We consider pricing options in a jump-diffusion model which requires solving a partial integro-differential equation.Discretizing the spatial direction with a fourth order compact scheme leads to a linear system of or...We consider pricing options in a jump-diffusion model which requires solving a partial integro-differential equation.Discretizing the spatial direction with a fourth order compact scheme leads to a linear system of ordinary differential equations.For the temporal direction,we utilize the favorable boundary value methods owing to their advantageous stability properties.In addition,the resulting large sparse system can be solved rapidly by the GMRES method with a circulant Strang-type preconditioner.Numerical results demonstrate the high order accuracy of our scheme and the efficiency of the preconditioned GMRES method.展开更多
Angiogenesis, the growth of new blood vessel from existing ones, is a pivotal stage in cancer development,and is an important target for cancer therapy. We develop a hybrid mathematical model to understand the mechani...Angiogenesis, the growth of new blood vessel from existing ones, is a pivotal stage in cancer development,and is an important target for cancer therapy. We develop a hybrid mathematical model to understand the mechanisms behind tumor-induced angiogenesis. This model describes uptake of Tumor Angiogenic Factor（TAF）at extracellular level, uses partial differential equation to describe the evolution of endothelial cell density including TAF induced proliferation, chemotaxis to TAF, and haptotaxis to extracellular matrix. In addition we also consider the phenomenon of blood perfusion in the micro-vessels. The model produces sprout formation with realistic morphological and dynamical features, including the so-called brush border effect, the dendritic branching and fusing of the capillary sprouts forming a vessel network. The model also demonstrates the effects of individual mechanisms in tumor angiogenesis： Chemotaxis to TAF is the key driving mechanisms for the extension of sprout cell; endothelial proliferation is not absolutely necessary for sprout extension; haptotaxis to Extra Cellular Matrix（ECM） gradient provides additional guidance to sprout extension, suggesting potential targets for anti-angiogenic therapies.展开更多
The aim of this study is to give a Legendre polynomial approximation for the solution of the second order linear hyper-bolic partial differential equations (HPDEs) with two variables and constant coefficients. For thi...The aim of this study is to give a Legendre polynomial approximation for the solution of the second order linear hyper-bolic partial differential equations (HPDEs) with two variables and constant coefficients. For this purpose, Legendre matrix method for the approximate solution of the considered HPDEs with specified associated conditions in terms of Legendre polynomials at any point is introduced. The method is based on taking truncated Legendre series of the functions in the equation and then substituting their matrix forms into the given equation. Thereby the basic equation reduces to a matrix equation, which corresponds to a system of linear algebraic equations with unknown Legendre coefficients. The result matrix equation can be solved and the unknown Legendre coefficients can be found approximately. Moreover, the approximated solutions of the proposed method are compared with the Taylor [1] and Bernoulli [2] matrix methods. All of computations are performed on a PC using several programs written in MATLAB 7.12.0.展开更多
A framework to obtain numerical solution of the fractional partial differential equation using Bernstein polynomials is presented. The main characteristic behind this approach is that a fractional order operational ma...A framework to obtain numerical solution of the fractional partial differential equation using Bernstein polynomials is presented. The main characteristic behind this approach is that a fractional order operational matrix of Bernstein polynomials is derived. With the operational matrix, the equation is transformed into the products of several dependent matrixes which can also be regarded as the system of linear equations after dispersing the variable. By solving the linear equations, the numerical solutions are acquired. Only a small number of Bernstein polynomials are needed to obtain a satisfactory result. Numerical examples are provided to show that the method is computationally efficient.展开更多
In this paper, we present a new computational approach for solving an internal optimal control problem, which is governed by a linear parabolic partial differential equation. Our approach is to approximate the PDE pro...In this paper, we present a new computational approach for solving an internal optimal control problem, which is governed by a linear parabolic partial differential equation. Our approach is to approximate the PDE problem by a nonhomogeneous ordinary differential equation system in higher dimension. Then, the homogeneous part of ODES is solved using semigroup theory. In the next step, the convergence of this approach is verified by means of Toeplitz matrix. In the rest of the paper, the optimal control problem is solved by utilizing the solution of homogeneous part. Finally, a numerical example is given.展开更多
基金supported by the research grant UL020/08-Y2/MAT/JXQ01/FST,RG063/08-09S/SHW/FST from University of Macao,and the research grant from FDCT of Macao.
