Nonlinear Partial Differential Equation
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Author(s):  
Ashley Davey ◽  
Harry Zheng

AbstractThis paper proposes two algorithms for solving stochastic control problems with deep learning, with a focus on the utility maximisation problem. The first algorithm solves Markovian problems via the Hamilton Jacobi Bellman (HJB) equation. We solve this highly nonlinear partial differential equation (PDE) with a second order backward stochastic differential equation (2BSDE) formulation. The convex structure of the problem allows us to describe a dual problem that can either verify the original primal approach or bypass some of the complexity. The second algorithm utilises the full power of the duality method to solve non-Markovian problems, which are often beyond the scope of stochastic control solvers in the existing literature. We solve an adjoint BSDE that satisfies the dual optimality conditions. We apply these algorithms to problems with power, log and non-HARA utilities in the Black-Scholes, the Heston stochastic volatility, and path dependent volatility models. Numerical experiments show highly accurate results with low computational cost, supporting our proposed algorithms.


2021 ◽  
Vol 2 (4) ◽  
Author(s):  
Yuhki Hosoya

AbstractWe study a first-order nonlinear partial differential equation and present a necessary and sufficient condition for the global existence of its solution in a non-smooth environment. