Relative distance between two scalar fields. Application to mathematical modelling approximation

Inspired in the relative error between two quantities, we define a functional Δ_D that operates on two non‐negative scalar fields, which are integrable in a given open connected set D. We prove that Δ_D defines a metric, but not an ultrametric nor a translation invariant metric. We show how to apply Δ_D to evaluate the performance of analytical approximations of PDEs. The principal advantage of using Δ_D instead of other distances given in the literature is that the value given by Δ_D has a very easy interpretation: a value close to 0 means relatively near, but a value close to 1 means relatively infinitely far. Copyright © 2013 John Wiley & Sons, Ltd.     

Selections of shape functions for dimensional reduction to Helmholtz's equation

The boundary value problem of Helmholtz's equation on a n + 1 dimensional thin slab is approximated by appropriate systems of the n‐dimensional boundary value problem. The very detailed estimates for modeling error in the H¹‐norm demonstrate convergence when the thickness of the slab approaches 0 as well as when the size of the systems approaches infinity. Shape functions through the thickness are first selected by finitely many eigenfunctions, and the tail is then selected to consist of polynomials. The presence of two types of functions gives rise to a certain choice in the selection of a particular set of shape functions. Numerical results provide a good illustration of the effect of different choices for specific problems. © 1999 John Wiley & Sons, Inc. Numer Methods Partial Differential Eq 15: 169–190, 1999     

Lyapunov type inequalities for a fractional two‐point boundary value problem

In this paper, new Lyapunov‐type inequalities are obtained for the case when one is dealing with a class of fractional two‐point boundary value problems. As an application of this result, we obtain a lower bound for the eigenvalues of corresponding equations. Copyright © 2016 John Wiley & Sons, Ltd.     

Bayesian tail‐risk forecasting using realized GARCH

A realized generalized autoregressive conditional heteroskedastic (GARCH) model is developed within a Bayesian framework for the purpose of forecasting value at risk and conditional value at risk. Student‐t and skewed‐t return distributions are combined with Gaussian and student‐t distributions in the measurement equation to forecast tail risk in eight international equity index markets over a 4‐year period. Three realized measures are considered within this framework. A Bayesian estimator is developed that compares favourably, in simulations, with maximum likelihood, both in estimation and forecasting. The realized GARCH models show a marked improvement compared with ordinary GARCH for both value‐at‐risk and conditional value‐at‐risk forecasting. This improvement is consistent across a variety of data and choice of distributions. Realized GARCH models incorporating a skewed student‐t distribution for returns are favoured overall, with the choice of measurement equation error distribution and realized measure being of lesser importance. Copyright © 2017 John Wiley & Sons, Ltd.     

Behavior in Repeated Prisoner's Dilemma Games with Shifted Outcomes Analyzed with a Statistical Learning Model

A fuzzy set theoretical framework is proposed for the analysis of sociometric structure characterized by vagueness of liking between individuals and a person's relative degree of belonging to a social group. Max‐min transitivity of a fuzzy relation is employed as a basic concept to examine the degree of liking and clustering in group structures. A distance model based on min‐max transitivity is also formulated as a special case of transitivity analysis. Other notions of transitivity such as the max‐product and the max‐* are also discussed. An empirical analysis is performed to examine the applicability of the proposed transitivity concepts. It appears that the current methodological construct provides a more appropriate perspective in the analysis of the group structure properties.     

Local limit theorems for occupancy models

We present a rather general method for proving local limit theorems, with a good rate of convergence, for sums of dependent random variables. The method is applicable when a Stein coupling can be exhibited. Our approach involves both Stein's method for distributional approximation and Stein's method for concentration. As applications, we prove local central limit theorems with rate of convergence for the number of germs with d neighbors in a germ‐grain model, and the number of degree‐d vertices in an Erd?s‐Rényi random graph. In both cases, the error rate is optimal, up to logarithmic factors.     

An integral formulation procedure for the solutions to Helmholtz's equation in spherically symmetric media

Starting from Helmholtz's equation in inhomogeneous media, the associated radial second‐order equation is investigated through a Volterra integral equation. First the integral equation is considered in a sphere. Boundedness, uniqueness and existence of the (regular) solution are established and the series form of the solution is provided. An estimate is determined for the error arising when the series is truncated. Next the analogous problem is considered for a spherical layer. Again, boundedness, uniqueness and existence of two base solutions are established and error estimates are determined. The procedure proves more effective in the sphere. Copyright © 2009 John Wiley & Sons, Ltd.     

