In this paper we study a system of delay differential equations from the viewpoint of a finite time blow-up of the solution. We prove that the system admits blow-up solutions, no matter how small the length of the delay is. In the non-delay system every solution approaches to a stable unit circle in the plane, thus time delay induces blow-up of solutions, which we call “delay-induced blow-up” phenomenon

In this paper, we study arbitrage theory in a basic multi-period market model. Malamud and Trubowitz (Math Financ Econ 1(2): 129–161, 2007) used an aggregate state-price deflator and an orthogonal projection onto the payoff subspace to describe the recursive structure of optimal consumption streams. We present explicit expressions of these instruments. We also prove that the density process of a unique

We propose an adaptive and explicit Runge–Kutta–Fehlberg method coupled with a fourth-order compact scheme to solve the American put options problem. First, the free boundary problem is converted into a system of partial differential equations with a fixed domain by using logarithm transformation and taking additional derivatives. With the addition of an intermediate function with a fixed free boundary

Consider a generalized bidimensional continuous-time risk model with heavy-tailed claims and Brownian perturbations, in which the claim sizes from each line of business are dependent according to the dependence structure first proposed by [12] and later generalized by [21], while the claim-number processes from different lines of business are almost arbitrarily dependent. Under the assumption that

Discontinuous Galerkin (DG) methods are extensions of the usual Galerkin finite element methods. Although there are vast amount of studies on DG methods, most of them have assumed shape-regularity conditions on meshes for both theoretical error analysis and practical computations. In this paper, we present a new symmetric interior penalty DG scheme with a modified penalty term. We show that, without

A Correction to this paper has been published: https://doi.org/10.1007/s13160-021-00467-x

Hemodialysis procedure is usually advisable for end-stage renal disease patients. This study is aimed at computational investigation of hemodynamical characteristics in three-dimensional arteriovenous shunt for hemodialysis, for which computed tomography scanning and phase-contrast magnetic resonance imaging are used. Several hemodynamical characteristics are presented and discussed depending on the

In this paper, we investigate a fully nonlinear evolutionary Hamilton–Jacobi–Bellman (HJB) parabolic equation utilizing the monotone operator technique. We consider the HJB equation arising from portfolio optimization selection, where the goal is to maximize the conditional expected value of the terminal utility of the portfolio. The fully nonlinear HJB equation is transformed into a quasilinear parabolic

In this paper, we propose a preconditioned modified positive/negative-stable splitting (PMPNS) iteration method to solve complex symmetric indefinite linear system more efficiently. By analyzing the convergence of the PMPNS iteration method and discussing the spectral properties of the PMPNS iteration method, we construct a new preconditioner to make the eigenvalues of the coefficient matrix more aggregated

Nine kinds of general solutions of certain popular first-order ordinary differential equation are obtained by direct calculations. Compared with complete discrimination system for polynomials, our classifications of solutions straightly depend on the coefficients of the ordinary differential equation and hence are easier to be employed. According to the nine kinds of solutions, we establish thirty

Based on the relaxed alternating positive semi-definite splitting (RAPSS) preconditioner, in this paper, a new preconditioner, called variant of relaxed alternating positive semi-definite splitting (VRAPSS) preconditioner, is presented and discussed. Spectral properties of the VRAPSS preconditioned matrix are analyzed in detail. Numerical experiments are provided to verify the efficiency of the VRAPSS

In this paper, for solving horizontal nonlinear complementarity problem (HNCP), a two-step modulus-based matrix splitting iteration method is established. The convergence analysis of the proposed method is presented. Numerical examples are reported to show the efficiency of the proposed method.

Discrete tomography deals with problems of determining shape of a discrete object from a set of projections. In this paper, we deal with a fundamental problem in discreet tomography: reconstructing a discrete object in \(\mathbb {R}^3\) from its orthogonal projections, which we call three-dimensional discrete tomography. This problem has been mostly studied under the assumption that complete data of

In this paper, an improved preconditioner for 2 \(\times \) 2 block linear system, which arises from complex linear system, is proposed. Some properties of the preconditioned matrix, including the distribution of eigenvalues and eigenvectors and an upper bound of the minimum polynomial degree, are studied. Finally, numerical examples are given to show the efficiency of the proposed preconditioner.

