Two maximum likelihood methods for estimating the parameters of stochastic differential equations (SDEs) from time-series data are proposed. The first is that of simulated maximum likelihood in which a nonparametric kernel is used to construct the transitional density of an SDE from a series of...

A convenient, generally applicable technique for programming Method-of-lines solutions of linear or nonlinear partial differential equations employs a new implementation of W. Schiesser's general-purpose differentiation operators. A novel vector compiler reads a vector equation or differential...

Problems in structural mechanics can be very large scale and also extremely ill-conditioned due to both a small mesh-size parameter and extreme values of the problem parameters. Their numerical solution require iterative solvers with efficient preconditioners.

Parallel simulation has contributed to reducing the execution time in simulating a large complex system. The system is partitioned into N disjoint subsystems, each of which is assigned to one of N processors and the simulations of subsystems are carried out using them in parallel. Parallel...

This study is devoted to the numerical solution of 3D elasticity problems in multilayer media. The problem is described by a coupled system of second-order nonlinear elliptic partial differential equations with strongly varying coefficients. The boundary value problem is discretized by trilinear...

We present a framework for implementing massively distributed applications in symbolic computing. Using this framework, computations with massive resource requirements can be distributed and processed in parallel on a network of workstations or on a large scale network such as the Internet. For...

Two new second-order finite difference techniques based upon the classical 3-point backward time centered space (BTCS) method and the Crank–Nicolson scheme, and also a fourth-order finite difference scheme based on Crandall's method for one-dimensional diffusion, are used to solve the...

We study the linearized stability of a discontinuous solution of a multidimensional hyperbolic system of conservation laws by linearizing the system around the basic solution; the resulting linearized system has discontinuous coefficients and involves nonconservative products. We propose a...

It is well known that the CAPM beta is not stable over time. We investigate the nature of the time-variation in betas using monthly Australian data from 1979 to 1994 for 23 sectors. We discuss beta estimates for sub-periods and tests of the statistical adequacy of the market model used to...

We construct a class of symplectic integration schemes to general Sine–Gordon type systems. We also conduct several numerical tests for these symplectic schemes. Our numerical results demonstrate the effectiveness of these schemes for numerical computation of the solutions to the general...