Continuous weak approximation for stochastic differential equations

A convergence theorem for the continuous weak approximation of the solution of stochastic differential equations (SDEs) by general one-step methods is proved, which is an extension of a theorem due to Milstein. As an application, uniform second order conditions for a class of continuous stochastic Runge–Kutta methods containing the continuous extension of the second order stochastic Runge–Kutta scheme due to Platen are derived. Further, some coefficients for optimal continuous schemes applicable to Itô SDEs with respect to a multi–dimensional Wiener process are presented.     

Optimal multiple-objective resource allocation using hybrid particle swarm optimization and adaptive resource bounds technique

The multiple-objective resource allocation problem (MORAP) seeks for an allocation of resource to a number of activities such that a set of objectives are optimized simultaneously and the resource constraints are satisfied. MORAP has many applications, such as resource distribution, project budgeting, software testing, health care resource allocation, etc. This paper addresses the nonlinear MORAP with integer decision variable constraint. To guarantee that all the resource constraints are satisfied, we devise an adaptive-resource-bound technique to construct feasible solutions. The proposed method employs the particle swarm optimization (PSO) paradigm and presents a hybrid execution plan which embeds a hill-climbing heuristic into the PSO for expediting the convergence. To cope with the optimization problem with multiple objectives, we evaluate the candidate solutions based on dominance relationship and a score function. Experimental results manifest that the hybrid PSO derives solution sets which are very close to the exact Pareto sets. The proposed method also outperforms several representatives of the state-of-the-art algorithms on a simulation data set of the MORAP.     

An explicit solution of the large deformation of a cantilever beam under point load at the free tip

The large deformation of a cantilever beam under point load at the free tip is investigated by an analytic method, namely the homotopy analysis method (HAM). The explicit analytic formulas for the rotation angle at the free tip are given, which provide a convenient and straightforward approach to calculate the vertical and horizontal displacements of a cantilever beam with large deformation. These explicit formulas are valid for most practical problems, thus providing a useful reference for engineering applications. The corresponding Mathematica code is given in the Appendix.     

Euler equations for Blake and Zisserman functional

We derive many necessary conditions for minimizers of a functional depending on free discontinuities, free gradient discontinuities and second derivatives, which is related to image segmentation.     

The Klein correspondence of line congruences immersed in an elliptic spaceS 3 onto the hyperquadricP 4

This article is devoted to the investigation and the construction of the Klein correspondence of line congruences referred to a specialized moving frame in a 3-dimensional elliptic spaceS ₃ to the hyperquadricP ⁴ of the Klein 5-dimensional elliptic spaceS ₅. The Klein correspondence is given and characterized by Theorems 1, 2. The methods adapted here are based on Cartan's differential calculus [1], [6].     

Bonds Intersecting Cycles In A Graph

Let G be a k-connected graph G having circumference c ≥ 2k. It is shown that for k ≥ 2, then there is a bond B which intersects every cycle of length c-k + 2 or greater.     

Controllability and asymptotic stabilization of the Camassa-Holm equation

We investigate the problems of exact controllability and asymptotic stabilization of the Camassa-Holm equation on the circle, by means of a distributed control. The results are global, and in particular the control prevents the solution from blowing up.     

Mathematical modelization of equatorial waves

Our purpose is to calculate waves propagating along the equator in an oceanic domain and the influence of a characteristic mean equatorial circulation on the nature of these waves. Equations satisfied by perturbations of currents and temperature are of the Navier-Stokes type and have been linearized around a stationary solution. Existence and uniqueness of the solution have been proved. Numerical experiments have been carried out and provided us with time-dependent values. The excited waves are exhibited by Fourier analysis of these time series.     

Parallel algorithms for variational inequalities over the Cartesian product of the intersections of the fixed point sets of nonexpansive mappings

This paper presents a framework of iterative algorithms for the variational inequality problem over the Cartesian product of the intersections of the fixed point sets of nonexpansive mappings in real Hilbert spaces. Strong convergence theorems are established under a certain contraction assumption with respect to the weighted maximum norm. The proposed framework produces as a simplest example the hybrid steepest descent method, which has been developed for solving the monotone variational inequality problem over the intersection of the fixed point sets of nonexpansive mappings. An application to a generalized power control problem and numerical examples are demonstrated.     

Solutions of two-factor models with variable interest rates

The focus of this work is on numerical solutions to two-factor option pricing partial differential equations with variable interest rates. Two interest rate models, the Vasicek model and the Cox–Ingersoll–Ross model (CIR), are considered. Emphasis is placed on the definition and implementation of boundary conditions for different portfolio models, and on appropriate truncation of the computational domain. An exact solution to the Vasicek model and an exact solution for the price of bonds convertible to stock at expiration under a stochastic interest rate are derived. The exact solutions are used to evaluate the accuracy of the numerical simulation schemes. For the numerical simulations the pricing solution is analyzed as the market completeness decreases from the ideal complete level to one with higher volatility of the interest rate and a slower mean-reverting environment. Simulations indicate that the CIR model yields more reasonable results than the Vasicek model in a less complete market.