A general discrete multi-dimensional and multi-state random walk model is proposed to describe the phenomena of diffusion in media with multiple diffusivities. The model is a generalization of a two-state one-dimensional discrete random walk model (Hill [8]) which gives rise to the partial differential equations of double diffusion. The same partial differential equations are shown to emerge as a special case of the continuous version of the present general model. For two states a particular generalization of the model given in [8] is presented which is not restricted to nearest neighbour transitions. Under appropriate circumstances this two-state model still yields the partial differential equations of double diffusion in the continuum limit, but an example of circumstances leading to a radically different continuum limit is presented.

A hybrid asymptotic-numerical method is developed to approximate the mean first passage time (MFPT) and the splitting probability for a Brownian particle in a bounded two-dimensional (2D) domain that contains absorbing disks, referred to as “traps”, of asymptotically small radii. In contrast to previous studies that required traps to be spatially well separated, we show how to readily incorporate the effect of a cluster of closely spaced traps by adapting a recently formulated least-squares approach in order to numerically solve certain local problems for the Laplacian near the cluster. We also provide new asymptotic formulae for the MFPT in 2D spatially periodic domains where a trap cluster is centred at the lattice points of an oblique Bravais lattice. Over all such lattices with fixed area for the primitive cell, and for each specific trap set, the average MFPT is smallest for a hexagonal lattice of traps.

We derive an analytical approximation for the price of a credit default swap (CDS) contract under a regime-switching Black–Scholes model. To achieve this, we first derive a general formula for the CDS price, and establish the relationship between the unknown no-default probability and the price of a down-and-out binary option written on the same reference asset. Then we present a two-step procedure: the first step assumes that all the future information of the Markov chain is known at the current time and presents an approximation for the conditional price under a time-dependent Black–Scholes model, based on which the second step derives the target option pricing formula written in a Fourier cosine series. The efficiency and accuracy of the newly derived formula are demonstrated through numerical experiments.

We present an efficient, accurate computational method for a coordinate-free model of flame front propagation of Frankel and Sivashinsky. This model allows for overturned flames fronts, in contrast to weakly nonlinear models such as the Kuramoto–Sivashinsky equation. The numerical procedure adapts the method of Hou, Lowengrub and Shelley, derived for vortex sheets, to this model. The result is a nonstiff, highly accurate solver which can handle fully nonlinear, overturned interfaces, with similar computational expense to methods for weakly nonlinear models. We apply this solver both to simulate overturned flame fronts and to compare the accuracy of Kuramoto–Sivashinsky and coordinate-free models in the appropriate limit.

This paper is concerned with the oscillation of first-order delay differential equations

where p(t) and τ(t) are piecewise continuous and nonnegative functions and τ(t) is non-decreasing. A new oscillation criterion is obtained.

This paper examines the predictions of shallow water theory for steady and unsteady withdrawal flows through an extended sink from fluid of finite depth. Two-dimensional plane flows and three-dimensional axi-symmetric flow through a circular drain are examined. Shallow water theory indicates the presence of limiting configurations, where the surface of the fluid collapses directly into the sink. In addition, this theory suggests that some previously computed steady solutions may be unstable.

Using geometric quantization, and accepting the quantum Hamiltonian of previous authors, we propose some candidate formulae for the quantum operator of an observable which is a quadratic form in the momenta.

This paper presents a short survey of convergence results and properties of the Lebesgue function λm,n(x) for(0, 1, …, m)Hermite-Fejér interpolation based on the zeros of the nth Chebyshev polynomial of the first kind. The limiting behaviour as n → ∞ of the Lebesgue constant Λm,n = max{λm,n(x): −1 ≤ x ≤ 1} for even m is then studied, and new results are obtained for the asymptotic expansion of Λm,n. Finally, graphical evidence is provided of an interesting and unexpected pattern in the distribution of the local maximum values of λm,n(x) if m ≥ 2 is even.

In earlier papers (Parts I and II) existence and uniqueness of the solutions to a coupled pair of nonlinear elliptic partial differential equations with linear boundary conditions was considered. These equations arise when material is undergoing an exothermic chemical reaction which is sustained by the diffusion of a reactant. In this paper we establish the existence of multiple solutions for many different values of the parameters not considered in the earlier parts. It is shown that the case, also omitted in earlier parts, with perfect thermal and mass transfer on the boundary (the double-Dirichlet case) does have a unique solution for sufficiently large values of the exothermicity or an equivalent parameter. The methods of solution provide specific bounds on the region of existence of multiple solutions.

Using a semi-inverse method proposed by Wright the reflection of a finite elastic plane shock wave at a plane boundary of a special elastic incompressible material is examined. Three types of boundary conditions are considered. In the case of frictionless-rigid boundary the reflected wave is a single simple wave. For clamped boundary the solution indicates a possibility of irregular reflection as well. There is no reflection solution in the case of a free boundary.

The reduction of an important class of triple integral equations to a pair of simultaneous Fredholm equations has been carried out by Cooke [1]. In this paper, Cooke's equations are transformed to new uncoupled Fredholm equations which, for certain important cases, are shown to be simpler than Cooke's and also superior for the purposes of solution by iteration.

