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.

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.

In this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusion risk process. The insurance company can invest part of its surplus in n risky assets and purchase proportional reinsurance for claims. Our main goal is to find an optimal investment and proportional reinsurance policy which minimizes the ruin probability. We apply stochastic control theory to solve this problem. We obtain the closed form expression for the minimal ruin probability, optimal investment and proportional reinsurance policy. We find that the minimal ruin probability satisfies the Lundberg equality. We also investigate the effects of the diffusion volatility parameter, the market price of risk and the correlation coefficient on the minimal ruin probability, optimal investment and proportional reinsurance policy through numerical calculations.

We investigate oscillatory behaviour in the famous Belousov-Zhabotinskii chemical reaction, as described by the simple two-variable Oregonator model. It is shown that oscillations are possible only in certain parameter regions. Numerical results are presented, and the presence of fold bifurcations discussed.

This paper presents a thermodynamic model for a heat engine based on evaporative cooling of unsaturated air at reduced pressure. Also analysed is a related heat pump based on condensation of water vapour in moist air at reduced pressure. These devices operate as two-stroke reciprocating engines, which are their simplest possible embodiments. The mathematical models for the two devices are based on conservation of mass for both air and water vapour, ideal gas laws, constant specific heats, and, as appropriate, either constant entropy processes or cooling/heating by evaporation/condensation. Both models take the form of coupled algebraic systems in six variables, which require numerical solution for certain stages of the cycle. The specific work output of the heat engine increases as the inlet air becomes hotter and as the expansion ratio of the engine increases. The engine provides evaporative cooling of air from inlet to outlet. The heat pump has a good coefficient of performance, which decreases as the expansion ratio increases. The heat pump also has the effect of drying the air from inlet to outlet, producing distilled water as a by-product.

Many tens of serious incidents involving reactors occur in the developed countries each year. The disaster at the chemical plant in Bhopal, India in 1984 was particularly notable where a thermal runaway process led to more than 3000 tragic fatalities from the cloud of extremely toxic methyl isocyanate that boiled out of a storage tank. This signalled the design of special types of chemical reactors to reduce the risk of thermal runaway by planning (at the design stage) integral safety and thermal stabilization mechanisms. The Endex CSTR (continuously stirred tank reactor) proposed by Gray and Ball [3] involves a reactor in two parts with heat exchange allowed between them. The two parts of the reactor operate side by side in tandem, such that the thermal runaway of one part is offset by an endothermic reaction in the other reactor—hence the term ‘endex’.

It is found that the adiabatic endex system has a large region of parameter space where the operation can be made safe. However adiabatic conditions rely on the continuous supply of reactants to the endothermic side of the reactor, for operation of the system. The risks involved are such that it is always safer to operate batch reactors in a non-adiabatic mode. Thus we consider the limiting case of the approach to adiabatic conditions where although the mathematics produces no oscillatory causes for instability, yet there is a narrow but significant area where the stable solution branch is lost and consequently a persistent and unexpected region of instability in what otherwise appears to be a simple CSTR system.

The equation modelling the evolution of a foam (a complex porous medium consisting of a set of gas bubbles surrounded by liquid films) is solved numerically. This model is described by the reaction–diffusion differential equation with a free boundary. Two numerical methods, namely the fixed-point and the averaging in time and forward differences in space (the Crank–Nicolson scheme), both in combination with Newton’s method, are proposed for solving the governing equations. The solution of Burgers’ equation is considered as a special case. We present the Crank–Nicolson scheme combined with Newton’s method for the reaction–diffusion differential equation appearing in a foam breaking phenomenon.

This note considers an established reaction–diffusion model for a combustion system, in which there are competing endothermic and exothermic reaction pathways. A combustion front is assumed to move at constant speed through the medium. An asymptotic theory is presented for solid fuels in which material diffusion is ignored, and it allows a simple and complete analysis of the approximate system in the phase plane. Both the adiabatic and nonadiabatic cases are discussed.

