A discrete Fourier method for numerical solution of strongly coupled mixed parabolic systems

AbstractThis paper provides a discrete Fourier method for numerical solution of strongly coupled mixed parabolic systems which avoids solving large algebraic systems. After discretization using Crank-Nicholson difference scheme, the exact solution of the discretized problem is constructed and stability is analyzed

Convergent discrete numerical solutions of strongly coupled mixed parabolic systems

This work has been partially supported by the Spanish D.G.I.C.Y.T. grant BMF 2000-0206-C04-04Jódar Sánchez, LA.; Casabán, M. (2003). Convergent discrete numerical solutions of strongly coupled mixed parabolic systems. UTILITAS MATHEMATICA. 63:151-172. http://hdl.handle.net/10251/161860S1511726

An algorithm to initialize the searchof solutions of polynomial systems

AbstractOne of the main problems dealing with iterative methods for solving polynomial systemsis the initialization of the iteration. This paper provides an algorithm to initialize the search of solutions of polynomial systems

Qualitative Numerical Analysis of a Free-Boundary Diffusive Logistic Model

A two-dimensional free-boundary diffusive logistic model with radial symmetry is consid- ered. This model is used in various fields to describe the dynamics of spreading in different media: fire propagation, spreading of population or biological invasions. Due to the radial symmetry, the free boundary can be treated by a front-fixing approach resulting in a fixed-domain non-linear problem, which is solved by an explicit finite difference method. Qualitative numerical analysis establishes the stability, positivity and monotonicity conditions. Special attention is paid to the spreading–vanishing dichotomy and a numerical algorithm for the spreading–vanishing boundary is proposed. Theoretical statements are illustrated by numerical tests

Solving random homogeneous linear second-order differential equations: a full probabilistic description

