We consider an American call option and let C(S, T0) be the price of an option corresponding to asset price S at some time T0 prior to the expiration time TF . We analyze C(S, T0) in various asymptotic limits. These include situations where the interest and dividend rates are large or small, compared to the volatility of the asset. We also analyze the optimal exercise boundary for the option. We use perturbation methods to analyze either the PDE that C(S, T0) satisfies, or a nonlinear integral equation that is satisfied by the optimal exercise boundary.

We study functions whose time-frequency content are concentrated in a compact region in phase space using time-frequency localization operators as a main tool. We obtain approximation inequalities for such functions using a finite linear combination of eigenfunctions of these operators, as well as a local Gabor system covering the region of interest. These would allow the construction of modified time-frequency dictionaries concentrated in the region.

We investigate the effects of toxins on the multiple coexistence solutions of an unstirred chemostat model of competition between plasmid-bearing and plasmid-free organisms when the plasmid-bearing organism produces toxins. It turns out that coexistence solutions to this model are governed by two limiting systems. Based on the analysis of uniqueness and stability of positive solutions to two limiting systems, the exact multiplicity and stability of coexistence solutions of this model are established by means of the combination of the fixed-point index theory, bifurcation theory and perturbation theory.

We present a general procedure for recursively improving the invariance of a numerical integrator under a symmetry group. If h is a symmetry, we construct the adjoint method h−1h. In each time step we apply either the original method or the adjoint method, according to a prescription based on the Thue–Morse sequence. The outcome is a solution sequence which displays progressively smaller symmetry errors, to any desired order in the time-step. The method can also be used to force the solution to stay close to a desired submanifold of phase space, while retaining structural properties of the original method.

This study investigates the phenomenon of targeted energy transfer (TET) from a linear oscillator to a nonlinear attachment behaving as a nonlinear energy sink for both transient and stochastic excitations. First, the dynamics of the underlying Hamiltonian system under deterministic transient loading is studied. Assuming that the transient dynamics can be partitioned into slow and fast components, the governing equations of motion corresponding to the slow flow dynamics are derived and the behaviour of the system is analysed. Subsequently, the effect of noise on the slow flow dynamics of the system is investigated. The Itô stochastic differential equations for the noisy system are derived and the corresponding Fokker–Planck equations are numerically solved to gain insights into the behaviour of the system on TET. The effects of the system parameters as well as noise intensity on the optimal regime of TET are studied. The analysis reveals that the interaction of nonlinearities and noise enhances the optimal TET regime as predicted in deterministic analysis.

Recently Biscari, DiCarlo and Turzi [Anisotropic wave propagation in nematic liquid crystals, Soft Matter 10, 8296–8307.] proposed a theory for nematoacustics which models nematic liquid crystals as nematic elastomers with molecular relaxation. Here, we extend the analysis of this theory to account for the director motion possibly induced by the propagation of a sound wave. We find that the director vibration is related to the - usually small - anisotropy of the molecular distribution, thus providing a justification to the relative high ultrasonic intensities required to observe non-negligible acousto-optic responses.

A mushy region is assumed to consist of a fine mixture of two distinct phases separated by free boundaries. A method of multiple scales, with restrictions on the form of the microscopic free boundaries, is used to derive a macroscopic model for the mushy region. The final model depends both on the microscopic structure and on how the free-boundary temperature varies with curvature (Gibbs–Thomson effect), kinetic undercooling, or, for an alloy, composition.

This paper proposes the use of a variational framework to model fluid wetting dynamics. The central problem of infinite energy dissipation for a moving contact line is dealt with explicitly rather than by introducing a specific microscopic mechanism which removes it. We analyze this modelling approach in the context of the quasi-steady limit, where contact line motion is slower than bulk relaxation. We find that global effects enter into Tanner-type laws which relate line velocity to apparent contact angle through the role that energy dissipation plays in the bulk of the fluid. A comparison is made to the dynamics of lubrication equations that include attractive and repulsive intermolecular interactions. A Galerkin-type approximation method is introduced which leads to reduced-dimensional dynamical descriptions. Computations are conducted using these low-dimensional approximations, and a substantial connection to lubrication equation dynamics is found.

