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.

A classical problem in free-surface hydrodynamics concerns flow in a channel, when an obstacle is placed on the bottom. Steady-state flows exist and may adopt one of three possible configurations, depending on the fluid speed and the obstacle height; perhaps the best known has an apparently uniform flow upstream of the obstacle, followed by a semiinfinite train of downstream gravity waves. When time-dependent behaviour is taken into account, it is found that conditions upstream of the obstacle are more complicated, however, and can include a train of upstream-advancing solitons. This paper gives a critical overview of these concepts, and also presents a new semianalytical spectral method for the numerical description of unsteady behaviour.

The classical model for studying one-phase Hele-Shaw flows is based on a highly nonlinear moving boundary problem with the fluid velocity related to pressure gradients via a Darcy-type law. In a standard configuration with the Hele-Shaw cell made up of two flat stationary plates, the pressure is harmonic. Therefore, conformal mapping techniques and boundary integral methods can be readily applied to study the key interfacial dynamics, including the Saffman–Taylor instability and viscous fingering patterns. As well as providing a brief review of these key issues, we present a flexible numerical scheme for studying both the standard and nonstandard Hele-Shaw flows. Our method consists of using a modified finite-difference stencil in conjunction with the level-set method to solve the governing equation for pressure on complicated domains and track the location of the moving boundary. Simulations show that our method is capable of reproducing the distinctive morphological features of the Saffman–Taylor instability on a uniform computational grid. By making straightforward adjustments, we show how our scheme can easily be adapted to solve for a wide variety of nonstandard configurations, including cases where the gap between the plates is linearly tapered, the plates are separated in time, and the entire Hele-Shaw cell is rotated at a given angular velocity.

Dye-sensitized solar cells consistently provide a cost-effective avenue for sources of renewable energy, primarily due to their unique utilization of nanoporous semiconductors. Through mathematical modelling, we are able to uncover insights into electron transport to optimize the operating efficiency of the dye-sensitized solar cells. In particular, fractional diffusion equations create a link between electron density and porosity of the nanoporous semiconductors. We numerically solve a fractional diffusion model using a finite-difference method and a finite-element method to discretize space and an implicit finite-difference method to discretize time. Finally, we calculate the accuracy of each method by evaluating the numerical errors under grid refinement.

We study the static maximization of long-term averaged profit, when optimal preset thresholds are determined to describe a pairs trading strategy in a general one-dimensional ergodic diffusion model of a stochastic spread process. An explicit formula for the expected value of a certain first passage time is given, which is used to derive a simple equation for determining the optimal thresholds. Asymptotic arbitrage in the long run of the threshold strategy is observed.

DuFort–Frankel averaging is a tactic to stabilize Richardson’s unstable three-level leapfrog timestepping scheme. By including the next time level in the right-hand-side evaluation, it is implicit, but it can be rearranged to give an explicit updating formula, thus apparently giving the best of both worlds. Textbooks prove unconditional stability for the heat equation, and extensive use on a variety of advection–diffusion equations has produced many useful results. Nonetheless, for some problems the scheme can fail in an interesting and surprising way, leading to instability at very long times. An analysis for a simple problem involving a pair of evolution equations that describe the spread of a rabies epidemic gives insight into how this occurs. An even simpler modified diffusion equation suffers from the same instability. Finally, the rabies problem is revisited and a stable method is found for a restricted range of parameter values, although no prescriptive recipe is known which selects this particular choice.

We consider the optimal portfolio and consumption problem for a jump-diffusion process with regime switching. Under the criterion of maximizing the expected discounted total utility of consumption, two methods, namely, the dynamic programming principle and the stochastic maximum principle, are used to obtain the optimal result for the general objective function, which is the solution to a system of partial differential equations. Furthermore, we investigate the power utility as a specific example and analyse the existence and uniqueness of the optimal solution. Under the constraints of no-short-selling and nonnegative consumption, closed-form expressions for the optimal strategy and the value function are derived. Besides, some comparisons between the optimal results for the jump-diffusion model and the pure diffusion model are carried out. Finally, we discuss our optimal results in some special cases.

A stochastic model predictive control (SMPC) algorithm is developed to solve the problem of three-dimensional spacecraft rendezvous and docking with unbounded disturbance. In particular, we only assume that the mean and variance information of the disturbance is available. In other words, the probability density function of the disturbance distribution is not fully known. Obstacle avoidance is considered during the rendezvous phase. Line-of-sight cone, attitude control bandwidth, and thrust direction constraints are considered during the docking phase. A distributionally robust optimization based algorithm is then proposed by reformulating the SMPC problem into a convex optimization problem. Numerical examples show that the proposed method improves the existing model predictive control based strategy and the robust model predictive control based strategy in the presence of disturbance.

