Some numerical methods for solving stochastic impulse control in natural gas storage facilities

The valuation of gas storage facilities is characterized as a stochastic impulse control problem with finite horizon resulting in Hamilton-Jacobi-Bellman (HJB) equations for the value function. In this context the two catagories of solving schemes for optimal switching are discussed in a stochastic control framework. We reviewed some numerical methods which include approaches related to partial differential equations (PDEs), Markov chain approximation, nonparametric regression, quantization method and some practitioners’ methods. This paper considers optimal switching problem arising in valuation of gas storage contracts for leasing the storage facilities, and investigates the recent developments as well as their advantages and disadvantages of each scheme based on dynamic programming principle (DPP

A 8-neighbor model lattice Boltzmann method applied to mathematical-physical equations

© 2016. This version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/A lattice Boltzmann method (LBM) 9-bit model is presented to solve mathematical-physical equations, such as, Laplace equation, Poisson equation, Wave equation and Burgers equation. The 9-bit model has been verified by several test cases. Numerical simulations, including 1D and 2D cases, of each problem are shown respectively. Comparisons are made between numerical predictions and analytic solutions or available numerical results from previous researchers. It turned out that the 9-bit model is computationally effective and accurate for all different mathematical-physical equations studied. The main benefits of the new model proposed is that it is faster than the previous existing models and has a better accuracy.Peer ReviewedPostprint (author's final draft

Differential constraints for the Kaup -- Broer system as a reduction of the 1D Toda lattice

It is shown that some special reduction of infinite 1D Toda lattice gives differential constraints compatible with the Kaup -- Broer system. A family of the travelling wave solutions of the Kaup -- Broer system and its higher version is constructed.Comment: LaTeX, uses IOP styl