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.
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
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.
Computing the maximum amplification of the solution norm of differential-algebraic systems
Computational Mathematics and Modeling - Tập 23 - Trang 216-227 - 2012
We describe an effective approach for computing the maximum amplification of the solution norm of linear differential-algebraic systems that arise, in particular, when approximating with respect to space variables the linearized viscous incompressible flow equations for disturbances of laminar flows. In this context the square of the maximum amplification is the largest amplification of the kineti......
Natural waves and chaotic structures in a distributed four-component model of the NO+CO/PT(100) reaction
Computational Mathematics and Modeling - Tập 10 - Trang 363-378 - 1999
The paper investigates the spatio-temporal structures arising in the distributed model of the NO+CO/Pt(100) reaction. Different types of spatio-temporal structures are identified. Their existence domains are plotted on a bifurcation diagram in the (T, P) parameter plane for a fixed pressureP. Spatio-temporal structures are investigated in excitable and bistable media, such as single traveling puls......
Construction of Optimal Control Laws for a Model of Information Diffusion in a Social Group
Computational Mathematics and Modeling - Tập 26 - Trang 61-86 - 2014
The article investigates a modified model of information propagation (diffusion). The model differs from the original model [2] by the choice of the optimized functional. The one-dimensional nonlinear optimal control problem is posed and solved by the Pontryagin maximum principle. It is shown that the optimal control is a relay function of time with at most one switching point. For some particular......
Passage to lagrange multipliers for determination of the high-order constant for Pontryagin minimum
Computational Mathematics and Modeling - Tập 4 - Trang 378-386 - 1993
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