We consider the explicit solution to the axisymmetric diffusion equation. We recast the solution in the form of a Mellin inversion formula, and outline a method to compute a formula for $u(r,t)$ as a series using the Cauchy residue theorem. As a consequence, we are able to represent the solution to the axisymmetric diffusion equation as a rapidly converging series.

Trachoma is an infectious disease and it is the leading cause of preventable blindness worldwide. To achieve its elimination, the World Health Organization set a goal of reducing the prevalence in endemic areas to less than $5$ % by 2020, utilizing the SAFE (surgery, antibiotics, facial cleanliness, environmental improvement) strategy. However, in Burundi, trachoma prevalences of greater than $5$ % are still reported in 11 districts and it is hypothesized that this is due to the poor implementation of the environmental improvement factor of the SAFE strategy. In this paper, a model based on an ordinary differential equation, which includes an environmental transmission component, is developed and analysed. The model is calibrated to recent field data and is used to estimate the reductions in trachoma that would have occurred if adequate environmental improvements were implemented in Burundi. Given the assumptions in the model, it is clear that environmental improvement should be considered as a key component of the SAFE strategy and, hence, it is crucial for eliminating trachoma in Burundi.

We investigate the European call option pricing problem under the fractional stochastic volatility model. The stochastic volatility model is driven by both fractional Brownian motion and standard Brownian motion. We obtain an analytical solution of the European option price via the Itô’s formula for fractional Brownian motion, Malliavin calculus, derivative replication and the fundamental solution method. Some numerical simulations are given to illustrate the impact of parameters on option prices, and the results of comparison with other models are presented.

We investigate the interaction between a singular surface and a strong shock in the self-gravitating interstellar gas clouds with the assumption of spherical symmetry. Using the method of the Lie group of transformations, a particular solution of the flow variables and the cooling–heating function for an infinitely strong shock is obtained. This paper explores an application of the singular surface theory in the evolution of an acceleration wave front propagating through an unperturbed medium. We discuss the formation of an acceleration, considering the cases of compression and expansion waves. The influence of the cooling–heating function on a shock formation is explained. The results of a collision between a strong shock and an acceleration wave are discussed using the Lax evolutionary conditions.

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.

The Fisher–Kolmogorov–Petrovsky–Piskunov (Fisher–KPP) equation is one of the prototypical reaction–diffusion equations and is encountered in many areas, primarily in population dynamics. An important consideration for the phenomena modelled by diffusion equations is the length of the diffusive process. In this paper, three definitions of the critical time are given, and bounds are obtained by a careful construction of the upper and lower solutions. The comparison functions satisfy the nonlinear, but linearizable, partial differential equations of Fisher–KPP type. Results of the numerical simulations are displayed. Extensions to some classes of reaction–diffusion systems and an application to a spatially heterogeneous harvesting model are also presented.

An advanced pantograph-type partial differential equation, supplemented with initial and boundary conditions, arises in a model of asymmetric cell division. Methods for solving such problems are limited owing to functional (nonlocal) terms. The separation of variables entails an eigenvalue problem that involves a nonlocal ordinary differential equation. We discuss plausible eigenvalues that may yield nontrivial solutions to the problem for certain choices of growth and division rates of cells. We also consider the asymmetric division of cells with linear growth rate which corresponds to “exponential growth” and exponential rate of cell division, and show that the solution to the problem is a certain Dirichlet series. The distribution of the first moment of the biomass is shown to be unimodal.

The main goal of this paper is to solve a class of Darboux problems by converting them into the two-dimensional nonlinear Volterra integral equation of the second kind. The scheme approximates the solution of these integral equations using the discrete Galerkin method together with local radial basis functions, which use a small set of data instead of all points in the solution domain. We also employ the Gauss–Legendre integration rule on the influence domains of shape functions to compute the local integrals appearing in the method. Since the scheme is constructed on a set of scattered points and does not require any background meshes, it is meshless. The error bound and the convergence rate of the presented method are provided. Some illustrative examples are included to show the validity and efficiency of the new technique. Furthermore, the results obtained demonstrate that this method uses much less computer memory than the method established using global radial basis functions.

We study some properties of integro splines. Using these properties, we design an algorithm to construct splines $S_{m+1}(x)$ of neighbouring degrees to the given spline $S_m(x)$ with degree m. A local integro-sextic spline is constructed with the proposed algorithm. The local integro splines work efficiently, that is, they have low computational complexity, and they are effective for use in real time. The construction of nonlocal integro splines usually leads to solving a system of linear equations with band matrices, which yields high computational costs.

We study finite maturity American-style stock loans under a two-state regime-switching economy. We present a thorough semi-analytic discussion of the optimal redeeming prices, the values and the fair service fees of the stock loans, under the assumption that the volatility of the underlying is in a state of uncertainty. Numerical experiments are carried out to show the effects of the volatility regimes and other loan parameters.