23,988 research outputs found
Finite Difference Methods For Linear Fuzzy Time Fractional Diffusion And Advection-Diffusion Equation
Fractional differential equations have attracted considerable attention in the last decade or so. This is evident from the number of publications on such equations in various scientific and engineering fields. Crisp quantities in fractional differential equations which are deemed imprecise and uncertain can be replaced by fuzzy quantities to reflect imprecision and uncertainty. The fractional partial differential equation can then be expressed by fuzzy fractional partial differential equations which can give a better description for certain phenomena involving uncertainties. The analytical solution of fuzzy fractional partial differential equations is often not possible. Therefore, there is great interest in obtaining solutions via numerical methods. The finite difference method is one of the more frequently used numerical methods for solving the fractional partial differential equations due to their simplicity and universal applicability. In this thesis, the focus is the development, analysis and application of finite difference schemes of second order of accuracy and compact finite difference methods of fourth order of accuracy to solve fuzzy time fractional diffusion equation and fuzzy time fractional advection-diffusion equation. Two different fuzzy computational techniques (single and double parametric form of fuzzy number) are investigated. The Caputo formula is used to approximate the fuzzy time fractional derivative. The consistency, stability, and convergence of the finite difference methods are investigated. Numerical experiments are carried out and the results indicate the effectiveness and feasibility of the schemes that have been developed
A survey on fuzzy fractional differential and optimal control nonlocal evolution equations
We survey some representative results on fuzzy fractional differential
equations, controllability, approximate controllability, optimal control, and
optimal feedback control for several different kinds of fractional evolution
equations. Optimality and relaxation of multiple control problems, described by
nonlinear fractional differential equations with nonlocal control conditions in
Banach spaces, are considered.Comment: This is a preprint of a paper whose final and definite form is with
'Journal of Computational and Applied Mathematics', ISSN: 0377-0427.
Submitted 17-July-2017; Revised 18-Sept-2017; Accepted for publication
20-Sept-2017. arXiv admin note: text overlap with arXiv:1504.0515
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
Physical states in the canonical tensor model from the perspective of random tensor networks
Tensor models, generalization of matrix models, are studied aiming for
quantum gravity in dimensions larger than two. Among them, the canonical tensor
model is formulated as a totally constrained system with first-class
constraints, the algebra of which resembles the Dirac algebra of general
relativity. When quantized, the physical states are defined to be vanished by
the quantized constraints. In explicit representations, the constraint
equations are a set of partial differential equations for the physical
wave-functions, which do not seem straightforward to be solved due to their
non-linear character. In this paper, after providing some explicit solutions
for , we show that certain scale-free integration of partition functions
of statistical systems on random networks (or random tensor networks more
generally) provides a series of solutions for general . Then, by
generalizing this form, we also obtain various solutions for general .
Moreover, we show that the solutions for the cases with a cosmological constant
can be obtained from those with no cosmological constant for increased .
This would imply the interesting possibility that a cosmological constant can
always be absorbed into the dynamics and is not an input parameter in the
canonical tensor model. We also observe the possibility of symmetry enhancement
in , and comment on an extension of Airy function related to the
solutions.Comment: 41 pages, 1 figure; typos correcte
Quantum canonical tensor model and an exact wave function
Tensor models in various forms are being studied as models of quantum
gravity. Among them the canonical tensor model has a canonical pair of
rank-three tensors as dynamical variables, and is a pure constraint system with
first-class constraints. The Poisson algebra of the first-class constraints has
structure functions, and provides an algebraically consistent way of
discretizing the Dirac first-class constraint algebra for general relativity.
This paper successfully formulates the Wheeler-DeWitt scheme of quantization of
the canonical tensor model; the ordering of operators in the constraints is
determined without ambiguity by imposing Hermiticity and covariance on the
constraints, and the commutation algebra of constraints takes essentially the
same from as the classical Poisson algebra, i.e. is first-class. Thus one could
consistently obtain, at least locally in the configuration space, wave
functions of "universe" by solving the partial differential equations
representing the constraints, i.e. the Wheeler-DeWitt equations for the quantum
canonical tensor model. The unique wave function for the simplest non-trivial
case is exactly and globally obtained. Although this case is far from being
realistic, the wave function has a few physically interesting features; it
shows that locality is favored, and that there exists a locus of configurations
with features of beginning of universe.Comment: 17 pages. Section 2 expanded to include fuzzy-space interpretation,
and other minor change
Status of the differential transformation method
Further to a recent controversy on whether the differential transformation
method (DTM) for solving a differential equation is purely and solely the
traditional Taylor series method, it is emphasized that the DTM is currently
used, often only, as a technique for (analytically) calculating the power
series of the solution (in terms of the initial value parameters). Sometimes, a
piecewise analytic continuation process is implemented either in a numerical
routine (e.g., within a shooting method) or in a semi-analytical procedure
(e.g., to solve a boundary value problem). Emphasized also is the fact that, at
the time of its invention, the currently-used basic ingredients of the DTM
(that transform a differential equation into a difference equation of same
order that is iteratively solvable) were already known for a long time by the
"traditional"-Taylor-method users (notably in the elaboration of software
packages --numerical routines-- for automatically solving ordinary differential
equations). At now, the defenders of the DTM still ignore the, though much
better developed, studies of the "traditional"-Taylor-method users who, in
turn, seem to ignore similarly the existence of the DTM. The DTM has been given
an apparent strong formalization (set on the same footing as the Fourier,
Laplace or Mellin transformations). Though often used trivially, it is easily
attainable and easily adaptable to different kinds of differentiation
procedures. That has made it very attractive. Hence applications to various
problems of the Taylor method, and more generally of the power series method
(including noninteger powers) has been sketched. It seems that its potential
has not been exploited as it could be. After a discussion on the reasons of the
"misunderstandings" which have caused the controversy, the preceding topics are
concretely illustrated.Comment: To appear in Applied Mathematics and Computation, 29 pages,
references and further considerations adde
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