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Efficient computation of delay differential equations with highly oscillatory terms

Marissa Condon, Alfredo Deaño, Arieh Iserles, Karolina Kropielnicka (2012)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

This paper is concerned with the asymptotic expansion and numerical solution of systems of linear delay differential equations with highly oscillatory forcing terms. The computation of such problems using standard numerical methods is exceedingly slow and inefficient, indeed standard software is practically useless for this purpose. We propose an alternative, consisting of an asymptotic expansion of the solution, where each term can be derived either by recursion or by solving a non-oscillatory...

Efficient computation of delay differential equations with highly oscillatory terms

Marissa Condon, Alfredo Deaño, Arieh Iserles, Karolina Kropielnicka (2012)

ESAIM: Mathematical Modelling and Numerical Analysis

This paper is concerned with the asymptotic expansion and numerical solution of systems of linear delay differential equations with highly oscillatory forcing terms. The computation of such problems using standard numerical methods is exceedingly slow and inefficient, indeed standard software is practically useless for this purpose. We propose an alternative, consisting of an asymptotic expansion of the solution, where each term can be derived either by recursion or by solving a non-oscillatory...

Efficient computation of delay differential equations with highly oscillatory terms

Marissa Condon, Alfredo Deaño, Arieh Iserles, Karolina Kropielnicka (2012)

ESAIM: Mathematical Modelling and Numerical Analysis

This paper is concerned with the asymptotic expansion and numerical solution of systems of linear delay differential equations with highly oscillatory forcing terms. The computation of such problems using standard numerical methods is exceedingly slow and inefficient, indeed standard software is practically useless for this purpose. We propose an alternative, consisting of an asymptotic expansion of the solution, where each term can be derived either by recursion or by solving a non-oscillatory...

Evolution equations in discrete and continuous time for nonexpansive operators in Banach spaces

Guillaume Vigeral (2010)

ESAIM: Control, Optimisation and Calculus of Variations

We consider some discrete and continuous dynamics in a Banach space involving a non expansive operator J and a corresponding family of strictly contracting operators Φ (λ, x): = λ J( 1 - λ λ x) for λ ∈ ] 0,1] . Our motivation comes from the study of two-player zero-sum repeated games, where the value of the n-stage game (resp. the value of the λ-discounted game) satisfies the relation vn = Φ( 1 n , v n - 1 ) (resp.  v λ = Φ(λ, v λ )) where J is the Shapley operator of the game. We study the evolution equation u'(t) =...

Expansion for the superheating field in a semi-infinite film in the weak- κ limit

Pierre Del Castillo (2002)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

Dorsey, Di Bartolo and Dolgert (Di Bartolo et al., 1996; 1997) have constructed asymptotic matched solutions at order two for the half-space Ginzburg-Landau model, in the weak- κ limit. These authors deduced a formal expansion for the superheating field in powers of κ 1 2 up to order four, extending the formula by De Gennes (De Gennes, 1966) and the two terms in Parr’s formula (Parr, 1976). In this paper, we construct asymptotic matched solutions at all orders leading to a complete expansion in powers...

Expansion for the superheating field in a semi-infinite film in the weak-κ limit

Pierre Del Castillo (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

Dorsey, Di Bartolo and Dolgert (Di Bartolo et al., 1996; 1997) have constructed asymptotic matched solutions at order two for the half-space Ginzburg-Landau model, in the weak-κ limit. These authors deduced a formal expansion for the superheating field in powers of κ 1 2 up to order four, extending the formula by De Gennes (De Gennes, 1966) and the two terms in Parr's formula (Parr, 1976). In this paper, we construct asymptotic matched solutions at all orders leading to a complete expansion...

Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization

Soňa Kilianová, Daniel Ševčovič (2018)

Kybernetika

In this paper we investigate the expected terminal utility maximization approach for a dynamic stochastic portfolio optimization problem. We solve it numerically by solving an evolutionary Hamilton-Jacobi-Bellman equation which is transformed by means of the Riccati transformation. We examine the dependence of the results on the shape of a chosen utility function in regard to the associated risk aversion level. We define the Conditional value-at-risk deviation ( C V a R D ) based Sharpe ratio for measuring...

Exponential expansiveness and complete admissibility for evolution families

Mihail Megan, Bogdan Sasu, Adina Luminiţa Sasu (2004)

Czechoslovak Mathematical Journal

Connections between uniform exponential expansiveness and complete admissibility of the pair ( c 0 ( , X ) , c 0 ( , X ) ) are studied. A discrete version for a theorem due to Van Minh, Räbiger and Schnaubelt is presented. Equivalent characterizations of Perron type for uniform exponential expansiveness of evolution families in terms of complete admissibility are given.

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