Journal of Computational and Applied Mathematics最新文献_第3页

Numerical analysis of a thermoelastic problem of Moore–Gibson–Thompson type with history dependence in the thermal displacement 具有热位移历史依赖性的摩尔-吉布森-汤普森型热弹性问题的数值分析

IF 2.1 2区数学

Journal of Computational and Applied Mathematics Pub Date : 2024-10-16 DOI: 10.1016/j.cam.2024.116317

N. Bazarra , J.R. Fernández , R. Quintanilla

引用次数: 0

Convergence analysis of a weak Galerkin finite element method on a Shishkin mesh for a singularly perturbed fourth-order problem in 2D 针对二维奇异扰动四阶问题的 Shishkin 网格弱 Galerkin 有限元方法的收敛性分析

IF 2.1 2区数学

Journal of Computational and Applied Mathematics Pub Date : 2024-10-15 DOI: 10.1016/j.cam.2024.116324

Shicheng Liu , Xiangyun Meng , Qilong Zhai

引用次数: 0

Non-Intrusive Reduced Basis two-grid method for flow and transport problems in heterogeneous porous media 用于解决异质多孔介质中的流动和传输问题的非侵入式还原基础双网格法

IF 2.1 2区数学

Journal of Computational and Applied Mathematics Pub Date : 2024-10-15 DOI: 10.1016/j.cam.2024.116321

Wansheng Gao , Ludovic Chamoin , Insa Neuweiler

{"title":"Non-Intrusive Reduced Basis two-grid method for flow and transport problems in heterogeneous porous media","authors":"Wansheng Gao , Ludovic Chamoin , Insa Neuweiler","doi":"10.1016/j.cam.2024.116321","DOIUrl":"10.1016/j.cam.2024.116321","url":null,"abstract":"<div><div>Due to its non-intrusive nature and ease of implementation, the Non-Intrusive Reduced Basis (NIRB) two-grid method has gained significant popularity in numerical computational fluid dynamics simulations. The efficiency of the NIRB method hinges on separating the procedure into offline and online stages. In the offline stage, a set of high-fidelity computations is performed to construct the reduced basis functions, which is time-consuming but is only executed once. In contrast, the online stage adapts a coarse-grid model to retrieve the expansion coefficients of the reduced basis functions. Thus it is much less costly than directly solving a high-fidelity model. However, coarse grids in heterogeneous porous media of flow models are often accompanied by upscaled hydraulic parameters (e.g. hydraulic conductivity), thus introducing upscaling errors. In this work, we introduce the two-scale idea to the existing NIRB two-grid method: when dealing with coarse-grid models, we also employ upscaled model parameters. Both the discretization and upscaling errors are compensated by the rectification post-processing. The numerical examples involve flow and heat transport problems in heterogeneous hydraulic conductivity fields, which are generated by self-affine random fields. Our research findings indicate that the modified NIRB method can effectively capture the large-scale features of numerical solutions, including pressure, velocity, and temperature. However, accurately retrieving velocity fields with small-scale features remains highly challenging.</div></div>","PeriodicalId":50226,"journal":{"name":"Journal of Computational and Applied Mathematics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142532046","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Analysis of dependent complementary competing risks data from a generalized inverted family of lifetime distributions under a maximum ranked set sampling procedure with unequal samples 在最大排序集抽样程序下，对来自广义倒置寿命分布族的依赖性互补竞争风险数据进行不等样分析

IF 2.1 2区数学

Journal of Computational and Applied Mathematics Pub Date : 2024-10-11 DOI: 10.1016/j.cam.2024.116309