In this paper, we study consensus-based optimisation (CBO), a versatile, flexible and customisable optimisation method suitable for performing nonconvex and nonsmooth global optimisations in high dimensions. CBO is a multi-particle metaheuristic, which is effective in various applications and at the same time amenable to theoretical analysis thanks to its minimalistic design. The underlying dynamics, however, is flexible enough to incorporate different mechanisms widely used in evolutionary computation and machine learning, as we show by analysing a variant of CBO which makes use of memory effects and gradient information. We rigorously prove that this dynamics converges to a global minimiser of the objective function in mean-field law for a vast class of functions under minimal assumptions on the initialisation of the method. The proof in particular reveals how to leverage further, in some applications advantageous, forces in the dynamics without loosing provable global convergence. To demonstrate the benefit of the herein investigated memory effects and gradient information in certain applications, we present numerical evidence for the superiority of this CBO variant in applications such as machine learning and compressed sensing, which en passant widen the scope of applications of CBO.

We consider a non-stationary incompressible non-Newtonian Stokes system in a porous medium with characteristic size of the pores ϵ and containing a thin fissure of width ηϵ. The viscosity is supposed to obey the power law with flow index $\frac{5}{3}\leq q\leq 2$. The limit when size of the pores tends to zero gives the homogenized behaviour of the flow. We obtain three different models depending on the magnitude ηϵ with respect to ϵ: if ηϵ ≪ $\varepsilon^{q\over 2q-1}$ the homogenized fluid flow is governed by a time-dependent non-linear Darcy law, while if ηϵ ≫ $\varepsilon^{q\over 2q-1}$ is governed by a time-dependent non-linear Reynolds problem. In the critical case, ηϵ ≈ $\varepsilon^{q\over 2q-1}$, the flow is described by a time-dependent non-linear Darcy law coupled with a time-dependent non-linear Reynolds problem.

In both historical and modern conflicts, space plays a critical role in how interactions occur over time. Despite its importance, the spatial distribution of adversaries has often been neglected in mathematical models of conflict. In this paper, we propose an entropy-maximising spatial interaction method for disaggregating the impact of space, employing a general notion of ‘threat’ between two adversaries. This approach addresses a number of limitations that are associated with partial differential equation approaches to spatial disaggregation. We use this method to spatially disaggregate the Richardson model of conflict escalation, and then explore the resulting model with both analytical and numerical treatments. A bifurcation is identified that dramatically influences the resulting spatial distribution of conflict and is shown to persist under a range of model specifications. Implications of this finding for real-world conflicts are discussed.

New directions in Markov processes and research on master equations are showcased by example. The utility of Magnus expansions for handling time-varying rates is demonstrated. The useful notion in applied mathematics often turns out to be the pseudospectra and not simply the eigenvalues. We highlight that general principle with our own examples of Markov processes where exact eigenvalues are found and contrasted with the large errors produced by standard numerical methods. As a motivating application, isomerisation provides a running example and an illustration of our approaches to chemical kinetics. We also present a brief example of a totally asymmetric exclusion process.

Most of the results available on the inverse problem of determining loads acting on elastic beams or plates under transverse vibration refer to single beam or single plate. In this paper, we consider the determination of sources in multi-span systems obtained by connecting either two Euler–Bernoulli elastic beams or two rectangular Kirchhoff–Love elastic plates. The material of the structure is assumed to be homogeneous and isotropic. The transverse load is of the form g(t)f(x), where g(t) is a known function of time and f(x) is the unknown term depending on the position variable x. Under slight a priori assumptions, we prove a uniqueness result for f(x) in terms of observations of the dynamic response taken at interior points of the structure in an arbitrary small interval of time. A numerical implementation of the method is included to show the possible application of the results in the practical identification of the source term.

A mathematical model of the development of an oil and gas field is presented. The field development process is treated as sequential in nature. Completion of a well and its production are considered to be random processes. The model uses results from renewal theory where the completion of a well and failure to produce economical amount of oil or gas are analogous to the failure of a component. In principle, the theory described can give the complete probability distribution associated with a field development. Explicit expressions are given for the expected value and variance of the number of completed wells.

