We discuss a mathematical model for optimal cash management. A firm wishes to manage cash to meet demands for daily operations, and to maximize terminal wealth via bank deposits and stock investments that pay dividends and have uncertain capital gains. A Stochastic Volatility (SV) model is adopted for the capital gains rate of a stock, providing a more realistic way to describe its price dynamics. The cash management problem is formulated as a stochastic optimal control problem, and solved numerically using dynamic programming. We analyze the implications of the heteroscedasticity described by the SV model for evaluating risk, by comparing the terminal wealth arising from the SV model to that obtained from a Constant Volatility (CV) model.

Multivariate Markov chain models have previously been proposed in for studying dependent multiple categorical data sequences. For a given multivariate Markov chain model, an important problem is to study its joint stationary distribution. In this paper, we use two techniques to present some perturbation bounds for the joint stationary distribution vector of a multivariate Markov chain with s categorical sequences. Numerical examples demonstrate the stability of the model and the effectiveness of our perturbation bounds.

A new hybrid variational model for recovering blurred images in the presence of multiplicative noise is proposed. Inspired by previous work on multiplicative noise removal, an I-divergence technique is used to build a strictly convex model under a condition that ensures the uniqueness of the solution and the stability of the algorithm. A split-Bregman algorithm is adopted to solve the constrained minimisation problem in the new hybrid model efficiently. Numerical tests for simultaneous deblurring and denoising of the images subject to multiplicative noise are then reported. Comparison with other methods clearly demonstrates the good performance of our new approach.

A non-semisimple matrix loop algebra is presented, and a class of zero curvature equations over this loop algebra is used to generate bi-integrable couplings. An illustrative example is made for the Dirac soliton hierarchy. Associated variational identities yield bi-Hamiltonian structures of the resulting bi-integrable couplings, such that the hierarchy of bi-integrable couplings possesses infinitely many commuting symmetries and conserved functionals.

Directly after the Great East Japan disaster, various acts for mutual aid among victims and also between victims and non-victims spread out in different places throughout Japan. This paper presents a mathematical formulation of social capital regarded as existing as the background to these actions, with application to refuge phenomena in the aftermath of the accident at the Fukushima Daiichi Nuclear Plant.

The solution of the pressure Poisson equation in spherical polar coordinates using a higher order compact (HOC) scheme effectively captures low pressure values in the wake region for viscous flow past a sphere. In the absence of an exact solution, the fourth-order of accuracy of the results is illustrated. Low pressure circular contours occur in the wake region when the Reynolds number Re = 161, which is a lower value than previously identified in the literature, and closed pressure contours appear in two regions when Re = 250.

A spectral-element method is developed to solve the scattering problem for time-harmonic sound waves due to an obstacle in an homogeneous compressible fluid. The method is based on a boundary perturbation technique coupled with an efficient spectral-element solver. Extensive numerical results are presented, in order to show the accuracy and stability of the method.

The numerical solution of a parabolic Volterra integro-differential equation with a memory term on a one-dimensional unbounded spatial domain is considered. A quasi-wavelet based numerical method is proposed to handle the spatial discretisation, the Crank-Nicolson scheme is used for the time discretisation, and second-order quadrature to approximate the integral term. Some numerical examples are presented to illustrate the efficiency and accuracy of this approach.

Free boundary problems with nonlinear diffusion occur in various applications, such as solidification over a mould with dissimilar nonlinear thermal properties and saturated or unsaturated absorption in the soil beneath a pond. In this article, we consider a novel inverse problem where a free boundary is determined from the mass/energy specification in a well-posed one-dimensional nonlinear diffusion problem, and a stability estimate is established. The problem is recast as a nonlinear least-squares minimisation problem, which is solved numerically using the lsqnonlin routine from the MATLAB toolbox. Accurate and stable numerical solutions are achieved. For noisy data, instability is manifest in the derivative of the moving free surface, but not in the free surface itself nor in the concentration or temperature.

The Bay of Bengal is surrounded by coastline except to the south, where there is open sea. The coastline bends most sharply along the coast of Bangladesh, and there are many small and large islands in the off shore region there. In order to incorporate the island boundaries and the curved coastline properly, in any numerical scheme it is often necessary to consider a very fine grid resolution along the coastal belts whereas this is unnecessary away from the coasts. However, a very fine resolution involves more memory and more CPU time in the numerical solution process, and invites numerical instability. On the other hand, boundary-fitted curvilinear grids in hydrodynamic models for coastal seas, bays and estuaries not only fit to the coastline but also render the finite difference schemes simpler and more accurate. In this article, the boundary-fitted curvilinear grids for the model represent the complete boundary of the area considered by four curves defined by four functions, and the four boundaries of two of the larger islands are then represented approximately by two general functions. An appropriate independent coordinate transformation maps the curvilinear physical area to a square domain, and each island boundary is transformed to a rectangle within this square domain. The vertically integrated shallow water equations are transformed to the new space domain, and solved by a regular explicit finite difference scheme. The model is applied to compute the water levels due to astronomical tides, and also the water levels due to surges associated with tropical storms that hit the coast of Bangladesh.

A Stefan problem is a free boundary problem where a phase boundary moves as a function of time. In this article, we consider one-dimensional and two-dimensional enthalpy-formulated Stefan problems. The enthalpy formulation has the advantage that the governing equations stay the same, regardless of the material state (liquid or solid). Numerical solutions are obtained by implementing the Godunov method. Our simulation of the temperature distribution and interface position for the one-dimensional Stefan problem is validated against the exact solution, and the method is then applied to the two-dimensional Stefan problem with reference to cryosurgery, where extremely cold temperatures are applied to destroy cancer cells. The temperature distribution and interface position obtained provide important information to control the cryosurgery procedure.

