Hyperbolic Partial Differential Equations (hyperbolic + partial_differential_equation)

Distribution by Scientific Domains


Selected Abstracts


STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE-DIMENSIONAL FORWARD RATES AND OPTION PRICING

MATHEMATICAL FINANCE, Issue 1 2005
Shin Ichi Aihara
We model the term-structure modeling of interest rates by considering the forward rate as the solution of a stochastic hyperbolic partial differential equation. First, we study the arbitrage-free model of the term structure and explore the completeness of the market. We then derive results for the pricing of general contingent claims. Finally we obtain an explicit formula for a forward rate cap in the Gaussian framework from the general results. [source]


Bernstein Ritz-Galerkin method for solving an initial-boundary value problem that combines Neumann and integral condition for the wave equation

NUMERICAL METHODS FOR PARTIAL DIFFERENTIAL EQUATIONS, Issue 5 2010
S.A. Yousefi
Abstract In this article, the Ritz-Galerkin method in Bernstein polynomial basis is implemented to give an approximate solution of a hyperbolic partial differential equation with an integral condition. We will deal here with a type of nonlocal boundary value problem, that is, the solution of a hyperbolic partial differential equation with a nonlocal boundary specification. The nonlocal conditions arise mainly when the data on the boundary cannot be measured directly. The properties of Bernstein polynomial and Ritz-Galerkin method are first presented, then Ritz-Galerkin method is used to reduce the given hyperbolic partial differential equation to the solution of algebraic equations. Illustrative examples are included to demonstrate the validity and applicability of the technique presented in this article. 2009 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2010 [source]


On the solution of an initial-boundary value problem that combines Neumann and integral condition for the wave equation,

NUMERICAL METHODS FOR PARTIAL DIFFERENTIAL EQUATIONS, Issue 1 2005
Mehdi Dehghan
Abstract Numerical solution of hyperbolic partial differential equation with an integral condition continues to be a major research area with widespread applications in modern physics and technology. Many physical phenomena are modeled by nonclassical hyperbolic boundary value problems with nonlocal boundary conditions. In place of the classical specification of boundary data, we impose a nonlocal boundary condition. Partial differential equations with nonlocal boundary specifications have received much attention in last 20 years. However, most of the articles were directed to the second-order parabolic equation, particularly to heat conduction equation. We will deal here with new type of nonlocal boundary value problem that is the solution of hyperbolic partial differential equations with nonlocal boundary specifications. These nonlocal conditions arise mainly when the data on the boundary can not be measured directly. Several finite difference methods have been proposed for the numerical solution of this one-dimensional nonclassic boundary value problem. These computational techniques are compared using the largest error terms in the resulting modified equivalent partial differential equation. Numerical results supporting theoretical expectations are given. Restrictions on using higher order computational techniques for the studied problem are discussed. Suitable references on various physical applications and the theoretical aspects of solutions are introduced at the end of this article. 2004 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2005 [source]


Third-order methods for first-order hyperbolic partial differential equations

INTERNATIONAL JOURNAL FOR NUMERICAL METHODS IN BIOMEDICAL ENGINEERING, Issue 1 2004
T. A. Cheema
Abstract In this paper numerical methods for solving first-order hyperbolic partial differential equations are developed. These methods are developed by approximating the first-order spatial derivative by third-order finite-difference approximations and a matrix exponential function by a third-order rational approximation having distinct real poles. Then parallel algorithms are developed and tested on a sequential computer for an advection equation with constant coefficient and a non-linear problem. Copyright 2003 John Wiley & Sons, Ltd. [source]


PRICE: primitive centred schemes for hyperbolic systems

INTERNATIONAL JOURNAL FOR NUMERICAL METHODS IN FLUIDS, Issue 12 2003
E. F. Toro
Abstract We present first- and higher-order non-oscillatory primitive (PRI) centred (CE) numerical schemes for solving systems of hyperbolic partial differential equations written in primitive (or non-conservative) form. Non-conservative systems arise in a variety of fields of application and they are adopted in that form for numerical convenience, or more importantly, because they do not posses a known conservative form; in the latter case there is no option but to apply non-conservative methods. In addition we have chosen a centred, as distinct from upwind, philosophy. This is because the systems we are ultimately interested in (e.g. mud flows, multiphase flows) are exceedingly complicated and the eigenstructure is difficult, or very costly or simply impossible to obtain. We derive six new basic schemes and then we study two ways of extending the most successful of these to produce second-order non-oscillatory methods. We have used the MUSCL-Hancock and the ADER approaches. In the ADER approach we have used two ways of dealing with linear reconstructions so as to avoid spurious oscillations: the ADER TVD scheme and ADER with ENO reconstruction. Extensive numerical experiments suggest that all the schemes are very satisfactory, with the ADER/ENO scheme being perhaps the most promising, first for dealing with source terms and secondly, because higher-order extensions (greater than two) are possible. Work currently in progress includes the application of some of these ideas to solve the mud flow equations. The schemes presented are generic and can be applied to any hyperbolic system in non-conservative form and for which solutions include smooth parts, contact discontinuities and weak shocks. The advantage of the schemes presented over upwind-based methods is simplicity and efficiency, and will be fully realized for hyperbolic systems in which the provision of upwind information is very costly or is not available. Copyright 2003 John Wiley & Sons, Ltd. [source]


On the solution of an initial-boundary value problem that combines Neumann and integral condition for the wave equation,

NUMERICAL METHODS FOR PARTIAL DIFFERENTIAL EQUATIONS, Issue 1 2005
Mehdi Dehghan
Abstract Numerical solution of hyperbolic partial differential equation with an integral condition continues to be a major research area with widespread applications in modern physics and technology. Many physical phenomena are modeled by nonclassical hyperbolic boundary value problems with nonlocal boundary conditions. In place of the classical specification of boundary data, we impose a nonlocal boundary condition. Partial differential equations with nonlocal boundary specifications have received much attention in last 20 years. However, most of the articles were directed to the second-order parabolic equation, particularly to heat conduction equation. We will deal here with new type of nonlocal boundary value problem that is the solution of hyperbolic partial differential equations with nonlocal boundary specifications. These nonlocal conditions arise mainly when the data on the boundary can not be measured directly. Several finite difference methods have been proposed for the numerical solution of this one-dimensional nonclassic boundary value problem. These computational techniques are compared using the largest error terms in the resulting modified equivalent partial differential equation. Numerical results supporting theoretical expectations are given. Restrictions on using higher order computational techniques for the studied problem are discussed. Suitable references on various physical applications and the theoretical aspects of solutions are introduced at the end of this article. 2004 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2005 [source]