Liang Wang , Chunfang Zhang , Yogesh Mani Tripathi , Yuhlong Lio

{"title":"Analysis of dependent complementary competing risks data from a generalized inverted family of lifetime distributions under a maximum ranked set sampling procedure with unequal samples","authors":"Liang Wang , Chunfang Zhang , Yogesh Mani Tripathi , Yuhlong Lio","doi":"10.1016/j.cam.2024.116309","DOIUrl":"10.1016/j.cam.2024.116309","url":null,"abstract":"<div><div>This paper explores analysis of a dependent complementary competing risks model when the failure causes are distributed by the proposed generalized inverted family of lifetime distributions. Under maximum ranked set sampling with unequal samples (MRSSU), statistical inference of model parameters and reliability indices is discussed under classical frequentist and Bayesian approaches, respectively. Maximum likelihood estimators along with their existence and uniqueness are obtained for model parameters, and associated approximate confidence intervals are constructed in consequence. Bayesian estimation is also performed with respect to general flexible priors, and the Markov Chain Monte Carlo (MCMC) algorithm is proposed for complex posterior computation. The study further examines classical and Bayesian estimations with order restriction of parameters when additional historical information is available in the MRSSU scenario. Finally, the performance of different results is evaluated through numerical simulations and a real data example is presented for demonstrating the application of our methods.</div></div>","PeriodicalId":50226,"journal":{"name":"Journal of Computational and Applied Mathematics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142441065","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A mathematical model for the role of vaccination and treatment in measles transmission in Turkey 疫苗接种和治疗在土耳其麻疹传播中的作用数学模型

IF 2.1 2区数学

Journal of Computational and Applied Mathematics Pub Date : 2024-10-11 DOI: 10.1016/j.cam.2024.116308

Osman Rasit Isik , Necibe Tuncer , Maia Martcheva

{"title":"A mathematical model for the role of vaccination and treatment in measles transmission in Turkey","authors":"Osman Rasit Isik , Necibe Tuncer , Maia Martcheva","doi":"10.1016/j.cam.2024.116308","DOIUrl":"10.1016/j.cam.2024.116308","url":null,"abstract":"<div><div>A previously developed and analyzed deterministic model for the transmission dynamics of measles, which takes into account the possibility of vaccinated people also contracting the disease, has been developed for Turkey. The model consists of nine compartments. The structural identifiability of the model was examined using software and detailed tables are given assuming that the incidence is given for structural identifiability. As a result of this analysis, the model is found to be structurally identifiable if at least two parameters are given along with the incidence. The parameters in this non-autonomous model are determined by considering the 1970–2021 measles case numbers in Turkey. We realize that the changes in immigration rates in Turkey, especially since the early 2000s, the changes in vaccination rates from 1970 to the present, and the changes in the vaccination rates of susceptible individuals, are significant changes in terms of time, and so we assume that these three parameters are time dependent. The practical identifiability of the model with the determined parameters is examined and it is found that if two parameters are given, all parameters except five parameters are practical identifiable. Unidentified parameters are fixed to a value by taking reference sources into account, and a model with all parameters practically identifiable is achieved. With the obtained values, the associated reproduction number of the model was obtained as 1.07 which means that the disease will persist in Turkey.</div></div>","PeriodicalId":50226,"journal":{"name":"Journal of Computational and Applied Mathematics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142532043","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Pricing of timer volatility-barrier options under Heston’s stochastic volatility model 赫斯顿随机波动率模型下的定时波动率障碍期权定价

IF 2.1 2区数学

Journal of Computational and Applied Mathematics Pub Date : 2024-10-11 DOI: 10.1016/j.cam.2024.116310

