Stochastic di®erential equations (SDEs) are　central to much of modern finance theory and have been widely used to model the behaviour of key variables such as the　instantaneous short-term interest rate, asset prices, asset returns and their volatility.　The explanatory and/or predictive...

Many stochastic differential equations (SDEs) do not have readily available closed-form expressions for their transitional probability density functions (PDFs). As a result, a large number of competing estimation approaches have been proposed in order to obtain maximum-likelihood estimates of...

The effect of natural frequency in dynamic load is an important factor because when the natural frequency is small or closed to zero the beam goes to failure. In this paper the theoretical, finite element and experimental models are presented to explain the effect of dimension and supported end...

Finite element methods are described for valuing lookback options under stochastic volatility. Particular attention is paid to the method for handling the boundary equations. For some boundaries, the equations reduce to first-order hyperbolic equations which must be discretized to ensure that...

This paper analyzes numerically a long-term average stochastic control problem involving a controlled diffusion on a bounded region. The solution technique takes advantage of an infinite-dimensional linear programming formulation for the problem which relates the stationary measures to the...

Thermal energy storage technologies can facilitate the transition to an energy system based largely on renewable sources and enable efficiency gains for industrial processes in general. Due to their specific advantages, various concepts of thermo-chemical storage systems are being developed....

Thermochemical energy storage can play an important role in the establishment of a reliable renewable energy supply and can increase the efficiency of industrial processes. The application of directly permeated reactive beds leads to strongly coupled mass and heat transport processes that also...

The objective of this study is to show the temperature distribution development in the borehole of the ground-coupled heat pump systems (GCHPs) with time. The time interval for the study is 48h. The vertical GCHP system using R-22 as refrigerant has a three single U-tube ground heat exchanger...

We deal with the problem of constructing and/or approximating some curves and surfaces from a noisy data set. The main objective here is to adapt the theory of the discrete smoothing variational splines [A. Kouibia, M. Pasadas, Approximation by discrete variational splines, J. Comput. Appl....

In this study, we present numerical methods, based on the optimal quadratic spline collocation (OQSC) methods, for solving the shallow water equations (SWEs) in spherical coordinates. The error associated with quadratic spline interpolation is fourth order locally at certain points and third...