For many practitioners and market participants, the valuation of financialderivatives is considered of very high importance as its uses range from arisk management tool, to a speculative investment strategy or capital enhancement. A developing market requires efficient but accurate methods...

In this article, various problems of movement control of mechanical objects like problem of guidance, problem of acceleration, problem of control with excluded time and problem of control as a function of time have been discussed and solved. The simple expressions for relevant optimum phase...

While optimal rates of convergence in L <Subscript>2</Subscript> for spectral regularization estimators in statistical inverse problems have been much studied, the pointwise asymptotics for these estimators have received very little consideration. Here, we briefly discuss asymptotic expressions for bias and variance...</subscript>

This paper deals with the construction of reliable numerical solutions of mixed problems for hyperbolic second order partial differential models with random information in the variable coefficients of the partial differential equation and in the initial data. Using random difference schemes a...

The paper deals with photosynthetic microorganism growth modelling and simulation in a distributed parameter system. Main result concerns the development and comparison of two modeling frameworks for photo-bioreactor modelling. The first “classical” approach is based on PDE...

Understanding the behaviour of the American put option is one of the classic problems in mathematical finance. Considerable efforts have been made to understand the asymptotic expansion of the optimal early exercise boundary for small time near expiry. Here we focus on the large-time expansion...

In this study we construct and derive analytical solutions for a mathematical model of an oceanic environment in which wave-induced flow fields cause structural surge motion after which a fuzzy control technique is developed to alleviate structural vibration. Specifically the Takagi–Sugeno...

This paper is concerned with regime-switching American option pricing. We develop new numerical schemes by extending the penalty method approach and by employing the θ-method. With regime-switching, American option prices satisfy a system of m free boundary value problems, where m is the number...