Mijin Ha , Donghyun Kim , Ji-Hun Yoon

{"title":"Pricing of timer volatility-barrier options under Heston’s stochastic volatility model","authors":"Mijin Ha , Donghyun Kim , Ji-Hun Yoon","doi":"10.1016/j.cam.2024.116310","DOIUrl":"10.1016/j.cam.2024.116310","url":null,"abstract":"<div><div>Timer options are financial instruments that enable investors to exercise their rights on a random maturity date the realized variance reaches the level of variance budget. These options provide a stable investment opportunity for investors under the unpredictable and complex financial markets, such as global financial crisis or COVID-19 pandemic, which can induce the drastic changes of the volatility for the underlying asset. Meanwhile, in the financial markets, investors who invest in standard timer options may face the problems caused by the postponement of the exercising time for too low volatility, compared to standard vanilla options. In this regard, to overcome such disadvantages, we propose timer volatility-barrier options, which are activated and expired when the volatility arrives at a relatively low barrier level, with the original properties of the standard timer options. In this paper, by making use of the method of images, we derive an analytical formulas for the timer volatility-barrier options so that the volatility process can be driven by Heston stochastic volatility model, and verify the pricing accuracy of the timer options by comparing our solutions with those obtained from Monte Carlo simulations. Finally, we conduct numerical studies on the timer volatility-barrier options to examine the pricing sensitivities with respect to the various model parameters, and implement the discussion for pricing formula of double volatility barrier type of the timer options.</div></div>","PeriodicalId":50226,"journal":{"name":"Journal of Computational and Applied Mathematics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142441275","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Tail moments and tail joint moments for multivariate generalized hyperbolic distribution 多元广义双曲分布的尾矩和尾联合矩

IF 2.1 2区数学

Journal of Computational and Applied Mathematics Pub Date : 2024-10-11 DOI: 10.1016/j.cam.2024.116307

Yang Yang, Guojing Wang, Jing Yao

{"title":"Tail moments and tail joint moments for multivariate generalized hyperbolic distribution","authors":"Yang Yang, Guojing Wang, Jing Yao","doi":"10.1016/j.cam.2024.116307","DOIUrl":"10.1016/j.cam.2024.116307","url":null,"abstract":"<div><div>In this paper, we investigate two novel risk measures under the weighted risk aggregation model: Tail Moment (TM) and Tail Joint Moment (TJM). These measures encompass numerous classical risk measures and are capable of quantifying higher-moment risks such as tail skewness and tail kurtosis. Considering the asymmetric and heavy-tailed properties typical of financial and insurance data, we employ the Multivariate Generalized Hyperbolic (MGH) distribution to model risk variables. Within this framework, we derive analytical expressions for the TM and TJM. These results facilitate the precise assessment of portfolio tail risk as well as the tail dependence between risk assets. Furthermore, we present two applications to highlight the benefits and robustness of TM and TJM in risk management and portfolio selection. In the first example, we utilize tail conditional skewness (TCS) and tail conditional kurtosis (TCK) to evaluate the extreme loss risks of assets, which are not typically captured by conventional risk measure such as marginal expected shortfall (MES) and tail variance (TV). In the second example, we concentrate on the dependence of risks in a downside market. Specifically, we use Tail Correlation (TCOR) and Tail Co-skewness (TCOS) to analyze the risk relationships between stocks and the market index during downturns. These risk measures provide crucial insights for portfolio tail risk assessment and hedging against downside market risk.</div></div>","PeriodicalId":50226,"journal":{"name":"Journal of Computational and Applied Mathematics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142445771","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Non-Fickian diffusion enhanced by temperature 温度增强的非费克式扩散

IF 2.1 2区数学

Journal of Computational and Applied Mathematics Pub Date : 2024-10-11 DOI: 10.1016/j.cam.2024.116314

José A. Ferreira , Mario Grassi , Elías Gudiño , Paula de Oliveira

引用次数: 0

An MP-Newton method for computing nonlinear eigenpairs and its application for solving a semilinear Schrödinger equation 计算非线性特征对的 MP-Newton 方法及其在求解半线性薛定谔方程中的应用

IF 2.1 2区数学

Journal of Computational and Applied Mathematics Pub Date : 2024-10-11 DOI: 10.1016/j.cam.2024.116315

Xudong Yao

引用次数: 0

Analysis of a Crank–Nicolson fast element-free Galerkin method for the nonlinear complex Ginzburg–Landau equation 非线性复杂金兹堡-朗道方程的 Crank-Nicolson 快速无元素 Galerkin 方法分析

IF 2.1 2区数学

Journal of Computational and Applied Mathematics Pub Date : 2024-10-10 DOI: 10.1016/j.cam.2024.116323

Xiaolin Li , Xiyong Cui , Shougui Zhang

引用次数: 0