Numerical solution of an optimal investment problem with proportional transaction costs

This paper mainly concerns the numerical solution of a nonlinear parabolic double obstacle problem arising in a finite-horizon optimal investment problem with proportional transaction costs. The problem is initially posed in terms of an evolutive HJB equation with gradient constraints and the properties of the utility function allow to obtain the optimal investment solution from a nonlinear problem posed in one spatial variable. The proposed numerical methods mainly consist of a localization procedure to pose the problem on a bounded domain, a characteristics method for time discretization to deal with the large gradients of the solution, a Newton algorithm to solve the nonlinear term in the governing equation and a projected relaxation scheme to cope with the double obstacle (free boundary) feature. Moreover, piecewise linear Lagrange finite elements for spatial discretization are considered. Numerical results illustrate the performance of the set of numerical techniques by recovering all qualitative properties proved in Dai and Yi (2009) [6].     

奇异摄动初值问题的一致收敛有限差分法

通过一阶和二阶导数讨论了带小参数的线性二阶常微分方程的初值问题.在均匀网格上得出了带常数拟合因子的指数型拟合差分格式,给出了离散最大模意义上的一阶一致收敛性.文中给出了数值结果.     

The Crank‐Nicolson/Adams‐Bashforth scheme for the time‐dependent Navier‐Stokes equations with nonsmooth initial data

In this article, we study the stability and convergence of the Crank‐Nicolson/Adams‐Bashforth scheme for the two‐dimensional nonstationary Navier‐Stokes equations with a nonsmooth initial data. A finite element method is applied for the spatial approximation of the velocity and pressure. The time discretization is based on the implicit Crank‐Nicolson scheme for the linear terms and the explicit Adams‐Bashforth scheme for the nonlinear term. Moreover, we prove that the scheme is almost unconditionally stable for a nonsmooth initial data u₀ with div u₀ = 0, i.e., the time step τ satisfies: τ ≤ C₀ if u₀ ∈ H¹ ∩ L^∞; τ |log h| ≤ C₀ if u₀ ∈ H¹ for the mesh size h and some positive constant C₀. Finally, we obtain some error estimates for the discrete velocity and pressure under the above stability condition. © 2010 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 28: 155‐187, 2012     

Fourth‐order compact scheme with local mesh refinement for option pricing in jump‐diffusion model

The value of a contingent claim under a jump‐diffusion process satisfies a partial integro‐differential equation. A fourth‐order compact finite difference scheme is applied to discretize the spatial variable of this equation. It is discretized in time by an implicit‐explicit method. Meanwhile, a local mesh refinement strategy is used for handling the nonsmooth payoff condition. Moreover, the numerical quadrature method is exploited to evaluate the jump integral term. It guarantees a Toeplitz‐like structure of the integral operator such that a fast algorithm is feasible. Numerical results show that this approach gives fourth‐order accuracy in space. © 2011 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2011     

Intriguing sets in partial quadrangles

The point‐line geometry known as a partial quadrangle (introduced by Cameron in 1975) has the property that for every point/line non‐incident pair (P, ?), there is at most one line through P concurrent with ?. So in particular, the well‐studied objects known as generalized quadrangles are each partial quadrangles. An intriguing set of a generalized quadrangle is a set of points which induces an equitable partition of size two of the underlying strongly regular graph. We extend the theory of intriguing sets of generalized quadrangles by Bamberg, Law and Penttila to partial quadrangles, which gives insight into the structure of hemisystems and other intriguing sets of generalized quadrangles. © 2010 Wiley Periodicals, Inc. J Combin Designs 19:217‐245, 2011     

Numerical solution of random differential initial value problems: Multistep methods

This paper deals with the construction of numerical methods of random initial value problems. Random linear multistep methods are presented and sufficient conditions for their mean square convergence are established. Main statistical properties of the approximations processes are computed in several illustrative examples. Copyright © 2010 John Wiley & Sons, Ltd.     

An evaluation of three upwinding approximations for numerical modeling the flow in tubular membrane of Newtonian and non-Newtonian fluids

In this paper, the laminar fluid flow of Newtonian and non-Newtonian of aqueous solutions in a tubular membrane is numerically studied. The mathematical formulation, with associated initial and boundary conditions for cylindrical coordinates, comprises the mass conservation, momentum conservation and mass transfer equations. These equations are discretized by using the finite-difference technique on a staggered grid system. Comparisons of the three upwinding schemes for discretization of the non-linear (convective) terms are presented. The effects of several physical parameters on the concentration profile are investigated. The numerical results compare favorably with experimental data and the analytical solutions.     

Interaction of solitary waves for the generalized KdV equation

We consider a class of generalized KdV equations with a small parameter and nonlinearities of the type u^m. We create a finite differences scheme to simulate the solution of the Cauchy problem and present some numerical results for the problem of the solitary waves interaction. In particular, we consider sufficient condition under which pairs of solitary waves interact, in the asymptotic sense, in accordance with the soliton scenario.     

双短脉冲驱动类镍钐X光激光的模拟

 介绍了模拟产生类镍离子电子碰撞激发X光激光全过程的系列程序。利用它模拟了英国RAL实验室的双短脉冲驱动类镍钐X光激光实验。与实验结果进行了比较。还研究了不同弯曲度的靶及驱动激光功率密度不均匀性对输出激光强度的影响。对驱动激光的脉宽、主脉冲的功率密度以及主脉冲的延迟时间等进行了优化设计。     

Association Schemes and Fusion Algebras (An Introduction)

We introduce the concept of fusion algebras at algebraic level, as a purely algebraic concept for the fusion algebras which appear in conformal field theory in mathematical physics. We first discuss the connection between fusion algebras at algebraic level and character algebras, a purely algebraic concept for Bose-Mesner algebras of association schemes. Through this correspondence, we establish the condition when the matrix S of a fusion algebra at algebraic level is unitary or symmetric. We construct integral fusion algebras at algebraic level, from association schemes, in particular from group association schemes, whose matrix S is unitary and symmetric. Finally, we consider whether the modular invariance property is satisfied or not, namely whether there exists a diagonal matrix T satisfying the condition (ST)³ = S ². We prove that this property does not hold for some integral fusion algebras at algebraic level coming from the group association scheme of certain groups of order 64, and we also prove that the (nonintegral) fusion algebra at algebraic level obtained from the Hamming association scheme H(d, q) has the modular invariance property.