Low-rank approximation by QR decomposition with pivoting (pivoted QR) is known to be less accurate than singular value decomposition (SVD); however, the calculation amount is smaller than that of SVD. The least upper bound of the ratio of the truncation error, defined by \(\Vert A-BC\Vert _2\), using pivoted QR to that using SVD is proved to be \(\sqrt{\frac{4^k-1}{3}(n-k)+1}\) for \(A\in {\mathbb

The Krylov subspace method has been investigated and refined for approximating the behaviors of finite or infinite dimensional linear operators. It has been used for approximating eigenvalues, solutions of linear equations, and operator functions acting on vectors. Recently, for time-series data analysis, much attention is being paid to the Krylov subspace method as a viable method for estimating the

Many studies have been devoted to develop and improve the iterative methods for solving convex constraint nonlinear equations problem (CCP). Based on the projection technique, we introduce a derivative-free method for approximating the solution of CCP. The proposed method is suitable for solving large-scale nonlinear equations due to its lower storage requirements. The directions generated by the proposed

The rule 184 fuzzy cellular automaton is regarded as a mathematical model of traffic flow because it contains the two fundamental traffic flow models, the rule 184 cellular automaton and the Burgers equation, as special cases. We show that the fundamental diagram (flux–density diagram) of this model consists of three parts: a free-flow part, a congestion part and a two-periodic part. The two-periodic

In order to assure the concealment by cryptographic protocols, it is an effective measure to prove the concealment in a formal logical system. In the contemporary context of cryptographic protocol, the concealment has to be proved by using probability theory. There are several concepts of concealment in probability theory. One of them is Bayesian concealment. This study proposes a formal logical system

We investigate the piecewise linear nonconforming Crouzeix–Raviart and the lowest order Raviart–Thomas finite-element methods for the Poisson problem on three-dimensional anisotropic meshes. We first give error estimates of the Crouzeix–Raviart and the Raviart–Thomas finite-element approximate problems. We next present the equivalence between the Raviart–Thomas finite-element method and the enriched

In this paper, we propose a numerical method for one-dimensional Fredholm integral equations of the second kind by the IMT-type DE rules for numerical integration. We obtain our method by enhancing the DE-Nyström method by replacing the DE rule used for discretizing the integral operator with the IMT-type DE rules. It is free of the difficulty of parameter tuning, that is, the problem of choosing the

In this paper, an inverse problem of recovering the unknown space-dependent source term in a parabolic equation under a final overdetermination condition is considered. To keep matters simple, in our analysis the main problem has been considered in the one-dimensional case, however the proposed method can be applied for higher dimensional cases. The approximate solution of the inverse problem is implemented

This paper proposes a method for rigorously analyzing the sign-change structure of solutions of elliptic partial differential equations subject to one of the three types of homogeneous boundary conditions: Dirichlet, Neumann, and mixed. Given explicitly estimated error bounds between an exact solution u and a numerically computed approximate solution \({\hat{u}}\), we evaluate the number of sign-changes

An algorithm for numerically computing an interval matrix containing the geometric mean of two Hermitian positive definite (HPD) matrices is proposed. We consider a special continuous-time algebraic Riccati equation (CARE) where the geometric mean is the unique HPD solution, and compute an interval matrix containing a solution to the equation. We invent a change of variables designed specifically for

We introduce two inertial extragradient algorithms for solving a bilevel pseudomonotone variational inequality problem in real Hilbert spaces. The advantages of the proposed algorithms are that they can work without the prior knowledge of the Lipschitz constant of the involving operator and only one projection onto the feasible set is required. Strong convergence theorems of the suggested algorithms

The Lyapunov exponent is used to quantify the chaos of a dynamical system, by characterizing the exponential sensitivity of an initial point on the dynamical system. However, we cannot directly compute the Lyapunov exponent for a dynamical system without its dynamical equation, although some estimation methods do exist. Information dynamics introduces the entropic chaos degree to measure the strength

For the Stokes equation over 2D and 3D domains, explicit a posteriori and a priori error estimation are novelly developed for the finite element solution. The difficulty in handling the divergence-free condition of the Stokes equation is solved by utilizing the extended hypercircle method along with the Scott-Vogelius finite element scheme. Since all terms in the error estimation have explicit values

We propose a forecasting method based on a logistic curve model with missing data, which are a ubiquitous problem in social science forecasting, especially in marketing. The method completely recovers parameters of the difference equation when data are on an exact solution curve because it uses an unequal step difference equation that has an exact solution. It makes full use of data without wasting

In numerical integration, cubature methods are effective, especially when the integrands can be well-approximated by known test functions, such as polynomials. However, the construction of cubature formulas has not generally been known, and existing examples only represent the particular domains of integrands, such as hypercubes and spheres. In this study, we show that cubature formulas can be constructed

In this paper, we introduce a preconditioned Euler-extrapolated single-step Hermitian and skew-Hermitian splitting (PE-SHSS) iteration method for solving a class of complex symmetric system of linear equations. The convergence properties of the PE-SHSS iteration method are investigated under suitable restrictions. In addition, the spectral properties of the corresponding preconditioned matrix are discussed

In this paper, we present a respectively scaled splitting (RSS) iteration method for the block 4-by-4 linear system from eddy current electromagnetic problems. Unconditional convergence properties of the RSS iteration method are established. Theoretical results show that the quasi-optimal iterative parameter that minimizes the spectral radius is $$\alpha _{opt}=1$$ and the corresponding convergence

The original article has been corrected.

