We combine the rough Heston model and the CIR (Cox–Ingersoll–Ross) interest rate together to form a rough Heston-CIR model, so that both the rough behaviour of the volatility and the stochastic nature of the interest rate can be captured. Despite the convoluted structure and non-Markovian property of this model, it still admits a semi-analytical pricing formula for European options, the implementation of which involves solving a fractional Riccati equation. The rough Heston-CIR model is more general, taking both the rough Heston model and the Heston-CIR model as special cases. The influence of rough volatility and stochastic interest rate is shown to be significant through numerical experiments.

The finite difference solution of the Dirichlet problem on rectangles when a boundary function is given from C1,1 is analyzed. It is shown that the maximum error for a nine-point approximation is of the order of O(h2(|ln  h|+1)) as a five-point approximation. This order can be improved up to O(h2) when the nine-point approximation in the grids which are a distance h from the boundary is replaced by a five-point approximation (“five and nine”-point scheme). It is also proved that the class of boundary functions C1,1 used to obtain the error estimations essentially cannot be enlarged. We provide numerical experiments to support the analysis made. These results point at the importance of taking the smoothness of the boundary functions into account when choosing the numerical algorithms in applied problems.

In this paper, we consider a class of optimal control problems involving inequality continuous-state constraints in which the control is piecewise smooth. The requirement for this type of control is more stringent than that for the control considered in standard optimal control problems in which the controls are usually taken as bounded measurable functions. In this paper, we shall show that this class of optimal control problems can easily be transformed into an equivalent class of combined optimal parameter selection and optimal control problems. We shall then use the control parametrisation technique to devise a computational algorithm for solving this equivalent dynamic optimisation problem. Furthermore, convergence analysis will be given to support this numerical approach. For illustration, two nontrivial optimal control problems involving transferring cargo via a container crane will be solved using the proposed approach.

In a classical paper, E. R. Love considered a certain function defined by a singular integral which is harmonic outside a circular disk. Love's objective was to derive a simple integral equation whose solution leads to a useful formula for the capacitance of the condenser consisting of two parallel circular plates. We close a gap in Love's derivation by finding a new nonsingular representation of Love's singular integral which permits one to draw the required conclusions about its boundary values and thereby establishes the correctness of Love's expression for the capacitance.

For a linear random field (linear p-parameter stochastic process) generated by a dependent random field with zero mean and finite qth moments (q>2p), we give sufficient conditions that the linear random field converges weakly to a multiparameter standard Brownian motion if the corresponding dependent random field does so.

Annual epidemics of influenza A typically involve two subtypes, with a degree of cross-immunity. We present a model of an epidemic of two interacting viruses, where the degree of cross-immunity may be unknown. We treat the unknown as a second independent variable, and expand the dependent variables in orthogonal functions of this variable. The resulting set of differential equations is solved numerically. We show that if the population is initially more susceptible to one variant, if that variant invades earlier, or if it has a higher basic reproduction number than the other variant, then its dynamics are largely unaffected by cross-immunity. In contrast, the dynamics of the other variant may be considerably restricted.

In this paper we derive extremality and comparison results for explicit and implicit initial and boundary value problems of first-order differential equations. Both the differential equations and the boundary conditions may involve discontinuities.

Sparse grids are the basis for efficient high dimensional approximation and have recently been applied successfully to predictive modelling. They are spanned by a collection of simpler function spaces represented by regular grids. The sparse grid combination technique prescribes how approximations on a collection of anisotropic grids can be combined to approximate high dimensional functions.

In this paper we study the parallelisation of fitting data onto a sparse grid. The computation can be done entirely by fitting partial models on a collection of regular grids. This allows parallelism over the collection of grids. In addition, each of the partial grid fits can be parallelised as well, both in the assembly phase, where parallelism is done over the data, and in the solution stage using traditional parallel solvers for the resulting PDEs. Using a simple timing model we confirm that the most effective methods are obtained when both types of parallelism are used.

The essential aspects of the Boundary Integral Equation Method for the numerical solution of elliptic type boundary value problems are presented. A numerical example for a stress concentration problem in classical elasticity in three dimensions is given along with several examples for a class of scalar problems in elastic torsion of non-cylindrical bars. Some discussion and criticism of the method itself and in comparison with widely used field methods is also presented.

Entirely elementary methods are employed to determine explicit formulae for the coefficients of commuting ordinary differential operators of orders six and nine which correspond to an elliptic curve. These formulae come from solving the nonlinear ordinary differential equations which are equivalent to the commutativity condition. Most solutions turn out to be rational expressions in one or two arbitrary functions and their derivatives. The corresponding Burchnall-Chaundy curves are computed.

Macroscale “continuum” level predictions are made by a new way to construct computationally efficient “wrappers” around fine-scale, microscopic, detailed descriptions of dynamical systems, such as molecular dynamics. It is often significantly easier to code a microscale simulator with periodicity: so the challenge addressed here is to develop a scheme that uses only a given periodic microscale simulator; specifically, one for atomistic dynamics. Numerical simulations show that applying a suitable proportional controller within “action regions” of a patch of atomistic simulation effectively predicts the macroscale transport of heat. Theoretical analysis establishes that such an approach will generally be effective and efficient, and also determines good values for the strength of the proportional controller. This work has the potential to empower systematic analysis and understanding at a macroscopic system level when only a given microscale simulator is available.

