One‐way analysis of variance with long memory errors and its application to stock return data

Recent empirical results indicate that many financial time series, including stock volatilities, often have long‐range dependencies. Comparing volatilities in stock returns is a crucial part of the risk management of stock investing. This paper proposes two test statistics for testing the equality of mean volatilities of stock returns using the analysis of variance (ANOVA) model with long memory errors. They are modified versions of the ordinary F statistic used in the ANOVA models with independently and identically distributed errors. One has a form of the ordinary F statistic multiplied by a correction factor, which reflects slowly decaying autocorrelations, that is, long‐range dependence. The other is a test statistic such that the degrees of freedom of the denominator in the ordinary F test statistic is calibrated by the so‐called effective sample size. Empirical sizes and powers of the proposed test statistics are examined via Monte Carlo simulation. An application to German stock returns is presented. Copyright © 2007 John Wiley & Sons, Ltd.     

Groups and C*‐Algebras from a 4‐Dimensional Anzai Flow

The rotation flow on the circle T gives a concrete representation of the irrational rotation algebra, which is an in finite dimensional simple quotient of the group C*‐algebra of the discrete Heisenberg group H₃ analogously certain 2‐ and 3‐dimensional Anzai flows on T ² and T ³are known to give concrete representations of the corresponding quotients of the group C*‐algebras of the groups H₄ and H_5,5. Considered here is the (minimal, effective) 4‐dimensional Anzai flow F = (ℤ, T ⁴) generated by the homeomorphism (y, x, w, v) ↦ (λy, yx, xw, wv); a group H_6,10 is determined by F the faithful in finite dimensional simple quotients of whose group C*‐algebra C*‐(H_6,10 have concrete representations given by F. Furthermore, the rest of the infinite dimensional simple quotients of C*‐(H_6,10 are identified and displayed as C*‐crossed products generated by minimal effective actions and also as matrix algebras over simple C*‐algebras from groups of lower dimension; these lower dimensional groups are H₃ and subgroups of H₄ and H_5,5.     

A compact local one‐dimensional scheme for solving a 3D N‐carrier system with Neumann boundary conditions

We consider a mathematical model for thermal analysis in a 3D N‐carrier system with Neumann boundary conditions, which extends the concept of the well‐known parabolic two‐step model for micro heat transfer. To solve numerically the complex system, we first reduce 3D equations in the model to a succession of 1D equations by using the local one‐dimensional (LOD) method. The obtained 1D equations are then solved using a fourth‐order compact finite difference scheme for the interior points and a second‐order combined compact finite difference scheme for the points next to the boundary, so that the Neumann boundary condition can be applied directly without discretizing. By using matrix analysis, the compact LOD scheme is shown to be unconditionally stable. The accuracy of the solution is tested using two numerical examples. Results show that the solutions obtained by the compact LOD finite difference scheme are more accurate than those obtained by a Crank‐Nicholson LOD scheme, and the convergence rate with respect to spatial variables is about 2.6. © 2009 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2010     

SWAMP: A two‐dimensional hydrodynamic and quality modeling platform for shallow waters

Water quality two‐dimensional models are often partitioned into separate modules with separate hydraulic and biological units. In most cases this approach results in poor flexibility whenever the biological dynamics has to be adapted to a specific situation. Conversely, an integrated approach is pursued in this article, producing a two‐dimensional hydraulic‐water quality model, named Shallow Water Analysis and Modeling Program (SWAMP) designed for shallow water bodies. The major objective of the work is to create a comprehensive two‐dimensional water quality assessment tool, based on an open framework and combining easy programming of additional procedures with a user‐friendly interface. The model is based on the numerical solution of the partial differential equations describing advection‐diffusion and biological processes on a two‐dimensional rectangular finite elements mesh. The hydraulics and advection‐diffusion modules model were validated both with experimental tracer data collected at a constructed wetland site and a comparison with a commercial hydrodynamic software, showing good agreement in both cases. Moreover, the model was tested in critical conditions for mass conservation, such as time‐varying wet boundary, showing a considerable numerical robustness. In the last part of the article water quality simulations are presented, though validation data are not yet available. Nevertheless, the observed model response demonstrates general consistency with expected results and the advantages of integrating the hydraulic and quality modules. The interactive graphical user interface (GUI) is also shown to represent a simple and effective connective tool to the integrated package. © 2002 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 18: 663–687, 2002; DOI 10.1002/num.10014     