[EN] In this paper a complete probabilistic description for the solution of random homogeneous linear second-order differential equations via the computation of its two first probability density functions is given. As a consequence, all unidimensional and two-dimensional statistical moments can be straightforwardly determined, in particular, mean, variance and covariance functions, as well as the first-order conditional law. With the aim of providing more generality, in a first step, all involved input parameters are assumed to be statistically dependent random variables having an arbitrary joint probability density function. Second, the particular case that just initial conditions are random variables is also analysed. Both problems have common and distinctive feature which are highlighted in our analysis. The study is based on random variable transformation method. As a consequence of our study, the well-known deterministic results are nicely generalized. Several illustrative examples are included.This work has been partially supported by the Spanish M. C. Y. T. Grant MTM2013-41765-P.Casabán, M.; Cortés, J.; Romero, J.; Roselló, M. (2016). Solving random homogeneous linear second-order differential equations: a full probabilistic description. Mediterranean Journal of Mathematics. 13(6):3817-3836. https://doi.org/10.1007/s00009-016-0716-6S38173836136Øksendal B.: Stochastic Differential Equations: An Introduction with Applications, 6th edn. Springer, Berlin (2007)Soong T.T.: Random Differential Equations in Science and Engineering. Academic Press, New York (1973)Neckel, T., Rupp, F.: Random Differential Equations in Scientific Computing. Versita, London (2013)Nouri, K., Ranjbar, H.: Mean square convergence of the numerical solution of random differential equations. Mediterr. J. Math. 1–18 (2014). doi: 10.1007/s00009-014-0452-8Villafuerte, L., Chen-Charpentier, B.M.: A random differential transform method: theory and applications. Appl. Math. Lett. 25(10), 1490–1494 (2012). doi: 10.1016/j.aml.2011.12.033Licea, J.A., Villafuerte, L., Chen-Charpentier, B.M.: Analytic and numerical solutions of a Riccati differential equation with random coefficients. J. Comput. Appl. Math. 239, 208–219 (2013). doi: 10.1016/j.cam.2012.09.040Casabán, M.C., Cortés, J.C., Romero, J.V., Roselló, M.D.: Probabilistic solution of random homogeneous linear second-order difference equations. Appl. Math. Lett. 34, 27–32 (2014). doi: 10.1016/j.aml.2014.03.010Santos, L.T., Dorini, F.A., Cunha, M.C.C.: The probability density function to the random linear transport equation. Appl. Math. Comput. 216 (5), 1524–1530 (2010). doi: 10.16/j.amc.2010.03.001El-Tawil, M., El-Tahan, W., Hussein, A.: Using FEM-RVT technique for solving a randomly excited ordinary differential equation with a random operator. Appl. Math. Comput. 187(2), 856–867 (2007). doi: 10.1016/j.amc.2006.08.164Hussein, A., Selim, M.M.: Solution of the stochastic radiative transfer equation with Rayleigh scattering using RVT technique. Appl. Math. Comput. 218(13), 7193–7203 (2012). doi: 10.1016/j.amc.2011.12.088Casabán, M.C., Cortés, J.C., Romero, J.V., Roselló, M.D.: Probabilistic solution of random SI-type epidemiological models using the random variable transformation technique. Commun. Nonlinear Sci. Numer. Simul. 24(1–3), 86–97 (2015). doi: 10.1016/j.cnsns.2014.12.016Casabán, M.C., Cortés, J.C., Romero, J.V., Roselló, M.D.: Determining the first probability density function of linear random initial value problems by the random variable transformation (RVT) technique: a comprehensive study. In: Abstract and Applied Analysis 2014-ID248512, pp. 1–25 (2014). doi: 10.1155/2013/248512Casabán, M.C., Cortés, J.C., Navarro-Quiles, A., Romero, J.V., Roselló, M.D., Villanueva, R.J.: A comprehensive probabilistic solution of random SIS-type epidemiological models using the random variable transformation technique. Commun. Nonlinear Sci. Numer. Simul. 32, 199–210 (2016). doi: 10.1016/j.cnsns.2015.08.009El-Wakil, S.A., Sallah, M., El-Hanbaly, A.M.: Random variable transformation for generalized stochastic radiative transfer in finite participating slab media. Phys. A 435 66–79 (2015). doi: 10.1016/j.physa.2015.04.033Dorini, F.A., Cunha, M.C.C.: On the linear advection equation subject to random fields velocity. Math. Comput. Simul. 82, 679–690 (2011). doi: 10.16/j.matcom.2011.10.008Dhople, S.V., Domínguez-García, D.: A parametric uncertainty analysis method for Markov reliability and reward models. IEEE Trans. Reliab. 61(3), 634–648 (2012). doi: 10.1109/TR.2012.2208299Williams, M.M.R.: Polynomial chaos functions and stochastic differential equations. Ann. Nucl. Energy 33(9), 774–785 (2006). doi: 10.1016/j.anucene.2006.04.005Chen-Charpentier, B.M., Stanescu, D.: Epidemic models with random coefficients. Math. Comput. Model. 52(7/8), 1004–1010 (2009). doi: 10.1016/j.mcm.2010.01.014Papoulis A.: Probability, Random Variables and Stochastic Processes. McGraw-Hill, New York (1991

Analytic-numerical solution of random parabolic models: A mean square Fourier transform approach

[EN] This paper deals with the construction of mean square analytic-numerical solution of parabolic partial differential problems where both initial condition and coefficients are stochastic processes. By using a random Fourier transform, an infinite integral form of the solution stochastic process is firstly obtained. Afterwards, explicit expressions for the expectation and standard deviation of the solution are obtained. Since these expressions depend upon random improper integrals, which are not computable in an exact manner, random Gauss-Hermite quadrature formulae are introduced throughout an illustrative example.This work has been partially supported by the Spanish Ministerio de Economia y Competitividad grant MTM2013-41765-P.Casabán, M.; Cortés, J.; Jódar Sánchez, LA. (2018). Analytic-numerical solution of random parabolic models: A mean square Fourier transform approach. Mathematical Modelling and Analysis. 23(1):79-100. https://doi.org/10.3846/mma.2018.006S7910023