文摘We consider pricing options in a jump-diffusion model which requires solving a partial integro-differential equation.Discretizing the spatial direction with a fourth order compact scheme leads to a linear system of ordinary differential equations.For the temporal direction,we utilize the favorable boundary value methods owing to their advantageous stability properties.In addition,the resulting large sparse system can be solved rapidly by the GMRES method with a circulant Strang-type preconditioner.Numerical results demonstrate the high order accuracy of our scheme and the efficiency of the preconditioned GMRES method.
基金supported by the National Natural Science Foundation of China (No. 61070092)
文摘Angiogenesis, the growth of new blood vessel from existing ones, is a pivotal stage in cancer development,and is an important target for cancer therapy. We develop a hybrid mathematical model to understand the mechanisms behind tumor-induced angiogenesis. This model describes uptake of Tumor Angiogenic Factor（TAF）at extracellular level, uses partial differential equation to describe the evolution of endothelial cell density including TAF induced proliferation, chemotaxis to TAF, and haptotaxis to extracellular matrix. In addition we also consider the phenomenon of blood perfusion in the micro-vessels. The model produces sprout formation with realistic morphological and dynamical features, including the so-called brush border effect, the dendritic branching and fusing of the capillary sprouts forming a vessel network. The model also demonstrates the effects of individual mechanisms in tumor angiogenesis： Chemotaxis to TAF is the key driving mechanisms for the extension of sprout cell; endothelial proliferation is not absolutely necessary for sprout extension; haptotaxis to Extra Cellular Matrix（ECM） gradient provides additional guidance to sprout extension, suggesting potential targets for anti-angiogenic therapies.
文摘The aim of this study is to give a Legendre polynomial approximation for the solution of the second order linear hyper-bolic partial differential equations (HPDEs) with two variables and constant coefficients. For this purpose, Legendre matrix method for the approximate solution of the considered HPDEs with specified associated conditions in terms of Legendre polynomials at any point is introduced. The method is based on taking truncated Legendre series of the functions in the equation and then substituting their matrix forms into the given equation. Thereby the basic equation reduces to a matrix equation, which corresponds to a system of linear algebraic equations with unknown Legendre coefficients. The result matrix equation can be solved and the unknown Legendre coefficients can be found approximately. Moreover, the approximated solutions of the proposed method are compared with the Taylor [1] and Bernoulli [2] matrix methods. All of computations are performed on a PC using several programs written in MATLAB 7.12.0.
基金supported by the Natural Science Foundation of Hebei Province under Grant No.A2012203407
文摘A framework to obtain numerical solution of the fractional partial differential equation using Bernstein polynomials is presented. The main characteristic behind this approach is that a fractional order operational matrix of Bernstein polynomials is derived. With the operational matrix, the equation is transformed into the products of several dependent matrixes which can also be regarded as the system of linear equations after dispersing the variable. By solving the linear equations, the numerical solutions are acquired. Only a small number of Bernstein polynomials are needed to obtain a satisfactory result. Numerical examples are provided to show that the method is computationally efficient.
文摘In this paper, we present a new computational approach for solving an internal optimal control problem, which is governed by a linear parabolic partial differential equation. Our approach is to approximate the PDE problem by a nonhomogeneous ordinary differential equation system in higher dimension. Then, the homogeneous part of ODES is solved using semigroup theory. In the next step, the convergence of this approach is verified by means of Toeplitz matrix. In the rest of the paper, the optimal control problem is solved by utilizing the solution of homogeneous part. Finally, a numerical example is given.