An overfilled cavity problem for Maxwell's equations

This paper is concerned with the mathematical analysis of the scattering of a time‐harmonic electromagnetic plane wave by an open and overfilled cavity that is embedded in a perfect electrically conducting infinite ground plane, where the electromagnetic wave propagation is governed by the Maxwell equations. Above the flat ground surface and the open aperture of the cavity, the space is assumed to be filled with a homogeneous medium with a constant permittivity and permeability, whereas the interior of the cavity is filled with some inhomogeneous medium with a variable permittivity and permeability. The scattering problem is modeled as a boundary value problem over a bounded domain, with transparent boundary condition proposed on the hemisphere enclosing the inhomogeneity represented by the cavity. The existence and uniqueness of the weak solution for the model problem are established by using a variational approach. The perfectly matched layer (PML) method is investigated to truncate the unbounded electromagnetic cavity scattering problem. It is shown that the truncated PML problem attains a unique solution. An explicit error estimate is given between the solution of the original scattering problem and that of the truncated PML problem. The error estimate implies that the PML solution converges exponentially to the original cavity scattering problem by increasing either the PML medium parameter or the PML layer thickness. The convergence result is expected to be useful for determining the PML medium parameter in the computational electromagnetic scattering problem. Copyright © 2012 John Wiley & Sons, Ltd.     

Singular solutions of the Poisson equation at edges of three‐dimensional domains and their treatment with a predictor–corrector finite element method

Solutions of boundary value problems in three‐dimensional domains with edges may exhibit singularities which are known to influence both the accuracy of the finite element solutions and the rate of convergence in the error estimates. This paper considers boundary value problems for the Poisson equation on typical domains Ω ? ?³ with edge singularities and presents, on the one hand, explicit computational formulas for the flux intensity functions. On the other hand, it proposes and analyzes a nonconforming finite element method on regular meshes for the efficient treatment of the singularities. The novelty of the present method is the use of the explicit formulas for the flux intensity functions in defining a postprocessing procedure in the finite element approximation of the solution. A priori error estimates in H¹(Ω) show that the present algorithm exhibits the same rate of convergence as it is known for problems with regular solutions.     

Potential fields induced by point sources in assemblies of shells weakened with apertures

Well‐posed boundary‐value problems in multiply‐connected regions are targeted for some sets of two‐dimensional Laplace equations written in geographical coordinates on joint surfaces of revolution. Those are problems that simulate potential fields induced by point sources in joint perforated thin shell structures consist of fragments of different geometry. A semi‐analytical approach is proposed to accurately compute solutions of such problems. The approach is based on the matrix of Green's type formalism. The elements of required matrices of Green's type are obtained analytically and expressed in closed computer‐friendly form. This makes it possible to efficiently deal with the targeted class of problems. Copyright © 2014 John Wiley & Sons, Ltd.     

Multifactor Heston's stochastic volatility model for European option pricing

In this study, we extend the multiscale stochastic volatility model of [Fouque J‐P, Lorig MJ, SIAM J Financial Math. 2011;2(1):221‐254] by incorporating a slow varying factor of volatility. The resulting model can be viewed as a multifactor extension of the Heston model with two additional factors driving the volatility levels. An asymptotic analysis consisting of singular and regular perturbation expansions is developed to obtain an approximation to European option prices. We also find explicit expressions for some essential functions that are available only in integral formulas in the work of [Fouque J‐P, Lorig MJ, SIAM J Financial Math. 2011;2(1):221‐254]. This finding basically leads to considerable reduction in computational time for numerical calculation as well as calibration problems. An accuracy result of the asymptotic approximation is also provided. For numerical illustration, the multifactor Heston model is calibrated to index options on the market, and we find that the resulting implied volatility surfaces fit the market data better than those produced by the multiscale stochastic volatility model of [Fouque J‐P, Lorig MJ, SIAM J Financial Math. 2011;2(1):221‐254], particularly for long‐maturity call options.     

Block transitive Steiner systems with more than one point orbit

For all ‘reasonable’ finite t, k, and s, we construct a t‐(?₀, k, 1) design and a group of automorphisms which is transitive on blocks and has s orbits on points. In particular, there is a 2‐(?0, 4, 1) design with a block‐transitive group of automorphisms having two point orbits. This answers a question of P. J. Cameron and C. E. Praeger. The construction is presented in a purely combinatorial way, but is a by‐product of a new way of looking at a model‐theoretic construction of E. Hrushovski. © 2004 Wiley Periodicals, Inc.     

Convergence of the mixed finite element method for Maxwell's equations with nonlinear conductivity

In this paper, we study a numerical scheme to solve coupled Maxwell's equations with a nonlinear conductivity. This model plays an important role in the study of type‐II superconductors. The approximation scheme is based on backward Euler discretization in time and mixed conforming finite elements in space. We will prove convergence of this scheme to the unique weak solution of the problem and develop the corresponding error estimates. As a next step, we study the stability of the scheme in the quasi‐static limit ? → 0 and present the corresponding convergence rate. Finally, we support the theory by several numerical experiments. Copyright © 2012 John Wiley & Sons, Ltd.     

