scholarly journals On the Derivation of a Closed-Form Expression for the Solutions of a Subclass of Generalized Abel Differential Equations

2013 ◽  
Vol 2013 ◽  
pp. 1-9
Author(s):  
Panayotis E. Nastou ◽  
Paul Spirakis ◽  
Yannis C. Stamatiou ◽  
Apostolos Tsiakalos
Keyword(s):  
Differential Equation ◽  
General Solution ◽  
Differential Equations ◽  
Closed Form ◽  
Closed Form Solution ◽  
Form Solution ◽  
Closed Form Expression ◽  
Form Expression ◽  
Abel Differential Equations ◽  
Solution Methodology

We investigate the properties of a general class of differential equations described bydy(t)/dt=fk+1(t)y(t)k+1+fk(t)y(t)k+⋯+f2(t)y(t)2+f1(t)y(t)+f0(t),withk>1a positive integer andfi(t), 0≤i≤k+1, withfi(t), real functions oft. Fork=2, these equations reduce to the class ofAbel differential equations of the first kind,for which a standard solution procedure is available. However, fork>2no general solution methodology exists, to the best of our knowledge, that can lead to their solution. We develop a general solution methodology that for odd values ofkconnects the closed form solution of the differential equations with the existence of closed-form expressions for the roots of the polynomial that appears on the right-hand side of the differential equation. Moreover, the closed-form expression (when it exists) for the polynomial roots enables the expression of the solution of the differential equation in closed form, based on the class of Hyper-Lambert functions. However, for certain even values ofk, we prove that such closed form does not exist in general, and consequently there is no closed-form expression for the solution of the differential equation through this methodology.

EXACT PRICING WITH STOCHASTIC VOLATILITY AND JUMPS

2010 ◽  
Vol 13 (06) ◽  
pp. 901-929 ◽  
Author(s):  
FERNANDA D'IPPOLITI ◽  
ENRICO MORETTO ◽  
SARA PASQUALI ◽  
BARBARA TRIVELLATO
Keyword(s):  
Closed Form ◽  
Stochastic Volatility ◽  
Closed Form Solution ◽  
Exact Algorithm ◽  
Form Solution ◽  
Closed Form Expression ◽  
Barrier Options ◽  
Form Expression ◽  
Variance Swaps ◽  
Jump Diffusion Model

A stochastic volatility jump-diffusion model for pricing derivatives with jumps in both spot return and volatility underlying dynamics is presented. This model admits, in the spirit of Heston, a closed-form solution for European-style options. The structure of the model is also suitable to explicitly obtain the fair delivery price for variance swaps. To evaluate derivatives whose value does not admit a closed-form expression, a methodology based on an "exact algorithm", in the sense that no discretization of equations is required, is developed and applied to barrier options. Goodness of pricing algorithm is tested using DJ Euro Stoxx 50 market data for European options. Finally, the algorithm is applied to compute prices and Greeks for barrier options and to determine the fair delivery prices for variance swaps.

scholarly journals On the Convergence of LHAM and its Application to Fractional Generalised Boussinesq Equations for Closed Form Solutions

2021 ◽  
pp. 25-47
Author(s):  
S. O. Ajibola ◽  
E. O. Oghre ◽  
A. G. Ariwayo ◽  
P. O. Olatunji
Keyword(s):  
Differential Equations ◽  
Closed Form ◽  
Fractional Differential Equations ◽  
Closed Form Solution ◽  
Boussinesq Equations ◽  
Approximate Solutions ◽  
Form Solution ◽  
Restrictive Assumption ◽  
Nonlinear Fractional Differential Equations ◽  
Fractional Differential