Antidiffusive Lagrangian‐remap schemes for models of polydisperse sedimentation

One‐dimensional models of gravity‐driven sedimentation of polydisperse suspensions with particles that belong to N size classes give rise to systems of N strongly coupled, nonlinear first‐order conservation laws for the local solids volume fractions. As the eigenvalues and eigenvectors of the flux Jacobian have no closed algebraic form, characteristic‐wise numerical schemes for these models become involved. Alternative simple schemes for this model directly utilize the velocity functions and are based on splitting the system of conservation laws into two different first‐order quasi‐linear systems, which are solved successively for each time iteration, namely, the Lagrangian and remap steps (so‐called Lagrangian‐remap [LR] schemes). This approach was advanced in (Bürger, Chalons, and Villada, SIAM J Sci Comput 35 (2013), B1341–B1368) for a multiclass Lighthill–Whitham‐Richards traffic model with nonnegative velocities. By incorporating recent antidiffusive techniques for transport equations a new version of these Lagrangian‐antidiffusive remap (L‐AR) schemes for the polydisperse sedimentation model is constructed. These L‐AR schemes are supported by a partial analysis for N = 1. They are total variation diminishing under a suitable CFL condition and therefore converge to a weak solution. Numerical examples illustrate that these schemes, including a more accurate version based on MUSCL extrapolation, are competitive in accuracy and efficiency with several existing schemes. © 2015 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 32: 1109–1136, 2016     

Phase II monitoring of changes in mean from high‐dimensional data

The generalized T² chart (GT‐chart), which is composed of the T² statistic based on a small number of principal components and the remaining components, is a popular alternative to the traditional Hotelling's T² control chart. However, the application of the GT‐chart to high‐dimensional data, which are now ubiquitous, encounters difficulties from high dimensionality similar to other multivariate procedures. The sample principal components and their eigenvalues do not consistently estimate the population values, and the GT‐chart relying on them is also inconsistent in estimating the control limits. In this paper, we investigate the effects of high dimensionality on the GT‐chart and then propose a corrected GT‐chart using the recent results of random matrix theory for the spiked covariance model. We numerically show that the corrected GT‐chart exhibits superior performance compared to the existing methods, including the GT‐chart and Hotelling's T² control chart, under various high‐dimensional cases. Finally, we apply the proposed corrected GT‐chart to monitor chemical processes introduced in the literature.     

Single‐cell compact finite‐difference discretization of order two and four for multidimensional triharmonic problems

In this article, we discuss finite‐difference methods of order two and four for the solution of two‐and three‐dimensional triharmonic equations, where the values of u,(?²u/?n²) and (?⁴u/?n⁴) are prescribed on the boundary. For 2D case, we use 9‐ and for 3D case, we use 19‐ uniform grid points and a single computational cell. We introduce new ideas to handle the boundary conditions and do not require to discretize the boundary conditions at the boundary. The Laplacian and the biharmonic of the solution are obtained as byproduct of the methods. The resulting matrix system is solved by using the appropriate block iterative methods. Computational results are provided to demonstrate the fourth‐order accuracy of the proposed methods. © 2009 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2010     

Asymptotic and numerical solutions of three‐dimensional boundary‐layer flow past a moving wedge

We consider a laminar boundary‐layer flow of a viscous and incompressible fluid past a moving wedge in which the wedge is moving either in the direction of the mainstream flow or opposite to it. The mainstream flows outside the boundary layer are approximated by a power of the distance from the leading boundary layer. The variable pressure gradient is imposed on the boundary layer so that the system admits similarity solutions. The model is described using 3‐dimensional boundary‐layer equations that contains 2 physical parameters: pressure gradient (β) and shear‐to‐strain‐rate ratio parameter (α). Two methods are used: a linear asymptotic analysis in the neighborhood of the edge of the boundary layer and the Keller‐box numerical method for the full nonlinear system. The results show that the flow field is divided into near‐field region (mainly dominated by viscous forces) and far‐field region (mainstream flows); the velocity profiles form through an interaction between 2 regions. Also, all simulations show that the subsequent dynamics involving overshoot and undershoot of the solutions for varying parameter characterizing 3‐dimensional flows. The pressure gradient (favorable) has a tendency of decreasing the boundary‐layer thickness in which the velocity profiles are benign. The wall shear stresses increase unboundedly for increasing α when the wedge is moving in the x‐direction, while the case is different when it is moving in the y‐direction. Further, both analysis show that 3‐dimensional boundary‐layer solutions exist in the range −1<α<∞. These are some interesting results linked to an important class of boundary‐layer flows.     

