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We consider a specific type of nonlinear partial differential equations (PDE) that appear in mathematical finance as the result of solving some optimization problems. We review some existing in the literature examples of such problems, and…

计算金融 · 定量金融 2015-10-19 Andrey Itkin

In this work, we present a result on the local existence and uniqueness of solutions to nonlinear Partial Differential-Algebraic Equations (PDAEs). By applying established theoretical results, we identify the conditions that guarantee the…

偏微分方程分析 · 数学 2025-02-11 Seyyid Ali Benabdallah

On the base of Lie algebraic and differential geometry methods, a wide class of multidimensional nonlinear systems is obtained, and the integration scheme for such equations is proposed.

高能物理 - 理论 · 物理学 2008-11-26 A. V. Razumov , M. V. Saveliev

Nonlinear partial differential equations (PDEs) are used to model dynamical processes in a large number of scientific fields, ranging from finance to biology. In many applications standard local models are not sufficient to accurately…

Within recent years, considerable progress has been made regarding high-performance solvers for Partial Differential Equations (PDEs), yielding potential gains in efficiency compared to industry standard tools. However, the latter largely…

数值分析 · 数学 2024-02-20 Patrick Zimbrod , Michael Fleck , Johannes Schilp

The solution of systems of non-autonomous linear ordinary differential equations is crucial in a variety of applications, such us nuclear magnetic resonance spectroscopy. A new method with spectral accuracy has been recently introduced in…

数值分析 · 数学 2022-10-14 Stefano Pozza , Niel Van Buggenhout

Whether integrable, partially integrable or nonintegrable, nonlinear partial differential equations (PDEs) can be handled from scratch with essentially the same toolbox, when one looks for analytic solutions in closed form. The basic tool…

可精确求解与可积系统 · 物理学 2017-10-16 Robert Conte

We announce some Python classes for numerical solution of partial differential equations, or boundary value problems of ordinary differential equations. These classes are built on routines in \texttt{numpy} and \texttt{scipy.sparse.linalg}…

计算物理 · 物理学 2015-03-17 Asif Mushtaq , Trond Kvamsdal , Kåre Olaussen

We provide of a method to integrate first order non-linear systems of differential equations with variable coefficients. It determines approximate solutions given initial or boundary conditions or even for Sturm-Liouville problems. This…

经典分析与常微分方程 · 数学 2025-03-05 Manuel Gadella , Luis P. Lara

In this note we shall introduce a simple, effective numerical method for solving partial differential equations for scalar and vector-valued data defined on surfaces. Even though we shall follow the traditional way to approximate the…

计算几何 · 计算机科学 2009-07-13 Sheng-Gwo Chen , Mei-Hsiu Chi , Jyh-Yang Wu

Using probabilistic methods, we establish a-priori estimates for two classes of quasilinear parabolic systems of partial differential equations (PDEs). We treat in particular the case of a nonlinearity which has quadratic growth in the…

概率论 · 数学 2023-04-05 Joe Jackson

Some of recent developments, including recent results, ideas, techniques, and approaches, in the study of degenerate partial differential equations are surveyed and analyzed. Several examples of nonlinear degenerate, even mixed, partial…

偏微分方程分析 · 数学 2015-03-17 Gui-Qiang G. Chen

This work is concerned with the quantification of the epistemic uncertainties induced the discretization of partial differential equations. Following the paradigm of probabilistic numerics, we quantify this uncertainty probabilistically.…

概率论 · 数学 2016-07-14 Ilias Bilionis

We consider a linear algebra approach to establishing a discrete comparison principle for a nonmonotone class of quasilinear elliptic partial differential equations. In the absence of a lower order term, we require local conditions on the…

数值分析 · 数学 2018-03-19 Sara Pollock , Yunrong Zhu

We present a new approach to solving polynomial ordinary differential equations by transforming them to linear functional equations and then solving the linear functional equations. We will focus most of our attention upon the first-order…

环与代数 · 数学 2008-10-18 John Michael Nahay

Recent years have witnessed a growth in mathematics for deep learning--which seeks a deeper understanding of the concepts of deep learning with mathematics and explores how to make it more robust--and deep learning for mathematics, where…

A new class of integrable mappings and chains is introduced. Corresponding $(1+2)$ integrable systems invariant with respect to such discrete transformations are presented in an explicit form. Their soliton-type solutions are constructed in…

数学物理 · 物理学 2007-05-23 A. N. Leznov

It is shown that commutator identities on associative algebras generate solutions of linearized integrable equations. Next, a special kind of the dressing procedure is suggested that in a special class of integral operators enables to…

可精确求解与可积系统 · 物理学 2008-11-26 A. K. Pogrebkov

Some interesting (periodic!) solutions of certain systems of $4$ nonlinear Ordinary Differential Equations $dx_{n}\left( t\right) /dt=P_{2}^{\left( n\right) }\left[ x_{m}\left( t\right) \right] /\left[ x_{1}\left( t\right) +x_{2}\left(…

可精确求解与可积系统 · 物理学 2025-01-07 Francesco Calogero

In this short note we are presenting a method of finding particular solutions of nonhomegeneous linear equations. This approach is different from methods of undetermined coefficients or variation of parameters presented in virtually every…

综合数学 · 数学 2025-10-01 Ashot Djrbashian , Milena Safaryan