By fractional generalised Boussinesq equations we mean equations of the form \begin{equation} \Delta\equiv D_{t}^{2\alpha}-[\mathcal{N}(u)]_{xx}-u_{xxxx}=0, \: 0<\alpha\le1,\label{main}\nonumber \end{equation} where $\mathcal{N}(u)$ is a differentiable function and $\mathcal{N}_{uu}\ne0$ (to ensure nonlinearity). In this paper we lay emphasis on the cubic Boussinesq and Boussinesq-like equations of fractional order and we apply the Laplace homotopy analysis method (LHAM) for their rational and solitary wave solutions respectively. It is true that nonlinear fractional differential equations are often difficult to solve for their {\em exact} solutions and this single reason has prompted researchers over the years to come up with different methods and approach for their {\em analytic approximate} solutions. Most of these methods require huge computations which are sometimes complicated and a very good knowledge of computer aided softwares (CAS) are usually needed. To bridge this gap, we propose a method that requires no linearization, perturbation or any particularly restrictive assumption that can be easily used to solve strongly nonlinear fractional differential equations by hand and simple computer computations with a very quick run time. For the closed form solution, we set $\alpha =1$ for each of the solutions and our results coincides with those of others in the literature.

A Closed-Form Solution for Selecting Maximum Critically Damped Actuator Impedance Parameters

2014 ◽  
Vol 137 (4) ◽  
Author(s):  
Nicholas Paine ◽  
Luis Sentis
Keyword(s):  
Closed Form ◽  
Parameter Space ◽  
Real World ◽  
Closed Form Solution ◽  
System Stability ◽  
Limiting Factors ◽  
Closed Form Expression ◽  
Phase Margin ◽  
Form Expression ◽  
Feedback Parameter

This paper introduces a simple and effective method for selecting the maximum feedback gains in PD-type controllers applied to actuators where feedback delay and derivative signal filtering are present. The method provides the maximum feedback parameters that satisfy a phase margin criteria, producing a closed-loop system with high stability and a dynamic response with near-minimum settling time. Our approach is unique in that it simultaneously possesses: (1) a model of real-world performance-limiting factors (i.e., filtering and delay), (2) the ability to meet performance and stability criteria, and (3) the simplicity of a single closed-form expression. A central focus of our approach is the characterization of system stability through exhaustive searches of the feedback parameter space. Using this search-based method, we locate a set of maximum feedback parameters based on a phase margin criteria. We then fit continuous equations to this data and obtain a closed-form expression which matches the sampled data to within 2–4% error for the majority of the parameter space. We apply our feedback parameter selection method to two real-world actuators with widely differing system properties and show that our method successfully produces the maximum achievable nonoscillating impedance response.

A note on the summation of divergent power series

1969 ◽  
Vol 66 (1) ◽  
pp. 109-114 ◽  
Author(s):  
R. E. Scraton
Keyword(s):  
Power Series ◽  
Differential Equations ◽  
Closed Form ◽  
Closed Form Solution ◽  
Form Solution ◽  
Severe Restriction ◽  
Mathematical Problems ◽  
Divergent Power Series ◽  
Euler Transformation ◽  
Direct Use

Many mathematical problems which do not yield a closed-form solution admit of a solution in the form of a power series; differential equations are an obvious example. The direct use of this power series is limited to the interior of its circle of convergence, and this places a restriction—often a severe restriction—on its usefulness. The method described in this paper enables this restriction to be alleviated in many cases; it also enables the convergence of a power series within its circle of convergence to be improved. The method is based on the Euler transformation.

scholarly journals Exact Solution of Ambartsumian Delay Differential Equation and Comparison with Daftardar-Gejji and Jafari Approximate Method

Mathematics ◽  
2018 ◽  
Vol 6 (12) ◽  
pp. 331 ◽  
Author(s):  
Huda Bakodah ◽  
Abdelhalim Ebaid
Keyword(s):  
Differential Equation ◽  
Closed Form ◽  
Closed Form Solution ◽  
Approximate Solutions ◽  
Form Solution ◽  
Proportional Delay ◽  
Delay Term ◽  
The Laplace Transform ◽  
Linear Differential ◽  
Delay Differential

The Ambartsumian equation, a linear differential equation involving a proportional delay term, is used in the theory of surface brightness in the Milky Way. In this paper, the Laplace-transform was first applied to this equation, and then the decomposition method was implemented to establish a closed-form solution. The present closed-form solution is reported for the first time for the Ambartsumian equation. Numerically, the calculations have demonstrated a rapid rate of convergence of the obtained approximate solutions, which are displayed in several graphs. It has also been shown that only a few terms of the new approximate solution were sufficient to achieve extremely accurate numerical results. Furthermore, comparisons of the present results with the existing methods in the literature were introduced.