Finite‐region stabilization via dynamic output feedback for 2‐D Roesser models

Finite‐region stability (FRS), a generalization of finite‐time stability, has been used to analyze the transient behavior of discrete two‐dimensional (2‐D) systems. In this paper, we consider the problem of FRS for discrete 2‐D Roesser models via dynamic output feedback. First, a sufficient condition is given to design the dynamic output feedback controller with a state feedback‐observer structure, which ensures the closed‐loop system FRS. Then, this condition is reducible to a condition that is solvable by linear matrix inequalities. Finally, viable experimental results are demonstrated by an illustrative example.     

Finite‐region stability and finite‐region boundedness for 2D Roesser models

In this paper, we establish finite‐region stability (FRS) and finite‐region boundedness analysis methods to investigate the transient behavior of discrete two‐dimensional Roesser models. First, by building special recursive formulas, a sufficient FRS condition is built via solvable linear matrix inequalities constraints. Next, by designing state feedback controllers, the finite‐region stabilization issue is analyzed for the corresponding two‐dimensional closed‐loop system. Similar to FRS analysis, the finite‐region boundedness problem is addressed for Roesser models with exogenous disturbances and corresponding criteria, and linear matrix inequalities conditions are reported. To conclude the paper, we provide numerical examples to confirm the validity of the proposed methods. Copyright © 2016 John Wiley & Sons, Ltd.     

Efficient algorithms for three‐dimensional axial and planar random assignment problems

Beautiful formulas are known for the expected cost of random two‐dimensional assignment problems, but in higher dimensions even the scaling is not known. In three dimensions and above, the problem has natural “Axial” and “Planar” versions, both of which are NP‐hard. For 3‐dimensional Axial random assignment instances of size n, the cost scales as Ω(1/ n), and a main result of the present paper is a linear‐time algorithm that, with high probability, finds a solution of cost O(n^–1+o(1)). For 3‐dimensional Planar assignment, the lower bound is Ω(n), and we give a new efficient matching‐based algorithm that with high probability returns a solution with cost O(n log n). © 2013 Wiley Periodicals, Inc. Random Struct. Alg., 46, 160–196, 2015     

Backward uniqueness of 3D MHD‐α model driven by linear multiplicative Gaussian noise

In this paper, we devote to proving the backward uniqueness property of the solution to three‐dimensional stochastic magnetohydrodynamic‐α model (3D stochastic MHD‐α model) driven by linear multiplicative Gaussian noise, which involves not only the study of multiplicative noise but also the challenging nonlinear drift terms.     

A general bilinear form to generate different wave structures of solitons for a (3+1)‐dimensional Boiti‐Leon‐Manna‐Pempinelli equation

In this paper, we investigate a (3+1)‐dimensional Boiti‐Leon‐Manna‐Pempinelli equation (3D‐BMLP). By using bilinear forms under certain conditions, we obtain different wave structures for the 3D‐BMLP. Among these waves, lump waves, breather waves, mixed waves, and multi‐soliton wave solutions are constructed. The propagation and the dynamical behavior of the obtained solutions are discussed for different values of the free parameters.     

The second‐order upwind finite difference fractional steps method for moving boundary value problem of oil‐water percolation

The research of the three‐dimensional (3D) compressible miscible (oil and water) displacement problem with moving boundary values is of great value to the history of oil‐gas transport and accumulation in basin evolution, as well as to the rational evaluation in prospecting and exploiting oil‐gas resources, and numerical simulation of seawater intrusion. The mathematical model can be described as a 3D‐coupled system of nonlinear partial differential equations with moving boundary values. For a generic case of 3D‐bounded region, a kind of second‐order upwind finite difference fractional steps schemes applicable to parallel arithmetic is put forward. Some techniques, such as the change of variables, calculus of variations, and the theory of a priori estimates, are adopted. Optimal order estimates in l² norm are derived for the errors in approximate solutions. The research is important both theoretically and practically for model analysis in the field, for model numerical method and for software development. Thus, the well‐known problem has been solved.Copyright © 2013 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 30: 1103–1129, 2014     

Relaxation‐time limit of the three‐dimensional hydrodynamic model with boundary effects

In this paper, we study three‐dimensional (3D) unipolar and bipolar hydrodynamic models and corresponding drift‐diffusion models from semiconductor devices on bounded domain. Based on the asymptotic behavior of the solutions to the initial boundary value problems with slip boundary condition, we investigate the relation between the 3D hydrodynamic semiconductor models and the corresponding drift‐diffusion models. That is, we discuss the relation‐time limit from the 3D hydrodynamic semiconductor models to the corresponding drift‐diffusion models by comparing the large‐time behavior of these two models. These results can be showed by energy arguments. Copyrightcopyright 2011 John Wiley & Sons, Ltd.     

