we consider multiple auxiliary linear operators, in order to find the best operator which permits accuracy after relatively few terms are calculated. We also select the convergence control parameter optimally, through the construction of an optimal control problem for the minimization of the accumulated L ²-norm of the residual errors. In this way, we obtain optimal homotopy analysis solutions for this complicated nonlinear initial value problem. A variety of initial conditions are selected, in order to fully demonstrate the range of solutions possible.     

Explicit series solutions of some linear and nonlinear Schrodinger equations via the homotopy analysis method

In this paper, by means of the homotopy analysis method (HAM), the solutions of some Schrodinger equations are exactly obtained in the form of convergent Taylor series. The HAM contains the auxiliary parameter ?, that provides a convenient way of controlling the convergent region of series solutions. This analytical method is employed to solve linear and nonlinear examples to obtain the exact solutions. HAM is a powerful and easy-to-use analytic tool for nonlinear problems.     

A new spectral-homotopy analysis method for solving a nonlinear second order BVP

A modification of the homotopy analysis method (HAM) for solving nonlinear second-order boundary value problems (BVPs) is proposed. The implementation of the new approach is demonstrated by solving the Darcy–Brinkman–Forchheimer equation for steady fully developed fluid flow in a horizontal channel filled with a porous medium. The model equation is solved concurrently using the standard HAM approach and numerically using a shooting method based on the fourth order Runge–Kutta scheme. The results demonstrate that the new spectral homotopy analysis method is more efficient and converges faster than the standard homotopy analysis method.     

Analytical approximations for a population growth model with fractional order

In this paper, we apply the homotopy analysis method (HAM) to solve the fractional Volterra’s model for population growth of a species in a closed system. This technique is extended to give solutions for nonlinear fractional integro–differential equations. The whole HAM solution procedure for nonlinear fractional differential equations is established. Further, the accurate analytical approximations are obtained for the first time, which are valid and convergent for all time t. This indicates the validity and great potential of the homotopy analysis method for solving nonlinear fractional integro–differential equations.     

The scaled boundary FEM for nonlinear problems

The traditional scaled boundary finite-element method (SBFEM) is a rather efficient semi-analytical technique widely applied in engineering, which is however valid mostly for linear differential equations. In this paper, the traditional SBFEM is combined with the homotopy analysis method (HAM), an analytic technique for strongly nonlinear problems: a nonlinear equation is first transformed into a series of linear equations by means of the HAM, and then solved by the traditional SBFEM. In this way, the traditional SBFEM is extended to nonlinear differential equations. A nonlinear heat transfer problem is used as an example to show the validity and computational efficiency of this new SBFEM.     

An approximation of the analytic solution of some nonlinear heat transfer in fin and 3D diffusion equations using HAM

In this article, the approximate solution of nonlinear heat diffusion and heat transfer equation are developed via homotopy analysis method (HAM). This method is a strong and easy‐to‐use analytic tool for investigating nonlinear problems, which does not need small parameters. HAM contains the auxiliary parameter ?, which provides us with a simple way to adjust and control the convergence region of solution series. By suitable choice of the auxiliary parameter ?, we can obtain reasonable solutions for large modulus. In this study, we compare HAM results, with those of homotopy perturbation method and the exact solutions. The first differential equation to be solved is a straight fin with a temperature‐dependent thermal conductivity and the second one is the two‐ and three‐dimensional unsteady diffusion problems. © 2009 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2010     

Analytical solution for large deflections of a cantilever beam under nonconservative load based on homotopy analysis method

In this article, large deflection and rotation of a nonlinear beam subjected to a coplanar follower static loading is studied. It is assumed that the angle of inclination of the force with respect to the deformed axis of the beam remains unchanged during deformation. The governing equation of this problem is solved analytically for the first time using a new kind of analytic technique for nonlinear problems, namely, the homotopy analysis method (HAM). The present solution can be used in wide range of load and length for beams under large deformations. The results obtained from HAM are compared with those results obtained by fourth order Range Kutta method. Finally, the load‐displacement characteristics of a uniform cantilever under a follower force normal to the deformed beam axis are presented. © 2009 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 27:541–553, 2011