A Closed-Form Solution for the Global Quadratic Hedging of Options under Geometric Gaussian Random Walks

2019 ◽  
Keyword(s):  
Closed Form ◽  
Recursive Algorithm ◽  
Closed Form Solution ◽  
Form Solution ◽  
Closed Form Expression ◽  
Problem Solution ◽  
Underlying Asset ◽  
Quadratic Hedging ◽  
Hedging Problem ◽  
The Impact

This study obtains a closed-form solution for the discrete-time global quadratic hedging problem of Schweizer (1995) applied to vanilla European options under the geometric Gaussian random walk model for the underlying asset. This extends the work of Rémillard and Rubenthaler (2013), who obtained closed-form formulas for some components of the hedging problem solution. Coefficients embedded in the closed-form expression can be computed either directly or through a recursive algorithm. The author also presents a brief sensitivity analysis to determine the impact of the underlying asset drift and the hedging portfolio rebalancing frequency on the optimal hedging capital and the initial hedge ratio.

Pascal's recurrence relation and even-aged-forest stand dynamics

1992 ◽  
Vol 22 (12) ◽  
pp. 1996-1999
Author(s):  
Rolfe A. Leary ◽  
Hien Phan ◽  
Kevin Nimerfro
Keyword(s):  
Differential Equation ◽  
Relative Density ◽  
Closed Form ◽  
Initial Conditions ◽  
Closed Form Solution ◽  
Integral Form ◽  
Forest Stand ◽  
Form Solution ◽  
Density Change ◽  
Stand Dynamics

A common method of modelling forest stand dynamics is to use permanent growth plot remeasurements to calibrate a whole-stand growth model expressed as an ordinary differential equation. To obtain an estimate of future conditions, either the differential equation is integrated numerically or, if analytic, the differential equation is solved in closed form. In the latter case, a future condition is obtained simply by evaluating the integral form for the age of interest, subject to appropriate initial conditions. An older method of modelling forest stand dynamics was to use a normal or near-normal yield table as a density standard and calibrate a relative density change equation from permanent plot remeasurements. An estimate of a future stand property could be obtained by iterating from a known initial relative density. In this paper we show that when the relative density change equation has a particular form, the historical method also has a closed form solution, given by a sequence of polynomials with coefficients from successive rows of Pascal's arithmetic triangle.

A Closed-Form Solution for the Eshelby Tensor and the Elastic Field Outside an Elliptic Cylindrical Inclusion

2011 ◽  
Vol 78 (3) ◽  
Author(s):  
Xiaoqing Jin ◽  
Leon M. Keer ◽  
Qian Wang
Keyword(s):  
Closed Form ◽  
Closed Form Solution ◽  
Elastic Field ◽  
Form Solution ◽  
Eshelby Tensor ◽  
Cylindrical Inclusion ◽  
Closed Form Expression ◽  
Equivalent Inclusion Method ◽  
Explicit Analytical Solution ◽  
Present Solution

From the analytical formulation developed by Ju and Sun [1999, “A Novel Formulation for the Exterior-Point Eshelby’s Tensor of an Ellipsoidal Inclusion,” ASME Trans. J. Appl. Mech., 66, pp. 570–574], it is seen that the exterior point Eshelby tensor for an ellipsoid inclusion possesses a minor symmetry. The solution to an elliptic cylindrical inclusion may be obtained as a special case of Ju and Sun’s solution. It is noted that the closed-form expression for the exterior-point Eshelby tensor by Kim and Lee [2010, “Closed Form Solution of the Exterior-Point Eshelby Tensor for an Elliptic Cylindrical Inclusion,” ASME Trans. J. Appl. Mech., 77, p. 024503] violates the minor symmetry. Due to the importance of the solution in micromechanics-based analysis and plane-elasticity-related problems, in this work, the explicit analytical solution is rederived. Furthermore, the exterior-point Eshelby tensor is used to derive the explicit closed-form solution for the elastic field outside the inclusion, as well as to quantify the elastic field discontinuity across the interface. A benchmark problem is used to demonstrate a valuable application of the present solution in implementing the equivalent inclusion method.

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