Registered Data

[CT112]

  • Session Time & Room
    • CT112 (1/1) : 5D @E504 [Chair: KULDIP SINGH PATEL]
  • Classification
    • CT112 (1/1) : Numerical methods for partial differential equations, boundary value problems (65N) / Time-dependent statistical mechanics (dynamic and nonequilibrium) (82C)

[00394] Numerical methods for option pricing: need and challenges

  • Session Time & Room : 5D (Aug.25, 15:30-17:10) @E504
  • Type : Contributed Talk
  • Abstract : The stability analysis of numerical methods is often challenging. In this talk, compact schemes are considered for the variable coefficient PDEs arising in option pricing. A sufficient condition for stability of the schemes has been derived using novel difference equation based approach. The condition number of amplification matrix is also analyzed, and an estimate for the same is derived. An example is provided using MATLAB to support the assumption taken to assure stability.
  • Classification : 65N12, 65N06, 65N15
  • Format : Talk at Waseda University
  • Author(s) :
    • KULDIP SINGH PATEL (Indian Institute of Technology Patna)

[02118] The finite volume method for solving the oblique derivative BVP in geodesy

  • Session Time & Room : 5D (Aug.25, 15:30-17:10) @E504
  • Type : Contributed Talk
  • Abstract : We formulate the oblique derivative boundary value problem applied in gravity field and present two approaches to its solution by the finite volume method. In the first approach, the oblique derivative in the boundary condition is decomposed into normal and two tangential components and approximated by the central scheme. In the second approach, the oblique derivative in the boundary condition is treated by the first order upwind scheme. Both approaches are tested by various experiments.
  • Classification : 65N08
  • Author(s) :
    • Zuzana Minarechová (Slovak University of Technology)
    • Marek Macák (Slovak University of Technology)
    • Karol Mikula (Slovak University of Technology)
    • Róbert Čunderlík (Slovak University of Technology)

[02417] State equation for oscillator chains

  • Session Time & Room : 5D (Aug.25, 15:30-17:10) @E504
  • Type : Contributed Talk
  • Abstract : We present a linear state equation between kinetic temperature and mass density that has been widely verified in boundary-driven one-dimensional nonequilibrium systems. We show that this relation holds even more universally and in particular when standard relations between purely mechanical and thermodynamic quantities do not apply. We investigate special situations in which phase transitions occur and the relation fails, as common in statistical mechanics. We also provide a theoretical explanation of how this happens.
  • Classification : 82C05, 70-10
  • Format : Talk at Waseda University
  • Author(s) :
    • Vincenzo Di Florio (Politecnico di Torino)
    • Lamberto Rondoni (Politecnico di Torino)
    • Claudio Giberti ( University of Modena and Reggio Emilia)
    • Hong Zhao (Xiamen University)

[01929] Colored noise driven autonomous stochastic resonance

  • Session Time & Room : 5D (Aug.25, 15:30-17:10) @E504
  • Type : Contributed Talk
  • Abstract : A one-dimensional linear autonomous system coupled to a generic stationary nonequilibrium fluctuating bath can exhibit a resonant response when its damped oscillation period matches some characteristic bath’s relaxation time. This condition justifies invoking the stochastic resonance paradigm, even if it can be achieved more easily by tuning the system to the bath and not vice versa, as is usually the case. The simple nature of the mechanism numerically investigated here suggests number of exciting applications
  • Classification : 82C31
  • Format : Online Talk on Zoom
  • Author(s) :
    • SHRABANI MONDAL (Jadavpur University)
    • SHRABANI MONDAL (Jadavpur University)