A comprehensive probabilistic solution of random SIS-type epidemiological models using the Random Variable Transformation technique

[EN] This paper provides a complete probabilistic description of SIS-type epidemiological models where all the input parameters (contagion rate, recovery rate and initial conditions) are assumed to be random variables. By applying the Random Variable Transformation technique, the first probability density function, the mean and the variance functions as well as confidence intervals associated to the solution of SIS-type epidemiological models are determined under the general hypothesis that the random inputs have any joint probability density function. The distributions to describe the time until a given proportion of the population remains susceptible and infected are also determined. Lastly, a probabilistic description of the so-called basic reproductive number is included. The theoretical results are applied to an illustrative example showing good fitting.This work has been partially supported by the Ministerio de Economia y Competitividad grants MTM2013-41765-P and TRA2012-36932. Ana Navarro Quiles acknowledges the doctorate scholarship granted by Programa de Ayudas de Investigacion y Desarrollo (PAID), Universitat Politecnica de Valencia.Casabán, M.; Cortés, J.; Navarro-Quiles, A.; Romero, J.; Roselló, M.; Villanueva Micó, RJ. (2016). A comprehensive probabilistic solution of random SIS-type epidemiological models using the Random Variable Transformation technique. Communications in Nonlinear Science and Numerical Simulation. 32:199-210. https://doi.org/10.1016/j.cnsns.2015.08.009S1992103

Random non-autonomous second order linear differential equations: mean square analytic solutions and their statistical properties