This paper presents a method for the inverse fractional matching problem. We show that the dual of this inverse problem can be transformed into the circulation flow problem on a directed bipartite graph which can be solved easily. We also give an algorithm to obtain the primal optimum solution of the inverse problem from its dual optimum solution by solving a shortest path problem. Furthermore, we generalize this method to solve the inverse symmetric transportation problem.

A new approach to jump diffusion is introduced, where the jump is treated as a vertical shift of the price (or volatility) function. This method is simpler than the previous methods and it is applied to the portfolio model with a stochastic volatility. Moreover, closed-form solutions for the optimal portfolio are obtained. The optimal closed-form solutions are derived when the value function is not smooth, without relying on the method of viscosity solutions.

In this paper we propose a P1 finite element preconditioning using the so-called ‘hat-function’, to a collocation scheme constructed by quadratic splines for a 2nd-order separable elliptic operator and we show that the resulting preconditioning system of equations is well conditioned with the condition number independent of the number of unknowns.

The reflection-transmission properties of water waves obliquely incident upon a vortex sheet in water of finite depth are studied. The problem is reduced to that of solving two integral equation. An accurate Galerkin solution is obtained which supports the use of the “variational method” in water wave problems that has recently been questioned by Kirby and Dalyrmple.

A class of discrepancy principles for the choice of parameters for the simplified regularization of ill-posed problems is proposed. This procedure does not require knowledge of the unknown solution, and if the smoothness of the unknown solution is known then the convergence rate obtained is optimal. The results of this paper include the Arcangeli's method considered by Groetsch and Guacaneme (1987) for which the convergence rate was not known and also of a result of Guacaneme (1988) for which there is a gap in the proof.

In this paper, the parabolic partial differential equation ut = urr + (1/r)ur − (v2/r2)u, where v ≥ 0 is a parameter, with Dirichlet, Neumann, and mixed boundary conditions is considered. The final state observability for such problems is investigated.

The method of generalized cross-validation (GCV) provides a good value for the “ridge” regularization parameter for an ill-conditioned linear system, such as the system produced by discretization of a Fredholm integral equation of the first kind. In this note we apply GCV to a wider class of estimators than the one parameter ridge estimators. We observe that the expected values of the parameter mean-square error, the predictive mean-square error, and the GCV function are simultaneously minimized over this new class, so we accept the minimizer of the GCV function as the best computable estimator. We present a simple algorithm for computing this estimator from the data, so that a numerical search is not needed.

The Kohlrausch functions $\exp (- {t}^{\beta } )$, with $\beta \in (0, 1)$, which are important in a wide range of physical, chemical and biological applications, correspond to specific realizations of completely monotone functions. In this paper, using nonuniform grids and midpoint estimates, constructive procedures are formulated and analysed for the Kohlrausch functions. Sharper estimates are discussed to improve the approximation results. Numerical results and representative approximations are presented to illustrate the effectiveness of the proposed method.

We consider the optimal portfolio and consumption problem for a jump-diffusion process with regime switching. Under the criterion of maximizing the expected discounted total utility of consumption, two methods, namely, the dynamic programming principle and the stochastic maximum principle, are used to obtain the optimal result for the general objective function, which is the solution to a system of partial differential equations. Furthermore, we investigate the power utility as a specific example and analyse the existence and uniqueness of the optimal solution. Under the constraints of no-short-selling and nonnegative consumption, closed-form expressions for the optimal strategy and the value function are derived. Besides, some comparisons between the optimal results for the jump-diffusion model and the pure diffusion model are carried out. Finally, we discuss our optimal results in some special cases.

Sufficent conditions for controllability of nonlinear neutral Volterra integrodifferential systems are established. Controllability of an infinite-delay neutral Volterra system is also considered.

In this paper, we discuss MDP-the moment optimal problem for the first-passage model. A policy improvement iteration algorithm is given for finding the k-moment optimal stationary policy.

We compare six fixed-stepsize fourth-order numerical methods for a number of test problems described by a system of coupled Korteweg–de Vries equations. Particular attention is paid to the ability of these methods to preserve fixed points (solitary waves) and the invariants of the system, and establishing to what extent the conservation of integral invariants is indicative of the solution error for these methods.