scholarly journals Integrability analysis of the partial differential equation describing the classical bond-pricing model of mathematical finance

Open Physics ◽  
2019 ◽  
Vol 17 (1) ◽  
pp. 808-808
Author(s):  
Taha Aziz ◽  
Aeeman Fatima ◽  
Chaudry Masood Khalique
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Mathematical Finance ◽  
Bond Pricing ◽  
Pricing Model ◽  
Partial Differential

scholarly journals Integrability analysis of the partial differential equation describing the classical bond-pricing model of mathematical finance

Open Physics ◽  
2018 ◽  
Vol 16 (1) ◽  
pp. 766-779
Author(s):  
Taha Aziz ◽  
Aeeman Fatima ◽  
Chaudry Masood Khalique
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Heat Equation ◽  
Canonical Form ◽  
Mathematical Finance ◽  
Fundamental Solutions ◽  
Bond Pricing ◽  
Canonical Forms ◽  
Pricing Model ◽  
Invariant Approach

AbstractThe invariant approach is employed to solve the Cauchy problem for the bond-pricing partial differential equation (PDE) of mathematical finance. We first briefly review the invariant criteria for a scalar second-order parabolic PDE in two independent variables and then utilize it to reduce the bond-pricing equation to different Lie canonical forms. We show that the invariant approach aids in transforming the bond-pricing equation to the second Lie canonical form and that with a proper parametric selection, the bond-pricing PDE can be converted to the first Lie canonical form which is the classical heat equation. Different cases are deduced for which the original equation reduces to the first and second Lie canonical forms. For each of the cases, we work out the transformations which map the bond-pricing equation into the heat equation and also to the second Lie canonical form. We construct the fundamental solutions for the bond-pricing model via these transformations by utilizing the fundamental solutions of the classical heat equation as well as solution to the second Lie canonical form. Finally, the closed-form analytical solutions of the Cauchy initial value problems for the bond-pricing model with proper choice of terminal conditions are obtained.

Qxygen transfer in gravity flow sewers

2000 ◽  
Vol 42 (3-4) ◽  
pp. 417-422 ◽  
Author(s):  
T.Y. Pai ◽  
C.F. Ouyang ◽  
Y.C. Liao ◽  
H.G. Leu
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Dissolved Oxygen ◽  
Flow Velocity ◽  
Molecular Diffusion ◽  
Eddy Diffusion ◽  
Partial Differential ◽  
Diffusion Term ◽  
Sewer Pipes ◽  
Gravity Sewer

Oxygen diffused to water in gravity sewer pipes was studied in a 21 m long, 0.15 m diameter model sewer. At first, the sodium sulfide was added into the clean water to deoxygenate, then the pump was started to recirculate the water and the deoxygenated water was reaerated. The dissolved oxygen microelectrode was installed to measure the dissolved oxygen concentrations varied with flow velocity, time and depth. The dissolved oxygen concentration profiles were constructed and observed. The partial differential equation diffusion model that considered Fick's law including the molecular diffusion term and eddy diffusion term were derived. The analytic solution of the partial differential equation was used to determine the diffusivities by the method of nonlinear regression. The diffusivity values for the oxygen transfer was found to be a function of molecular diffusion, eddy diffusion and flow velocity.

scholarly journals The Boundary Proportion Differential Control Method of Micro-Deformable Manipulator with Compensator Based on Partial Differential Equation Dynamic Model

Micromachines ◽  
2021 ◽  
Vol 12 (7) ◽  
pp. 799
Author(s):  
Xiangli Pei ◽  
Ying Tian ◽  
Minglu Zhang ◽  
Ruizhuo Shi
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Dynamic Model ◽  
Control Method ◽  
System Modeling ◽  
Working Environment ◽  
Partial Differential ◽  
External Interference ◽  
Differential Control ◽  
Differential Control Method

It is challenging to accurately judge the actual end position of the manipulator—regarded as a rigid body—due to the influence of micro-deformation. Its precise and efficient control is a crucial problem. To solve the problem, the Hamilton principle was used to establish the partial differential equation (PDE) dynamic model of the manipulator system based on the infinite dimension of the working environment interference and the manipulator space. Hence, it resolves the common overflow instability problem in the micro-deformable manipulator system modeling. Furthermore, an infinite-dimensional radial basis function neural network compensator suitable for the dynamic model was proposed to compensate for boundary and uncertain external interference. Based on this compensation method, a distributed boundary proportional differential control method was designed to improve control accuracy and speed. The effectiveness of the proposed model and method was verified by theoretical analysis, numerical simulation, and experimental verification. The results show that the proposed method can effectively improve the response speed while ensuring accuracy.

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