Computational Mathematics and Modeling
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An upper bound on the value of an infinite American call option on two assets
Computational Mathematics and Modeling - Tập 23 - Trang 478-486 - 2012
We consider a two-asset call option whose exercise price depends on the acquired asset. An upper bound on the call value is obtained using an integral formula. We show that the option’s immediate exercise set consists of two convex subsets whose boundaries are defined by nondecreasing convex functions with asymptotes. Explicit formulas are derived for the asymptote coefficients; the immediate exer......
Mathematical methods for computing the extremal power values in the nodes of ac electric power systems
Computational Mathematics and Modeling - Tập 23 - Trang 175-194 - 2012
The article describes possible applications of mathematical methods to compute the limits of allowed variation of power in the nodes of an AC electric power system and provides an overview of the main groups of approaches that can be used to solve this problem.
Attractors of discrete controlled systems in metric spaces
Computational Mathematics and Modeling - Tập 11 - Trang 321-326 - 2000
A new scenario is described for the creation of a strange attractor in discrete dynamical systems acting in metric spaces. We investigate attractors for ensembles of dynamical systems and attractors for controlled systems with programmed piecewise-constant controls taking finitely many values.
Numerical analysis of the eigenfrequency spectrum of shells of revolution
Computational Mathematics and Modeling - Tập 6 - Trang 264-268 - 1995
Stochastic gradient algorithm of the iterative penalty method solving the maximin problem with coupled constraints
Computational Mathematics and Modeling - Tập 2 - Trang 384-392 - 1991
Numerical Modeling of Heat and Moisture Diffusion in Porous Materials
Computational Mathematics and Modeling - Tập 26 - Trang 501-513 - 2015
The article describes a one-dimensional model of heat and moisture transfer in a building wall constructed from several layers of different porous materials. The model consists of a system of diffusion equations for heat, water vapor, and liquid water allowing for condensation of vapor and evaporation of water. An algorithm and a computer program are developed for numerical solution of the model e......
Achieving high-efficiency second harmonic generation in a sequence of laser pulses with random peak intensity. Part I. Efficient generation in optical fibers
Computational Mathematics and Modeling - Tập 19 - Trang 333-342 - 2008
The study examines the possibility of suppressing peak intensity fluctuations in a sequence of fixed-energy femtosecond pulses using so-called cascade second harmonic generation (SHG). In Part I we consider the propagation of light pulses in an optical fiber with quadratic and cubic nonlinearity. We show that, for a given fiber length, high mean efficiency of frequency conversion can be achieved s......
Numerical analysis of geoelectric fields in a medium with faults
Computational Mathematics and Modeling - Tập 10 - Trang 283-290 - 1999
An efficient method of electromagnetic field calculation is applied to the model of a multilayer nonhomogeneous medium with an arbitrary number of vertical faults. The model simulates a medium that includes the asthenosphere, the crustal layer, and the surface sedimentary layer, all joined by conducting faults. The numerical results are calculated and the effect of faults is assessed.
Axiomatization in cooperative game theory
Computational Mathematics and Modeling - Tập 16 - Trang 60-71 - 2005
We develop a theory of cooperative games based on a new concept of characteristic function. This approach substantially reduces the number of solutions and shows that noncooperative equilibria lead in some cases to a unique cooperative solution.
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