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   Articles with "partial integro" as a keyword



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Adomian decomposition and homotopy perturbation method for the solution of time fractional partial integro-differential equations

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recommendations! Published in 2021 at "Journal of Applied Mathematics and Computing"

DOI: 10.1007/s12190-021-01613-x

Abstract: This article deals with two different methods to solve a time fractional partial integro-differential equation. The fractional derivatives are defined here in Caputo sense. The model problem is solved using the Adomian decomposition method and… read more here.

Keywords: fractional partial; integro differential; time fractional; partial integro ... See more keywords
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Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations

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recommendations! Published in 2019 at "Applied Numerical Mathematics"

DOI: 10.1016/j.apnum.2019.01.001

Abstract: Abstract In this paper we consider the valuation of swing options with the possibility of incorporating spikes in the underlying electricity price. This kind of contracts are modelled as path dependent options with multiple exercise… read more here.

Keywords: integro differential; swing options; diffusion models; partial integro ... See more keywords
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A fast numerical method for fractional partial integro-differential equations with spatial-time delays

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recommendations! Published in 2021 at "Applied Numerical Mathematics"

DOI: 10.1016/j.apnum.2020.12.007

Abstract: Abstract This study aims to efficiently solve the space-time fractional partial integro-differential equations with spatial-time delays, employing a fast numerical methodology dependent upon the matching polynomial of complete graph and matrix-collocation procedure. This methodology provides… read more here.

Keywords: fractional partial; methodology; integro differential; time ... See more keywords
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Dissipativity-based backstepping boundary control for a class of semilinear partial integro-differential equations

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recommendations! Published in 2019 at "IFAC-PapersOnLine"

DOI: 10.1016/j.ifacol.2019.08.001

Abstract: Abstract The problem of state feedback control for a class of semilinear partial integro-differential equations is addressed within the framework of dissipativity theory. Adapting ideas from absolute stability theory the system is viewed as interconnection… read more here.

Keywords: class semilinear; control class; semilinear partial; class ... See more keywords
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Feynman–Kac theorem in random environments and partial integro-differential equations

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recommendations! Published in 2017 at "Journal of Mathematical Analysis and Applications"

DOI: 10.1016/j.jmaa.2017.01.076

Abstract: Abstract We prove a Feynman–Kac-type theorem for jump-diffusion models in random environments. We consider the Cauchy and Dirichlet problems. Our results enable us to calculate some conditional expectations using related partial integro-differential equations (PIDEs) and… read more here.

Keywords: integro differential; random environments; partial integro; feynman kac ... See more keywords