Online parameter identification in time-dependent differential equations from time course observations related to the physical state can be understood as a non-linear inverse and ill-posed problem and appears in a variety of applications in science and engineering. The feature as well as the challenge of online identification is that sensor data have to be continuously processed during the operation of the real dynamic process in order to support simulation-based decision making. In this paper we present an online parameter identification method that is based on a non-linear parameter-to-output operator and, as opposed to methods available so far, works both for finite- and infinite-dimensional dynamical systems, e.g., both for ordinary differential equations and time-dependent partial differential equations. A further advantage of the method suggested is that it renders typical restrictive assumptions such as full state observability, linear parametrisation of the underlying model and data differentiation or filtering unnecessary. Assuming existence of a solution for exact data, a convergence analysis based on Lyapunov theory is presented. Numerical illustrations given are by means of online identification both of aerodynamic coefficients in a 3DoF-longitudinal aircraft model and of a (distributed) conductivity coefficient in a heat equation.

New modulation equations for hexagonal patterns in reaction–diffusion systems are derived for parameter régimes corresponding to the onset of patterns. These systems include additional nonlinearities which are not present in Rayleigh–Bénard convection or Swift–Hohenberg type models. The dynamics of hexagonal and roll patterns are studied using a combination of analytical and computational approaches which exploit the hexagonal structure of the modulation equations. The investigation demonstrates instabilities and new phenomena not found in other systems, and is applied to patterns of flame fronts in a certain model of burner stabilized flames.

We consider an autonomous Hamiltonian system $\ddot {q}+V_q(q)=0$ in ${\bf R}^2$, where the potential $V$ has a global maximum at the origin and singularities at some points $\xi_1$, $\xi_2 \in {\bf R}^2 \setminus \{0\}$. Under some compactness conditions on $V$ at infinity and assuming a strong force type condition at the singularities, we study, using variational arguments, the existence of various types of heteroclinic and homoclinic solutions of the system.

In this paper we study some aspects of the integrability problem for polynomial vector fields $\dot{x}=P(x,y)$, $\skew1\dot{y}=Q(x,y)$. We analyze the possible existence of first integrals of the form $I(x,y)=e^{ h_1(x) \prod_{k=1}^r (y-a_k(x))/ \prod_{j=1}^s(y-f_j(x))} h_2(x)$$\prod_{i=1}^{\ell} (y-g_i(x))^{\alpha_i}$, where $g_i(x)$ and $f_j(x)$ are unknown particular solutions of $dy/dx=Q(x,y)/P(x,y)$, $\alpha_i \in \mathbb{C}$ are unknown constants, and $a_k(x)$, $h_1(x)$ and $h_2(x)$ are unknown functions. We give an algorithmic method to determine if the polynomial vector field has a first integral of the form above described. In the case when some of the particular solutions remain arbitrary and the other ones are explicitly determined or are functionally related to the arbitrary particular solutions, we will obtain a generalized nonlinear superposition principle, see [6]. In the case when all the particular solutions $g_i(x)$ and $f_j(x)$ are determined, they are algebraic functions and our algorithm gives an alternative method for determining such type of solutions.

We consider two-dimensional bubbles in a corner flow in a Hele–Shaw cell of a viscous incompressible fluid that occupies the complement to a bubble. We discuss the governing equations, some basic properties of the free interface of the bubbles, their geometry, and construct explicit solutions that present asymmetric long bubbles analogous to the famous Saffman–Taylor fingers in a wedge of arbitrary angle $\alpha\in (0,2\pi)$.

An analysis is given of brine transport through a porous medium, which incorporates the effect of volume changes due to variations in the salt concentration. Two specific situations are investigated which lead to self-similarity. We develop the existence and uniqueness theory for the corresponding ordinary differential equations, and give a number of qualitative properties of the solutions. In particular, we present an asymptotic expression for the solution in terms of the relative density difference (ρs−ρf)/ρf. Finally, we show some numerical results. It is found that the volume changes have a noticeable effect on the mass transport only when salt concentrations are large.