The question on existence of optimal controls for a system governed by quasilinear parabolic partial differential equations which is linear in the control variables is considered. It is shown that whenever the controls converge in the weak * topology of L∞, the corresponding solutions converge uniformly. Using this result and results on lower semi-continuity of integral functionals, existence theorems for optimal controls are proved.

We develop a simplified analytical approach for pricing discretely-sampled variance swaps with the realized variance, defined in terms of the squared log return of the underlying price. The closed-form formula obtained for Heston’s two-factor stochastic volatility model is in a much simpler form than those proposed in literature. Most interestingly, we discuss the validity of our solution as well as some other previous solutions in different forms in the parameter space. We demonstrate that market practitioners need to be cautious, making sure that their model parameters extracted from market data are in the right parameter subspace, when any of these analytical pricing formulae is adopted to calculate the fair delivery price of a discretely-sampled variance swap.

If a thin elastic circular plate B: ∣z∣ < 1 is clamped (simply supported, respectively) along its edge ∣z∣ = 1, its deflection at z ∈ B under a point load at ζ ∈ B, measured positively in the direction of the gravitational pull, is the biharmonic Green's function β(z, ζ) of the clamped plate (γ(z, ζ) of the simply supported plate, respectively). We ask: how do β(z, ζ) and γ(z, ζ) compare with the corresponding deflections β0(z, ζ) and γ0(z, ζ) of the punctured circular plate B0: 0 < ∣ z ∣ < 1 that is “clamped” or “simply supported”, respectively, also at the origin? We shall show that γ(z, ζ) is not affected by the puncturing, that is, γ(·, ζ) = γ0(·, ζ), whereas β(·, ζ) is:

on B0 × B0. Moreover, while β((·, ζ) is of constant sign, β0(·, ζ) is not. This gives a simple counterexmple to the conjecture of Hadamard [6] that the deflection of a clampled thin elastic plate be always of constant sign:

The biharmonic Gree's function of a clampled concentric circular annulus is not of constant sign if the radius of the inner boundary circle is sufficiently small.

Earlier counterexamples to Hadamard's conjecture were given by Duffin [2], Garabedian [4], Loewner [7], and Szegö [9]. Interest in the problem was recently revived by the invited address of Duffin [3] before the Annual Meeting of the American Mathematical Society in 1974. The drawback of the counterexample we will present is that, whereas the classical examples are all simply connected, ours is not. In the simplicity of the proof, however, there is no comparison.

We consider a generalization of the well-known nonlinear Nicholson blowflies model with stochastic perturbations. Stability in probability of the positive equilibrium of the considered equation is studied. Two types of stability conditions: delay-dependent and delay-independent conditions are obtained, using the method of Lyapunov functionals and the method of linear matrix inequalities. The obtained results are illustrated by numerical simulations by means of some examples. The results are new, and complement the existing ones.

In this note, we study deterministic and stochastic models for the spread of cholera. The deterministic model for the total number of cholera cases fits the observed total number of cholera cases in some recent outbreaks. The stochastic model for the total number of cholera cases leads to a binomial type distribution with a mean that agrees with the deterministic model.

This paper gives a theorem by which it is possible to derive in an easy way a local approximation theorem and an inverse function theorem. The latter theorems are not new. The main advantage of our paper is in giving a relatively short route to these results.

This paper treats the multi-peg generalization of the Tower of Hanoi problem with n(≥ 1) disks and p(≥ 3) pegs, P1, P2,…, Pp. Denoting by M(n, p) the presumed minimum number of moves required to transfer the tower of n disks from the source peg, P1, to the destination peg, Pp, under the condition that each move transfers the topmost disk from one peg to another such that no disk is ever placed on top of a smaller one, the Dynamic Programming technique has been employed to find the optimality equation satisfied by M(n, p). Though an explicit expression for M(n, p) is given, no explicit expressions for the partition numbers (at which M(n, p) is attained) are available in the literature for p ≥ 5. The values of the partition numbers have been given in this paper.

To ensure that the elevator of a cruise missile is operating within the design specification in high-attitude flight, we present a design method for the construction of a sliding mode recursive variable structure controller. In this design method, a target sliding mode surface is first designed without considering the engineering specification of the elevator. Secondly, by using this specification, the critical state is solved. Then, the transitional sliding mode surfaces are designed recursively by using the critical state of the previous sliding mode surface so that the state will move smoothly from one transitional sliding mode surface to the next until the target sliding mode surface. This design method is based on linear sliding mode variable structure theory. Thus, the controller obtained is simple in structure and practical. Furthermore, the elevator will operate within the engineering specification. The simulation results show the effectiveness of the proposed method.

This work focuses on finding optimal dividend payment and capital injection policies to maximize the present value of the difference between the cumulative dividend payment and the possible capital injections with delays. Starting from the classical Cramér–Lundberg process, using the dynamic programming approach, the value function obeys a quasi-variational inequality. With delays in capital injections, the company will be exposed to the risk of financial ruin during the delay period. In addition, the optimal dividend payment and capital injection strategy should balance the expected cost of the possible capital injections and the time value of the delay period. In this paper, the closed-form solution of the value function and the corresponding optimal policies are obtained. Some limiting cases are also discussed. A numerical example is presented to illustrate properties of the solution. Some economic insights are also given.