[EN] In this paper we study random non-autonomous second order linear differential equations by taking advantage of the powerful theory of random difference equations. The coefficients are assumed to be stochastic processes, and the initial conditions are random variables both defined in a common underlying complete probability space. Under appropriate assumptions established on the data stochastic processes and on the random initial conditions, and using key results on difference equations, we prove the existence of an analytic stochastic process solution in the random mean square sense. Truncating the random series that defines the solution process, we are able to approximate the main statistical properties of the solution, such as the expectation and the variance. We also obtain error a priori bounds to construct reliable approximations of both statistical moments. We include a set of numerical examples to illustrate the main theoretical results established throughout the paper. We finish with an example where our findings are combined with Monte Carlo simulations to model uncertainty using real data.This work has been supported by the Spanish Ministerio de Economia y Competitividad grant MTM2017-89664-P. Marc Jornet acknowledges the doctorate scholarship granted by Programa de Ayudas de Investigacion y Desarrollo (PAID), Universitat Politecnica de Valencia.Calatayud-Gregori, J.; Cortés, J.; Jornet-Sanz, M.; Villafuerte, L. (2018). Random non-autonomous second order linear differential equations: mean square analytic solutions and their statistical properties. Advances in Difference Equations. (3):1-29. https://doi.org/10.1186/s13662-018-1848-8S1293Apostol, T.M.: Mathematical Analysis, 2nd edn. Pearson, New York (1976)Boyce, W.E.: Probabilistic Methods in Applied Mathematics I. Academic Press, New York (1968)Calbo, G., Cortés, J.C., Jódar, L.: Random Hermite differential equations: mean square power series solutions and statistical properties. Appl. Math. Comput. 218(7), 3654–3666 (2011)Calbo, G., Cortés, J.C., Jódar, L., Villafuerte, L.: Solving the random Legendre differential equation: mean square power series solution and its statistical functions. Comput. Math. Appl. 61(9), 2782–2792 (2011)Casabán, M.C., Cortés, J.C., Navarro-Quiles, A., Romero, J.V., Roselló, M.D., Villanueva, R.J.: Computing probabilistic solutions of the Bernoulli random differential equation. J. Comput. Appl. Math. 309, 396–407 (2017)Casabán, M.C., Cortés, J.C., Romero, J.V., Roselló, M.D.: Solving random homogeneous linear second-order differential equations: a full probabilistic description. Mediterr. J. Math. 13(6), 3817–3836 (2016)Cortés, J.C., Jódar, L., Camacho, J., Villafuerte, L.: Random Airy type differential equations: mean square exact and numerical solutions. Comput. Math. Appl. 60(5), 1237–1244 (2010)Cortés, J.C., Jódar, L., Company, R., Villafuerte, L.: Laguerre random polynomials: definition, differential and statistical properties. Util. Math. 98, 283–295 (2015)Cortés, J.C., Jódar, L., Villafuerte, L.: Random linear-quadratic mathematical models: computing explicit solutions and applications. Math. Comput. Simul. 79(7), 2076–2090 (2009)Cortés, J.C., Jódar, L., Villafuerte, L.: Mean square solution of Bessel differential equation with uncertainties. J. Comput. Appl. Math. 309(1), 383–395 (2017)Cortés, J.C., Sevilla-Peris, P., Jódar, L.: Analytic-numerical approximating processes of diffusion equation with data uncertainty. Comput. Math. Appl. 49(7–8), 1255–1266 (2005)Díaz-Infante, S., Jerez, S.: Convergence and asymptotic stability of the explicit Steklov method for stochastic differential equations. J. Comput. Appl. Math. 291(1), 36–47 (2016)Dorini, F., Cunha, M.: Statistical moments of the random linear transport equation. J. Comput. Phys. 227(19), 8541–8550 (2008)Dorini, F.A., Cecconello, M.S., Dorini, M.B.: On the logistic equation subject to uncertainties in the environmental carrying capacity and initial population density. Commun. Nonlinear Sci. Numer. Simul. 33, 160–173 (2016)Golmankhaneh, A.K., Porghoveh, N.A., Baleanu, D.: Mean square solutions of second-order random differential equations by using homotopy analysis method. Rom. Rep. Phys. 65(2), 350–362 (2013)Grimmett, G.R., Stirzaker, D.R.: Probability and Random Processes. Clarendon Press, Oxford (2000)Henderson, D., Plaschko, P.: Stochastic Differential Equations in Science and Engineering. Cambridge Texts in Applied Mathematics. World Scientific, Singapore (2006)Hussein, A., Selim, M.M.: A developed solution of the stochastic Milne problem using probabilistic transformations. Appl. Math. Comput. 216(10), 2910–2919 (2009)Hussein, A., Selim, M.M.: Solution of the stochastic transport equation of neutral particles with anisotropic scattering using RVT technique. Appl. Math. Comput. 213(1), 250–261 (2009)Hussein, A., Selim, M.M.: Solution of the stochastic radiative transfer equation with Rayleigh scattering using RVT technique. Appl. Math. Comput. 218(13), 7193–7203 (2012)Khodabin, M., Maleknejad, K., Rostami, M., Nouri, M.: Numerical solution of stochastic differential equations by second order Runge–Kutta methods. Math. Comput. Model. 53(9–10), 1910–1920 (2011)Khodabin, M., Rostami, M.: Mean square numerical solution of stochastic differential equations by fourth order Runge–Kutta method and its application in the electric circuits with noise. Adv. Differ. Equ. 2015, 62 (2015)Khudair, A.K., Ameen, A.A., Khalaf, S.L.: Mean square solutions of second-order random differential equations by using Adomian decomposition method. Appl. Math. Sci. 51(5), 2521–2535 (2011)Khudair, A.K., Haddad, S.A.M., Khalaf, S.L.: Mean square solutions of second-order random differential equations by using the differential transformation method. Open J. Appl. Sci. 6, 287–297 (2016)Lesaffre, E., Lawson, A.B.: Bayesian Biostatistics. Statistics in Practice. Wiley, New York (2012)Li, X., Fu, X.: Stability analysis of stochastic functional differential equations with infinite delay and its application to recurrent neural networks. J. Comput. Appl. Math. 234(2), 407–417 (2010)Licea, J.A., Villafuerte, L., Chen-Charpentier, B.M.: Analytic and numerical solutions of a Riccati differential equation with random coefficients. J. Comput. Appl. Math. 309(1), 208–219 (2013)Liu, S., Debbouche, A., Wang, J.: On the iterative learning control for stochastic impulsive differential equations with randomly varying trial lengths. J. Comput. Appl. Math. 312, 47–57 (2017)Loève, M.: Probability Theory. Vol. I. Springer, Mineola (1977)Lord, G.J., Powell, C.E., Shardlow, T.: An Introduction to Computational Stochastic PDEs. Cambridge Texts in Applied Mathematics. Dover, New York (2014)Nouri, K., Ranjbar, H.: Mean square convergence of the numerical solution of random differential equations. Mediterr. J. Math. 12(3), 1123–1140 (2015)Rencher, A.C., Schaalje, G.B.: Linear Models in Statistics, 2nd edn. Wiley, New York (2008)Santos, L.T., Dorini, F.A., Cunha, M.C.C.: The probability density function to the random linear transport equation. Appl. Math. Comput. 216(5), 1524–1530 (2010)Seber, G.A.F., Wild, C.J.: Nonlinear Regression. Cambridge Texts in Applied Mathematics. Wiley, New York (2003)Smith, R.C.: Uncertainty Quantification: Theory, Implementation, and Applications. SIAM, Philadelphia (2014)Soheili, A.R., Toutounian, F., Soleymani, F.: A fast convergent numerical method for matrix sign function with application in SDEs (Stochastic Differential Equations). J. Comput. Appl. Math. 282, 167–178 (2015)Soong, T.T.: Random Differential Equations in Science and Engineering. Academic Press, New York (1973)Villafuerte, L., Braumann, C.A., Cortés, J.C., Jódar, L.: Random differential operational calculus: theory and applications. Comput. Math. Appl. 59(1), 115–125 (2010)Xiu, D.: Numerical Methods for Stochastic Computations. A Spectral Method Approach. Cambridge Texts in Applied Mathematics. Princeton University Press, New York (2010

