Convergence analysis of Crank-Nicolson and Rannacher time-marching

This paper presents a convergence analysis of Crank-Nicolson and Rannacher time-marching methods which are often used in finite difference discretisations of the Black-Scholes equations. Particular attention is paid to the important role of Rannacher's startup procedure, in which one or more initial timesteps use Backward Euler timestepping, to achieve second order convergence for approximations of the first and second derivatives. Numerical results confirm the sharpness of the error analysis which is based on asymptotic analysis of the behaviour of the Fourier transform. The relevance to Black-Scholes applications is discussed in detail, with numerical results supporting recommendations on how to maximise the accuracy for a given computational cost

Sharp error estimates for discretisations of the 1D convection/diffusion equation with Dirac initial data

This paper derives sharp estimates of the error arising from explicit and implicit approximations of the constant coefficient 1D convection/diffusion equation with Dirac initial data. The error analysis is based on Fourier analysis and asymptotic approximation of the integrals resulting from the inverse Fourier transform. This research is motivated by applications in computational finance and the desire to prove convergence of approximations to adjoint partial differential equations

Spinning BTZ Black Hole versus Kerr Black Hole : A Closer Look

By applying Newman's algorithm, the AdS_3 rotating black hole solution is ``derived'' from the nonrotating black hole solution of Banados, Teitelboim, and Zanelli (BTZ). The rotating BTZ solution derived in this fashion is given in ``Boyer-Lindquist-type'' coordinates whereas the form of the solution originally given by BTZ is given in a kind of an ``unfamiliar'' coordinates which are related to each other by a transformation of time coordinate alone. The relative physical meaning between these two time coordinates is carefully studied. Since the Kerr-type and Boyer-Lindquist-type coordinates for rotating BTZ solution are newly found via Newman's algorithm, next, the transformation to Kerr-Schild-type coordinates is looked for. Indeed, such transformation is found to exist. And in this Kerr-Schild-type coordinates, truely maximal extension of its global structure by analytically continuing to ``antigravity universe'' region is carried out.Comment: 17 pages, 1 figure, Revtex, Accepted for publication in Phys. Rev.

Poly-essential and general Hyperelastic World (brane) models

This article provides a unified treatment of an extensive category of non-linear classical field models whereby the universe is represented (perhaps as a brane in a higher dimensional background) in terms of a structure of a mathematically convenient type describable as hyperelastic, for which a complete set of equations of motion is provided just by the energy-momentum conservation law. Particular cases include those of a perfect fluid in quintessential backgrounds of various kinds, as well as models of the elastic solid kind that has been proposed to account for cosmic acceleration. It is shown how an appropriately generalised Hadamard operator can be used to construct a symplectic structure that controles the evolution of small perturbations, and that provides a characteristic equation governing the propagation of weak discontinuities of diverse (extrinsic and extrinsic) kinds. The special case of a poly-essential model - the k-essential analogue of an ordinary polytropic fluid - is examined and shown to be well behaved (like the fluid) only if the pressure to density ratio $w$ is positive.Comment: 16 pages Latex, Contrib. to 10th Peyresq Pysics Meeting, June 2005: Micro and Macro Structures of Spacetim

Cosmic Vortons and Particle Physics Constraints

We investigate the cosmological consequences of particle physics theories that admit stable loops of superconducting cosmic string - {\it vortons}. General symmetry breaking schemes are considered, in which strings are formed at one energy scale and subsequently become superconducting in a secondary phase transition at what may be a considerably lower energy scale. We estimate the abundances of the ensuing vortons, and thereby derive constraints on the relevant particle physics models from cosmological observations. These constraints significantly restrict the category of admissible Grand Unified theories, but are quite compatible with recently proposed effects whereby superconducting strings may have been formed close to the electroweak phase transition.Comment: 33 pages, 2 figures, RevTe

Staticity Theorem for Higher Dimensional Generalized Einstein-Maxwell System

We derive formulas for variations of mass, angular momentum and canonical energy in Einstein (n-2)-gauge form field theory by means of the ADM formalism. Considering the initial data for the manifold with an interior boundary which has the topology of (n-2)-sphere we obtained the generalized first law of black hole thermodynamics. Supposing that a black hole evevt horizon comprisesw a bifurcation Killing horizon with a bifurcate surface we find that the solution is static in the exterior world, when the Killing timelike vector field is normal to the horizon and has vanishing electric or magnetic fields on static slices.Comment: 10 pages, REVTEX, to published in Phys.Rev. D1

An empirical analysis of the distribution of the duration of overshoots in a stationary gaussian stochastic process

This analysis utilizes computer simulation and statistical estimation. Realizations of stationary gaussian stochastic processes with selected autocorrelation functions are computer simulated. Analysis of the simulated data revealed that the mean and the variance of a process were functionally dependent upon the autocorrelation parameter and crossing level. Using predicted values for the mean and standard deviation, by the method of moments, the distribution parameters was estimated. Thus, given the autocorrelation parameter, crossing level, mean, and standard deviation of a process, the probability of exceeding the crossing level for a particular length of time was calculated

Experimental study of ion heating and acceleration during magnetic reconnection

Ion heating and acceleration has been studied in the well-characterized reconnection layer of the Magnetic Reconnection Experiment [M. Yamada , Phys. Plasmas 4, 1936 (1997)]. Ion temperature in the layer rises substantially during null-helicity reconnection in which reconnecting field lines are anti-parallel. The plasma outflow is sub-Alfvenic due to a downstream back pressure. An ion energy balance calculation based on the data and including classical viscous heating indicates that ions are heated largely via nonclassical mechanisms. The T-i rise is much smaller during co-helicity reconnection in which field lines reconnect obliquely. This is consistent with a slower reconnection rate and a smaller resistivity enhancement over the Spitzer value. These observations show that nonclassical dissipation mechanisms can play an important role both in heating the ions and in facilitating the reconnection process

Generalization of Einstein-Lovelock theory to higher order dilaton gravity

A higher order theory of dilaton gravity is constructed as a generalization of the Einstein-Lovelock theory of pure gravity. Its Lagrangian contains terms with higher powers of the Riemann tensor and of the first two derivatives of the dilaton. Nevertheless, the resulting equations of motion are quasi-linear in the second derivatives of the metric and of the dilaton. This property is crucial for the existence of brane solutions in the thin wall limit. At each order in derivatives the contribution to the Lagrangian is unique up to an overall normalization. Relations between symmetries of this theory and the O(d,d) symmetry of the string-inspired models are discussed.Comment: 18 pages, references added, version to be publishe