Within the scope of Eringen's linearised micropolar theory, this note outlines a solution for the stress concentration around an elliptic hole in an infinite plate under axial tension.

The problem of heat transfer in a duct or tube for large values of the Péclet number has traditionally been solved by assuming that diffusion in the axial direction is negligible. This approach was used by Graetz [2] for the circular tube and by Prins et al [5] for the flat duct to obtain a series solution for downstream temperature field.

Since these series converge very slowly in the neighbourhood of the origin, some other approach is necessary in the thermal entrance region. This was supplied by Lévêque [3] and extended by Mercer [4] who matched the Lévêque solution to the eigenfunction expansion.

In all these solutions it was assumed that the axial diffusion of heat was negligible, but this assumption is invalid close to the discontinuity, since in this region the axial temperature gradient is large and the fluid velocity is small, so that axial diffusion plays an important role.

In this paper, the assumptions implicit in Lévêque's solution are re-examined, and the correct approximation in the neighbourhood of the discontinuity as well as the solution which matches this into Lévêque's solution are presented. In the first of these solutions, diffusion is the only heat-transfer mechanism, while in the matching solution diffusion and convection are in balance.

The corresponding solutions for the case of prescribed flux on the boundary are also considered.

A method based on the method of images is described for the solution of the linear equation modelling diffusion and elimination of substrate in a fluid flowing through a chemical reactor of finite length, when the influx of substrate is prescribed at the point of entry and Danckwerts' zero-gradient condition is imposed at the point of exit. The problem is shown to be transformable to an equivalent problem in heat conduction. Associated with the images appearing in the method of solution is a sequence of functions which form a vector space carrying a representation of the Lie group SO(2, 1) generated by three third-order differential operators. The functions are eigenfunctions of one of these operators, with integer-spaced eigenvalues, and they satisfy a third-order recurrence relation which simplifies their successive determination, and hence the determination of the Green's function for the problem, to any desired degree of approximation. Consequently, the method has considerable computational advantages over commonly used methods based on the use of Laplace and related transforms. Associated with these functions is a sequence of polynomials satisfying the same third-order differential equation and recurrence relation. The polynomials are shown to bear a simple relationship to Laguerre polynomials and to satisfy the ordinary diffusion equation, for which SO(2, 1) is therefore revealed as an invariance group. These diffusion polynomials are distinct from the well-known heat polynomials, but a relationship between them is derived. A generalised set of diffusion polynomials, based on the associated Laguerre polynomials, is also described, having similar properties.

In 1962 Lakshmikantham ([1], [2]) extended the concept of extreme stability (e.g. [4]) of a system described by an ordinary differential equation, not necessarily with uniqueness, to relative stability of two such systems. Here we show the restrictiveness of his definition of relative stability in that it implies not only are the solutions of two systems unique for each initial condition, they are in fact identical. We then introduce and give an example of a weaker version of relative stability which is of some interest for control systems. For greater simplicity and generality we use Roxin's attainability set defined General Control Systems [3] to describe the dynamics of our systems, as they subsume both ordinary differential equations without uniqueness and ordinary differential control equations.

The foliage density equation is the means by which the foliage density g in a leaf canopy, as a function of the angle of inclination of the leaves, is to be estimated from discrete data gathered using photometric methods or point quadrats. It is an integral equation relating f, a function of angle estimated from measurements, to the unknown function g. The explicit formula for g is known and depends upon f and its first three derivatives; the operator f →, g is unbounded, and the problem is ill posed.

In this paper we give the form of g when f is a trigonometric polynomial, extending earlier results due to J. R. Philip. This provides a means of estimating g without directly estimating the derivatives of f from numerical data. To assess the reliability of the method we discuss the convergence of Fourier series representations of f and g.

In a paper which appeared in this journal, Manocha and Sharma [6] obtained some results of Carlitz [4], Halim and Salain [5] and generalized a few of them by using fractional derivatives. The present paper is concerned with some erroneous results of this paper [6]. Many more sums of the product of hypergeometric polynomials are also obtained.

We consider families of general two-point quadrature formulae, using the extension of Montgomery’s identity via Taylor’s formula. The formulae obtained are used to present a number of inequalities for functions whose derivatives are from Lp spaces and Bullen-type inequalities.

This paper investigates American puts on a dividend-paying underlying whose volatility is a function of both time and underlying asset price. The asymptotic behaviour of the critical price near expiry is deduced by means of singular perturbation methods. It turns out that if the underlying dividend is greater than the risk-free interest rate, the behaviour of the critical price is parabolic, otherwise an extra logarithmic factor appears, which is similar to the constant volatility case. The results of this paper complement numerical approaches used to calculate the option values and the optimal exercise price at times that are not close to expiry.

In this paper we establish some generalizations of a weighted trapezoidal inequality for monotonic functions and give several applications for the r-moments, the expectation of a continuous random variable and the Beta and Gamma functions.