Subgraph‐avoiding coloring of graphs

Given a “forbidden graph” F and an integer k, an F‐avoiding k‐coloring of a graph G is a k‐coloring of the vertices of G such that no maximal F‐free subgraph of G is monochromatic. The F‐avoiding chromatic number ac_F(G) is the smallest integer k such that G is F‐avoiding k‐colorable. In this paper, we will give a complete answer to the following question: for which graph F, does there exist a constant C, depending only on F, such that ac_F(G) ? C for any graph G? For those graphs F with unbounded avoiding chromatic number, upper bounds for ac_F(G) in terms of various invariants of G are also given. Particularly, we prove that ${{ac}}_{{{F}}}({{G}})\le {{2}}\lceil\sqrt{{{n}}}\rceil+{{1}}Given a “forbidden graph” F and an integer k, an F‐avoiding k‐coloring of a graph G is a k‐coloring of the vertices of G such that no maximal F‐free subgraph of G is monochromatic. The F‐avoiding chromatic number ac_F(G) is the smallest integer k such that G is F‐avoiding k‐colorable. In this paper, we will give a complete answer to the following question: for which graph F, does there exist a constant C, depending only on F, such that ac_F(G) ? C for any graph G? For those graphs F with unbounded avoiding chromatic number, upper bounds for ac_F(G) in terms of various invariants of G are also given. Particularly, we prove that ${{ac}}_{{{F}}}({{G}})\le {{2}}\lceil\sqrt{{{n}}}\rceil+{{1}}$, where n is the order of G and F is not K_k or $\overline{{{K}}_{{{k}}}}$. © 2009 Wiley Periodicals, Inc. J Graph Theory 63: 300–310, 2010     

Analytical and numerical solutions of a two‐dimensional multi‐term time‐fractional Oldroyd‐B model

In this paper, we consider a two‐dimensional multi‐term time‐fractional Oldroyd‐B equation on a rectangular domain. Its analytical solution is obtained by the method of separation of variables. We employ the finite difference method with a discretization of the Caputo time‐fractional derivative to obtain an implicit difference approximation for the equation. Stability and convergence of the approximation scheme are established in the L_∞ ‐norm. Two examples are given to illustrate the theoretical analysis and analytical solution. The results indicate that the present numerical method is effective for this general two‐dimensional multi‐term time‐fractional Oldroyd‐B model.     

An exponential high‐order compact ADI method for 3D unsteady convection–diffusion problems

In this article, we develop an exponential high order compact alternating direction implicit (EHOC ADI) method for solving three dimensional (3D) unsteady convection–diffusion equations. The method, which requires only a regular seven‐point 3D stencil similar to that in the standard second‐order methods, is second order accurate in time and fourth‐order accurate in space and unconditionally stable. The resulting EHOC ADI scheme in each alternating direction implicit (ADI) solution step corresponding to a strictly diagonally dominant matrix equation can be solved by the application of the one‐dimensional tridiagonal Thomas algorithm with a considerable saving in computing time. Numerical experiments for three test problems are carried out to demonstrate the performance of the present method and to compare it with the classical Douglas–Gunn ADI method and the Karaa's high‐order compact ADI method. © 2012 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2013     

Optimal Two‐Dimensional Optical Orthogonal Codes with the Best Cross‐Correlation Constraint

The study of optical orthogonal codes has been motivated by an application in an optical code‐division multiple access system. From a practical point of view, compared to one‐dimensional optical orthogonal codes, two‐dimensional optical orthogonal codes tend to require smaller code length. On the other hand, in some circumstances only with good cross‐correlation one can deal with both synchronization and user identification. These motivate the study of two‐dimensional optical orthogonal codes with better cross‐correlation than auto‐correlation. This paper focuses on optimal two‐dimensional optical orthogonal codes with the auto‐correlation and the best cross‐correlation 1. By examining the structures of w‐cyclic group divisible designs and semi‐cyclic incomplete holey group divisible designs, we present new combinatorial constructions for two‐dimensional ‐optical orthogonal codes. When and , the exact number of codewords of an optimal two‐dimensional ‐optical orthogonal code is determined for any positive integers n and .