In this paper, we study the invading phenomenon of an alien predator to the habitat of two aborigine preys by traveling waves connecting the predator-free state to the co-existence state. We characterize the minimal wave speed of this invading process based on an application of Schauder’s fixed point theorem with the help of (generalized) upper-lower-solutions. New form of upper-lower-solutions are

Recently, stochastic differential equation (SDE) has been used for many applications in option pricing models which satisfy the non-negativity. So, constructing new numerical method preserves non-negativity for solving SDE is very important. This paper investigates the numerical analyses; convergence, non-negativity and stability of the multi-step Milstein method for SDE. We derive the new general

We consider Lipschitz-type backward stochastic differential equations (BSDEs) driven by cylindrical martingales on the space of continuous functions. We show the existence and uniqueness of the solution of such infinite-dimensional BSDEs and prove that the sequence of solutions of corresponding finite-dimensional BSDEs approximates the original solution. We also consider the hedging problem in bond

This article points out how a driver might misperceive the curvature of a road curve if the curve is combined with a slope change that the driver does not recognize. We investigated the relationship between the apparent curvature of a road and the change of the slope, and clarified the difference between the perceived curvature and the actual curvature when the driver mistakenly believes that the slope

We consider the radial symmetric stationary solutions of $$u_{t}=\varDelta u-|x|^{q}u^{-p}$$ . We first give a result on the existence of the negative value functions that satisfy the radial symmetric stationary problem on a finite interval for $$p \in 2{\mathbb{N}}$$ , $$q\in{\mathbb{R}}$$ . Moreover, we give the asymptotic behavior of u(r) and $$u'(r)$$ at both ends of the finite interval. Second

We propose a two-dimensional fast Fourier transform (FFT) network to retrieve the prices of options that depend on two Levy processes. Applications include, but are not limited to, the valuation of options on two stocks under the Levy processes, and options on a single stock under a random time-change Levy process. The proposed numerical scheme can be applied to different multivariate Levy constructions

In this paper we consider a general optimal consumption and portfolio selection problem of a finitely-lived agent whose consumption rate process is subject to time-varying subsistence consumption constraints. That is, her consumption rate should be greater than or equal to some convex, non-decreasing and continuous function of time t. Using martingale duality approach and Feynman–Kac formula, we derive

A thick-restart Lanczos type algorithm is proposed for Hermitian $J$-symmetric matrices. Since Hermitian $J$-symmetric matrices possess doubly degenerate spectra or doubly multiple eigenvalues with a simple relation between the degenerate eigenvectors, we can improve the convergence of the Lanczos algorithm by restricting the search space of the Krylov subspace to that spanned by one of each pair of

We investigate the optimal consumption, portfolio, and life insurance decisions problem of a liquidity constrained household whose preference is given by the CES (constant elasticity of substitution) utility function. By applying the martingale and duality method, we obtain the closed-form solution for the household’s value function and optimal strategies. We provide a rigorous proof for the optimality

The present paper establishes a discrete version of the result obtained by P. Carr and S. Nadtochiy (2011) for 1-dimensional diffusion processes. Our result is for Markov chains on $\mathbf{Z}^d$.

In this article, we consider a coefficient stability problem for one-dimensional stochastic differential equations driven by an $$\alpha$$ -stable process with $$\alpha \in (1,2)$$ . More precisely, we find an upper bound for the $$L^{\alpha -1}(\varOmega ,{\mathbb {P}})$$ distance between two solutions in terms of the $$L^{\alpha }\left( {\mathbb {R}},\mu^{\alpha }_{x_0}\right)$$ distance of the coefficients

We propose a general theory of estimating interpolation error for smooth functions in two and three dimensions. In our theory, the error of interpolation is bound in terms of the diameter of a simplex and a geometric parameter. In the two-dimensional case, our geometric parameter is equivalent to the circumradius of a triangle. In the three-dimensional case, our geometric parameter also represents

Stationary waves of constant shape and constant propagation speed on rotational flows of two layers are computed numerically. Two layers are assumed to be of distinct constant vorticity distributions. Three different kinds of waves of finite depth are considered: pure capillary, capillary-gravity, and gravity waves. The problem is formulated as a bifurcation problem, which involves many parameters

The shortest bibranching problem is a common generalization of the minimum-weight edge cover problem in bipartite graphs and the minimum-weight arborescence problem in directed graphs. For the shortest bibranching problem, an efficient primal-dual algorithm is given by Keijsper and Pendavingh (1998), and the tractability of the problem is ascribed to total dual integrality in a linear programming formulation