In this article, a fully discrete finite element approximation is investigated for constrained parabolic optimal control problems with time-dependent coefficients. The spatial discretisation invokes finite elements, and the time discretisation a nonstandard backward Euler method. On introducing some appropriate intermediate variables and noting properties of the L2 projection and the elliptic projection, we derive the superconvergence for the control, the state and the adjoint state. Finally, we discuss some numerical experiments that illustrate our theoretical results.

An efficient numerical method is proposed for the solution of Love's integral equation

where c > 0 is a small parameter, by using a sinc Nyström method based on a double exponential transformation. The method is derived using the property that the solution ƒ(x) of Love's integral equation satisfies ƒ (x) → 0.5 for x ∈ (−1, 1) when the parameter c → 0. Numerical results show that the proposed method is very efficient.

In this article, we derive a new fourth-order finite difference formula based on off-step discretisation for the solution of two-dimensional nonlinear triharmonic partial differential equations on a 9-point compact stencil, where the values of u,(∂2u/∂n2) and (∂4u/∂n4) are prescribed on the boundary. We introduce new ways to handle the boundary conditions, so there is no need to discretise the boundary conditions involving the partial derivatives. The Laplacian and biharmonic of the solution are obtained as a by-product of our approach, and we only need to solve a system of three equations. The new method is directly applicable to singular problems, and we do not require any fictitious points for computation. We compare its advantages and implementation with existing basic iterative methods, and numerical examples are considered to verify its fourth-order convergence rate.

A recursive scheme is proposed for identifying a single input single output (SISO) Wiener-Hammerstein system, which consists of two linear dynamic subsystems and a sandwiched nonparametric static nonlinearity. The first linear block is assumed to be a finite impulse response (FIR) filter and the second an infinite impulse response (IIR) filter. By letting the input be a sequence of mutually independent Gaussian random variables, the recursive estimates for coefficients of the two linear blocks and the value of the static nonlinear function at any fixed given point are proven to converge to the true values, with probability one as the data size tends to infinity. The static nonlinearity is identified in a nonparametric way and no structural information is directly used. A numerical example is presented that illustrates the theoretical results.

Given two n × n matrices A and A0 and a sequence of subspaces with dim the k-th subspace-projected approximated matrix Ak is defined as Ak = A + Πk(A0 − A)Πk, where Πk is the orthogonal projection on . Consequently, Akν = Aν and ν*Ak = ν*A for all Thus is a sequence of matrices that gradually changes from A0 into An = A. In principle, the definition of may depend on properties of Ak, which can be exploited to try to force Ak+1 to be closer to A in some specific sense. By choosing A0 as a simple approximation of A, this turns the subspace-approximated matrices into interesting preconditioners for linear algebra problems involving A. In the context of eigenvalue problems, they appeared in this role in Shepard et al. (2001), resulting in their Subspace Projected Approximate Matrix method. In this article, we investigate their use in solving linear systems of equations Ax = b. In particular, we seek conditions under which the solutions xk of the approximate systems Akxk = b are computable at low computational cost, so the efficiency of the corresponding method is competitive with existing methods such as the Conjugate Gradient and the Minimal Residual methods. We also consider how well the sequence (xk)k≥0 approximates x, by performing some illustrative numerical tests.

We propose and analyse a class of fully discrete schemes for the Cahn-Hilliard equation with Neumann boundary conditions. The schemes combine large-time step splitting methods in time and spectral element methods in space. We are particularly interested in analysing a class of methods that split the original Cahn-Hilliard equation into lower order equations. These lower order equations are simpler and less computationally expensive to treat. For the first-order splitting scheme, the stability and convergence properties are investigated based on an energy method. It is proven that both semi-discrete and fully discrete solutions satisfy the energy dissipation and mass conservation properties hidden in the associated continuous problem. A rigorous error estimate, together with numerical confirmation, is provided. Although not yet rigorously proven, higher-order schemes are also constructed and tested by a series of numerical examples. Finally, the proposed schemes are applied to the phase field simulation in a complex domain, and some interesting simulation results are obtained.

A quadratic optimal control problem governed by parabolic equations with integral constraints is considered. A fully discrete finite element scheme is constructed for the optimal control problem, with finite elements for the spatial but the backward Euler method for the time discretisation. Some superconvergence results of the control, the state and the adjoint state are proved. Some numerical examples are performed to confirm theoretical results.

In this paper, stabilized Crank-Nicolson/Adams-Bashforth schemes are presented for the Allen-Cahn and Cahn-Hilliard equations. It is shown that the proposed time discretization schemes are either unconditionally energy stable, or conditionally energy stable under some reasonable stability conditions. Optimal error estimates for the semi-discrete schemes and fully-discrete schemes will be derived. Numerical experiments are carried out to demonstrate the theoretical results.

We develop an unconditionally energy stable immersed boundary method, and apply it to simulate 2D vesicle dynamics. We adopt a semi-implicit boundary forcing approach, where the stretching factor used in the forcing term can be computed from the derived evolutional equation. By using the projection method to solve the fluid equations, the pressure is decoupled and we have a symmetric positive definite system that can be solved efficiently. The method can be shown to be unconditionally stable, in the sense that the total energy is decreasing. A resulting modification benefits from this improved numerical stability, as the time step size can be significantly increased (the severe time step restriction in an explicit boundary forcing scheme is avoided). As an application, we use our scheme to simulate vesicle dynamics in Navier-Stokes flow.