The orthogonal coordinate systems ξi(i = 1, 2, 3) are determined, in which the gneralised toroidal and poloidal fields, defined respectively by T{T} = ∇ × {T∇ξ1} and S{S} = ∇ × T{S}, have the following three properties:

GP1 Decoupling of the vector Helmholtz equation: There exist linear differential operators L1 and L2 such that Hu = 0, where H is the vector Helmholtz operator [see equation (1)] and u = T{T} + S {S}, if and only if L1T = 0 and L2S = 0.

GP2 Orthogonality

GP3 Closure: ∇ × S{S} is a T field.

Two choices of T and S fields are considered: type I fields with potentials T and S, which may depend on ξ1, ξ2 and ξ3, and type II fields with ξ1-independent potentials. It is shown that properties GP1–GP3 only hold for type I fields in spherical and cylindrical coordinate systems, and for type II fields in azimuthal and cylindrical coordinate systems with axisymmetric and two-dimensional potentials, respectively. Analogues of GP1 for the vector wave and diffusion equations, and the Navier equation of linear elasticity, are also only true in the same four cases. Generalisations of type I and II T and S fields to arbitrary coordinate systems are indicated.

There are many fluid flow problems involving geometries for which a nonorthogonal curvilinear coordinate system may be the most suitable. To the authors’ knowledge, the Navier–Stokes equations for an incompressible fluid formulated in terms of an arbitrary nonorthogonal curvilinear coordinate system have not been given explicitly in the literature in the simplified form obtained herein. The specific novelty in the equations derived here is the use of the general Laplacian in arbitrary nonorthogonal curvilinear coordinates and the simplification arising from a Ricci identity for Christoffel symbols of the second kind for flat space. Evidently, however, the derived equations must be consistent with the various general forms given previously by others. The general equations derived here admit the well-known formulae for cylindrical and spherical polars, and for the purposes of illustration, the procedure is presented for spherical polar coordinates. Further, the procedure is illustrated for a nonorthogonal helical coordinate system. For a slow flow for which the inertial terms may be neglected, we give the harmonic equation for the pressure function, and the corresponding equation if the inertial effects are included. We also note the general stress boundary conditions for a free surface with surface tension. For completeness, the equations for a compressible flow are derived in an appendix.

The cell transmission model (CTM) is a macroscopic model that describes the dynamics of traffic flow over time and space. The effectiveness and accuracy of the CTM are discussed in this paper. First, the CTM formula is recognized as a finite-volume discretization of the kinematic traffic model with a trapezoidal flux function. To validate the constructed scheme, the simulation of shock waves and rarefaction waves as two important elements of traffic dynamics was performed. Adaptation of the CTM for intersecting and splitting cells is discussed. Its implementation on the road segment with traffic influx produces results that are consistent with the analytical solution of the kinematic model. Furthermore, a simulation on a simple road network shows the back and forth propagation of shock waves and rarefaction waves. Our numerical result agrees well with the existing result of Godunov’s finite-volume scheme. In addition, from this accurately proven scheme, we can extract information for the average travel time on a certain route, which is the most important information a traveller needs. It appears from simulations of different scenarios that, depending on the circumstances, a longer route may have a shorter travel time. Finally, there is a discussion on the possible application for traffic management in Indonesia during the Eid al-Fitr exodus.

We present an analytical option pricing formula for the European options, in which the price dynamics of a risky asset follows a mean-reverting process with a time-dependent parameter. The process can be adapted to describe a seasonal variation in price such as in agricultural commodity markets. An analytical solution is derived based on the solution of a partial differential equation, which shows that a European option price can be decomposed into two terms: the payoff of the option at the initial time and the time-integral over the lifetime of the option driven by a time-dependent parameter. Finally, results obtained from the formula have been compared with Monte Carlo simulations and a Black–Scholes-type formula under various kinds of long-run mean functions, and some examples of option price behaviours have been provided.

We derive an analytical approximation for the price of a credit default swap (CDS) contract under a regime-switching Black–Scholes model. To achieve this, we first derive a general formula for the CDS price, and establish the relationship between the unknown no-default probability and the price of a down-and-out binary option written on the same reference asset. Then we present a two-step procedure: the first step assumes that all the future information of the Markov chain is known at the current time and presents an approximation for the conditional price under a time-dependent Black–Scholes model, based on which the second step derives the target option pricing formula written in a Fourier cosine series. The efficiency and accuracy of the newly derived formula are demonstrated through numerical experiments.

A Demianski-type metric is investigated in connection with the Einstein-Maxwell fields. Using complex vectorial formalism, some exact solutions of Einstein-Maxwell field equations for source-free electromagnetic fields plus pure radiation fields are obtained. The radiating Demianski solution, the Debney-Kerr-Schild solution and the Brill solution are derived as particular cases.

The valuation of perpetual timer options under the Hull–White stochastic volatility model is discussed here. By exploring the connection between the Hull–White model and the Bessel process and using time-change techniques, the triple joint distribution for the instantaneous volatility, the cumulative reciprocal volatility and the cumulative realized variance is obtained. An explicit analytical solution for the price of perpetual timer call options is derived as a Black–Scholes–Merton-type formula.