In simulating physical systems, conservation of the total energy is often essential, especially when energy conversion between different forms of energy occurs frequently. Recently, a new fourth order energy-preserving integrator named MB4 was proposed based on the so-called continuous stage Runge--Kutta methods (Y.~Miyatake and J.~C.~Butcher, SIAM J.~Numer.~Anal., 54(3), 1993-2013). A salient feature

NIST SP800-22 is one of the most widely used statistical testing tools for pseudorandom number generators (PRNGs). This tool consists of 15 tests (one-level tests) and two additional tests (two-level tests). Each one-level test provides one or more $p$-values. The two-level tests measure the uniformity of the obtained $p$-values for a fixed one-level test. One of the two-level tests categorizes the

We present a numerical approach for determination of the spectral stability of solitary waves by computing eigenvalues and eigenfunctions of the corresponding eigenvalue problems, along with their continuation, for nonlinear wave equations in one space dimension. We illustrate the approach for the nonlinear Schrodinger (NLS) equation with a small potential, and numerically determine the spectral stability

Mathematical models for self-propelled motions are often utilized for understanding the mechanism of collective motions observed in biological systems. Indeed, several patterns of collective motions of camphor disks have been reported in experimental systems. In this paper, we show the existence of asymmetrically rotating solutions of a two-camphor model and give necessary conditions for their existence

The purpose of the paper is to establish higher-order Karush–Kuhn–Tucker higher-order necessary optimality conditions for set-valued optimization where the derivatives of objective and constraint functions are separated. We first introduce concepts of higher-order weak lower inner epiderivatives for set-valued maps and discuss some useful properties about new epiderivatives, for instance, convexity

In this paper, a new preconditioner for a class of $$2\times 2$$ block linear systems is proposed. The proposed new preconditioner is a better approximation to the original coefficient matrix than the previous ones. The eigenvalue distribution and an upper bound of the degree of the minimal polynomial of the preconditioned matrix are discussed. Finally, two numerical examples are provided to show the

This paper presents a new projected Barzilai–Borwein method for the complementarity problem over symmetric cone by applying the Barzilai–Borwein-like steplengths to the projected method. A new descent direction is employed and a non-monotone line search is used in the method in order to guarantee the global convergence. The projected Barzilai–Borwein method is proved to be globally convergent under

For numerical simulation of elastic structures, data-driven computational approaches attempt to use a data set of material responses, without resorting to conventional modeling of the material constitutive equation. In a material data set in the stress–strain space, the data points are considered to lie on or near a low-dimensional manifold, rather distribute ubiquitously in the space. This paper presents

We propose a mathematical model to understand the transmission dynamics of HIV/AIDS in an environment. In addition to previous approaches, we incorporate two classes of isolated. By isolated we do not mean physical separation, but commitment to keep its status. We establish the well-posedness of our model and fully analyze the asymptotic behavior of the solutions which depends on the basic reproduction

The nonlinear matrix equation \(X^p=R+M^T(X^{-1}+B)^{-1}M\), where p is a positive integer, M is an arbitrary \(n\times n\) real matrix, R and B are symmetric positive semidefinite matrices, is considered. When \(p=1\), this matrix equation is the well-known discrete-time algebraic Riccati equation (DARE), we study the convergence rate of an iterative method which was proposed in Meng and Kim (J Comput

In this paper we will establish nonlinear a priori lower and upper bounds for the solutions to a large class of equations which arise from the study of traveling wave solutions of reaction-diffusion equations, and we will apply our nonlinear bounds to the Lotka-Volterra system of two competing species as examples. The idea used in a series of papers \cite{NBMP-Discrete,JDE-16,CPAA-16,DCDS-B-18,NBMP-n-species

This paper considers a bidimensional continuous-time renewal risk model, in which the two components of each pair of claim sizes are linked via the strongly asymptotic independence structure and the two claim-number processes from different lines of business are (almost) arbitrarily dependent. Precise asymptotic formulas for three kinds of finite-time ruin probabilities are established when the claim

Inner product functional encryption (IPFE) is one class of functional encryption supporting only inner product functionality. All previous IPFE schemes are bounded schemes, meaning that the vector length that can be handled in the scheme is fixed in the setup phase. In this paper, we propose the first unbounded IPFE schemes, in which we do not have to fix the lengths of vectors in the setup phase and

In this paper, a new iterative refinement for ill-conditioned linear systems is derived based on discrete gradient methods for gradient systems. It is proved that the new method is convergent for any initial values irrespective of the choice of the stepsize h. Some properties of the new iterative refinement are presented. It is shown that the condition number of the coefficient matrix in the linear