Conditional uniform time stable numerical solutions of coupled hyperbolic systems

AbstractThis work deals with the uniform time stability of discrete numerical solutions of strongly coupled hyperbolic mixed problems. Using the Crank–Nicholson scheme and a Fourier discrete method the uniform time stability of the solution constructed is based on the spectral analysis of roots of the underlying algebraic matrix equation

Solving linear and quadratic random matrix differential equations using: A mean square approach. The non-autonomous case

[EN] This paper is aimed to extend, the non-autonomous case, the results recently given in the paper [1] for solving autonomous linear and quadratic random matrix differential equations. With this goal, important deterministic results like the Abel-Liouville-Jacobi's formula, are extended to the random scenario using the so-called $\mathrm{L}_{p}$-random matrix calculus. In a first step, random time-dependent matrix linear differential equations are studied and, in a second step, random non-autonomous Riccati matrix differential equations are solved using the hamiltonian approach based on dealing with the extended underlying linear system. Illustrative numerical examples are also included. [1] M.-C. Casabán, J.-C. Cortés, L. Jódar, Solving linear and quadratic random matrix differential equations: A mean square approach, Applied Mathematical Modelling 40 (2016) 9362-9377.This work has been partially supported by the Spanish Ministerio de Economia y Competitividad grant MTM2013-41765-P and by the European Union in the FP7-PEOPLE-2012-ITN Program under Grant Agreement no. 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance).Casabán, M.; Cortés, J.; Jódar Sánchez, LA. (2018). Solving linear and quadratic random matrix differential equations using: A mean square approach. The non-autonomous case. Journal of Computational and Applied Mathematics. 330:937-954. https://doi.org/10.1016/j.cam.2016.11.049S93795433