Un método Wavelet-Galerkin para ecuaciones diferenciales parciales parabólicas

In this paper an Adaptive Wavelet-Galerkin method for the solution ofparabolic partial differential equations modeling physical problems withdifferent spatial and temporal scales is developed. A semi-implicit timedifference scheme is applied andB-spline multiresolution structure on theinterval is used. As in many cases these solutions are known to presentlocalized sharp gradients, local error estimators are designed and an ef-ficient adaptive strategy to choose the appropriate scale for each time isdeveloped. Finally, experiments were performed to illustrate the applica-bility and efficiency of the proposed method.En este trabajo se desarrolla un método Wavelet-Galerkin Adaptativopara la resolución de ecuaciones diferenciales parabólicas que modelanproblemas físicos, con diferentes escalas en el espacio y en el tiempo. Seutiliza un esquema semi-implícito en diferencias temporales y la estructuramultirresolución de las B-splines sobre intervalo.Como es sabido que enmuchos casos las soluciones presentan gradientes localmente altos, se handiseñado estimadores locales de error y una estrategia adaptativa eficientepara elegir la escala apropiada en cada tiempo. Finalmente, se realizaronexperimentos que ilustran la aplicabilidad y la eficiencia del método pro-puestoFil: Vampa, Victoria Cristina. Universidad Nacional de La Plata. Facultad de Ingeniería; ArgentinaFil: Martín, María Teresa. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Nacional de La Plata. Facultad de Ingeniería; Argentin

A novel envelope simulation technique for high-frequency nonlinear circuits

The paper proposes a new approach for the analysis and simulation of circuits subject to input signals with widely separated rates of variation. Such signals arise in communication circuits when an RF carrier is modulated by a low-frequency information signal. The approach will involve converting the ordinary differential equation system that describes the circuit to a partial differential equation system and subsequently solving the resultant system using a multiresolution collocation approach involving a cubic spline wavelet-based decomposition

Adaptive Multi-Rate Wavelet Method for Circuit Simulation

In this paper a new adaptive algorithm for multi-rate circuit simulation encountered in the design of RF circuits based on spline wavelets is presented. The ordinary circuit differential equations are first rewritten by a system of (multi-rate) partial differential equations (MPDEs) in order to decouple the different time scales. Second, a semi-discretization by Rothe's method of the MPDEs results in a system of differential algebraic equations DAEs with periodic boundary conditions. These boundary value problems are solved by a Galerkin discretization using spline functions. An adaptive spline grid is generated, using spline wavelets for non-uniform grids. Moreover the instantaneous frequency is chosen adaptively to guarantee a smooth envelope resulting in large time steps and therefore high run time efficiency. Numerical tests on circuits exhibiting multi-rate behavior including mixers and PLL conclude the paper

Review of modern numerical methods for a simple vanilla option pricing problem

Option pricing is a very attractive issue of financial engineering and optimization. The problem of determining the fair price of an option arises from the assumptions made under a given financial market model. The increasing complexity of these market assumptions contributes to the popularity of the numerical treatment of option valuation. Therefore, the pricing and hedging of plain vanilla options under the Black–Scholes model usually serve as a bench-mark for the development of new numerical pricing approaches and methods designed for advanced option pricing models. The objective of the paper is to present and compare the methodological concepts for the valuation of simple vanilla options using the relatively modern numerical techniques in this issue which arise from the discontinuous Galerkin method, the wavelet approach and the fuzzy transform technique. A theoretical comparison is accompanied by an empirical study based on the numerical verification of simple vanilla option prices. The resulting numerical schemes represent a particularly effective option pricing tool that enables some features of options that are depend-ent on the discretization of the computational domain as well as the order of the polynomial approximation to be captured better

BBGKY Dynamics: from Localization to Pattern Formation

A fast and efficient numerical-analytical approach is proposed for modeling complex behaviour in the BBGKY--hierarchy of kinetic equations. Our calculations are based on variational and multiresolution approaches in the basis of polynomial tensor algebras of generalized coherent states/wavelets. We construct the representation for hierarchy of reduced distribution functions via the multiscale decomposition in highly-localized eigenmodes. Numerical modeling shows the creation of various internal structures from localized modes, which are related to localized or chaotic type of behaviour and the corresponding patterns (waveletons) formation. The localized pattern is a model for energy confinement state (fusion) in plasma.Comment: 14 pages, 3 figures, ws-procs9x6.cls, presented at Workshop "Progress in Nonequilibrium Greens Functions", Dresden, Germany, August 19-23, 200