Nonlinear hydromagnetic convection in a horizontal layer of fluid rotating about the vertical axis is investigated using the mean field approximation. The boundary layer method is used assuming large Rayleigh number R for different ranges of the Chandrasekhar number Q and the Taylor number Ta. The heat flux F is determined for the value of the horizontal wave number α which maximizes F. It is shown that, for certain regions of the parameter space (R, Q, Ta), F and α change discontinuously for Ta greater than some critical value (given R and Q). Thus, for Ta about this critical value, wave numbers and heat fluxes of two different values will be predicted simultaneously. Also, for certian regions of the parameter space, the field can facilitate convection, but rotation can facilitate convection only for sufficiently large Ta.

The Sherman–Morrison formula is one scheme for computing the approximate inverse preconditioner of a large linear system of equations. However, parallelizing a preconditioning approach is not straightforward as it is necessary to include a sequential process in the matrix factorization. In this paper, we propose a formula that improves the performance of the Sherman–Morrison preconditioner by partially parallelizing the matrix factorization. This study shows that our parallel technique implemented on a PC cluster system of eight processing elements significantly reduces the computational time for the matrix factorization compared with the time taken by a single processor. Our study has also verified that the Sherman–Morrison preconditioner performs better than ILU or MR preconditioners.

Error estimates are derived for a finite element analysis of plane steady subsonic flows described by the full potential equation. The analysis is based on the use of the theory of variational inequalities to accomodate the subsonic flow constraint and leads to a suboptimal estimate relative to that obtained for linear potential flow. We then consider an alternative dual formulation of the problem and obtain an optimal estimate subject to reasonable regularity assumptions.

The aim of this article is to prove a symmetry result for several overdetermined boundary value problems. For the two first problems, our method combines the maximum principle with the monotonicity of the mean curvature. For the others, we use essentially the compatibility condition of the Neumann problem.

A general framework is developed for constructing higher order spectral refinement schemes for a simple eigenvalue. Well-known techniques for ordinary spectral refinement are carried over to higher order spectral refinement yielding faster rates of convergence. Numerical examples are given by considering an integral operator.

A direct search quasi-Newton algorithm is presented for local minimization of Lipschitz continuous black-box functions. The method estimates the gradient via central differences using a maximal frame around each iterate. When nonsmoothness prevents progress, a global direction search is used to locate a descent direction. Almost sure convergence to Clarke stationary point(s) is shown, where convergence is independent of the accuracy of the gradient estimates. Numerical results show that the method is effective in practice.

Complementary variational principles are presented for a class of nonlinear boundary value problems S* Sφ = g(φ) in which g is not necessarily monotone. The results are illustrated by two examples, accurate variational solutions being obtained in both cases.

Boundary value problems where resonance phenomena are studied are most often transformable to parameter dependent Sturm-Liouville (SL) eigenproblems with interior singularities. The parameter dependent Sturm-Liouville eigenproblem with interior poles is examined. Asymptotic approximations to the solutions are obtained using an extended Langer's method to take care of the resulting complex eigenvalues and eigenfunctions.

We discuss general, time-dependent, linear systems of second-order ordinary differential equations. A study is made of the similarities and discrepancies between the inverse problem of Lagrangian mechanics on the one hand, and the search for linear dynamical symmetries on the other hand.

Planar hinged segmented bodies have been used to represent models of biomechanical systems. One characteristic of a segmented body moving under gravitational acceleration and torques between segments is the possibility that the body's segments spin through more than a revolution or past a natural limit, and a computational mechanism to stop such behaviour should be provided. This could be done by introducing angle constraints between segments, and computational models utilising optimal control are studied here. Three models to maintain angle constraints between segments are proposed and compared. These models are: all-time angle constraints, a restoring torque in the state equations and an exponential penalty model. The models are applied to a 2-D three-segment body to test the behaviour of each model when optimising torques to minimise an objective. The optimisation is run to find torques so that the end effector of the body follows the trajectory of a half-circle. The result shows the behaviour of each model in maintaining the angle constraints. The all-time constraints case exhibits a behaviour of not allowing torques (at a solution) which makes segments move past the constraints, while the other two show a flexibility in handling the angle constraints which is more similar to what occurs in a real biomechanical system.

There has recently been considerable interest in the stability of stochastic differential equations with Markovian switching, and a number of results have been achieved. However, due to the exponential sojourn time of Markovian chain at each state, there are many restrictions on existing results for practical application. In this paper, we explore the problem of stability in distribution of nonlinear systems with time-varying delays and semi-Markov switching. Unlike existing models, the new model takes into account noise, time-varying delays and semi-Markov switching. By means of stochastic analysis, functional analysis and inequality techniques, sufficient conditions are obtained to guarantee the stability of the systems concerned. The proposed results are new and extend existing ones.

A one-sided one-dimensional random walk with repulsion from the origin is solved exactly. The walk imitates the self-avoiding walk problem insofar as the mean end-to-end distance of an n-step walk tends asymptotically to n as n tends to infinity.

This paper gives an approximate solution to the Wiener-Hopf integral equation for filtering fractional Riesz-Bessel motion. This is obtained by showing that the corresponding covariance operator of the integral equation is a continuous isomorphism between appropriate fractional Sobolev spaces. The proof relies on properties of the Riesz and Bessel potentials and the theory of fractional Sobolev spaces.