The paper presents a simple but efficient new numerical scheme for the integration of nonlinear constitutive equations. Although it can be used for the integration of a system of algebraic and differential equations in general, the scheme is primarily developed for use with the direct solution...

This paper is concerned with option pricing in an incomplete market driven by a jump-diffusion process. We price options according to the principle of utility indifference. Our main contribution is an efficient multi-nomial tree method for computing the utility indifference prices for both...

This article presents the results obtained from the analysis of the I–V electrical characteristics of photovoltaic arrays that were tested in a region of the Sahara. Experiments were carried out at Adrar in the southern part of Algeria. The study includes the determination of the most...

This paper presents a numerical study for the peristaltic flow characteristics of a Sisko fluid in a symmetric or asymmetric channel. The fluid is assumed to be electrically conducting in the presence of a uniform magnetic field. The mathematical formulation consisting of nonlinear governing...

We consider an intertemporal economy with liquidity constrained and unconstrained individuals. A liquidity constraint prevents marketability of future income and thus endogenously generates market incompleteness. In contrast with the existing literature on portfolio constraints, our liquidity...

In this paper, we construct low-dimensional manifolds of reduced description for equations of chemical kinetics from the standpoint of the method of invariant manifold (MIM). MIM is based on a formulation of the condition of invariance as an equation, and its solution by Newton iterations. A...

Shallow north part of the Caspian Sea is part of the most important region of the Caspian Sea. The Northeast part, especially its coastal zone, is unexplored areas of the Caspian Sea. In last years the north part of the Caspian Sea became one of the main sources of pollution of the whole sea....

The problem of pricing European options based on multiple assets with transaction costs is considered. These options include, for example, quality options and options on the minimum of two or more risky assets. The value of these options is the solution of a nonlinear parabolic partial...

A symbolical computation approach to the preprocessing of distributed parameter systems for preparing a numerical solution by a method of lines technique is investigated. A first prototype of a toolbox for the semi-discretization of partial differential equation systems on simple spatial domains...