On the solution of Maxwell's equations in polygonal domains

This paper is concerned with the structure of the singular and regular parts of the solution of time‐harmonic Maxwell's equations in polygonal plane domains and their effective numerical treatment. The asymptotic behaviour of the solution near corner points of the domain is studied by means of discrete Fourier transformation and it is proved that the solution of the boundary value problem does not belong locally to H² when the boundary of the domain has non‐acute angles. A splitting of the solution into a regular part belonging to the space H², and an explicitly described singular part is presented. For the numerical treatment of the boundary value problem, we propose a finite element discretization which combines local mesh grading and the singular field methods and derive a priori error estimates that show optimal convergence as known for the classical finite element method for problems with regular solutions. Copyright © 2006 John Wiley & Sons, Ltd.     

On prices' evolutions based on geometric telegrapher's process

The geometric telegrapher's process is proposed as a model to describe the dynamics of the price of risky assets. When the underlying random inter‐times have Erlang distribution we express the probability law of such process in terms of a suitable two‐index pseudo‐Bessel function. Stochastic comparisons of two geometric telegrapher's processes based on the usual stochastic order (FSD comparison) and on the stop‐loss order are also performed. Various examples of application of such comparisons are then provided. Copyright © 2002 John Wiley & Sons, Ltd.     

Error estimate and regularity for the compressible Navier‐Stokes equations by Newton's method

The finite element discretization error estimate and H¹ regularity are shown for the solution generated by Newton's method to the stationary compressible Navier‐Stokes equations by interpreting Newton's method as an equivalent iterative method. © 2003 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 19: 511–524, 2003     

An efficient analytic approach for solving two‐point nonlinear boundary value problems by homotopy analysis method

In this paper, we use homotopy analysis method (HAM) to solve two‐point nonlinear boundary value problems that have at least one solution. The new approach provides the solution in the form of a rapidly convergent series with easily computable components using symbolic computation software. The scheme shows importance of choice of convergence‐control parameter ? to guarantee the convergence of the solutions of nonlinear differential equations. This scheme is tested on three nonlinear exactly solvable differential equations. Two of the examples are practical in science and engineering. The results demonstrate reliability, simplicity and efficiency of the algorithm developed. Copyright © 2011 John Wiley & Sons, Ltd.     

Oscillation analysis of θ‐methods for the Nicholson's blowflies model

This paper is concerned with the oscillation of numerical solution for the Nicholson's blowflies model. Using two kinds of θ‐methods, namely, the linear θ‐method and the one‐leg θ‐method, several conditions under which the numerical solution oscillates are derived. Moreover, it is shown that every non‐oscillatory numerical solution tends to equilibrium point of the original continuous‐time model. Finally, numerical experiments are provided to illustrate the analytical results. Copyright © 2015 John Wiley & Sons, Ltd.     

A second‐order finite difference scheme for solving the dual‐phase‐lagging equation in a double‐layered nanoscale thin film

This article considers the dual‐phase‐lagging (DPL) heat conduction equation in a double‐layered nanoscale thin film with the temperature‐jump boundary condition (i.e., Robin's boundary condition) and proposes a new thermal lagging effect interfacial condition between layers. A second‐order accurate finite difference scheme for solving the heat conduction problem is then presented. In particular, at all inner grid points the scheme has the second‐order temporal and spatial truncation errors, while at the boundary points and at the interfacial point the scheme has the second‐order temporal truncation error and the first‐order spatial truncation error. The obtained scheme is proved to be unconditionally stable and convergent, where the convergence order in ‐norm is two in both space and time. A numerical example which has an exact solution is given to verify the accuracy of the scheme. The obtained scheme is finally applied to the thermal analysis for a gold layer on a chromium padding layer at nanoscale, which is irradiated by an ultrashort‐pulsed laser. © 2016 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 33: 142–173, 2017     

On spatial contagion and multivariate GARCH models

We propose a method for defining and measuring spatial contagion between two financial markets via conditional copulas. Some theoretical results on monotonicity and asymptotic properties of Gaussian copulas with respect to conditioning are presented. Next, we combine the spatial contagion approach with time series models. We investigate which model from a large family of multivariate GARCH is the best tool for modelling spatial contagion. In an empirical study, we show that among models designed for general fit, a two‐step model fitting procedure reduces the ability to describe the contagion effect. This is a feature of copula‐GARCH models. Copyright © 2013 John Wiley & Sons, Ltd.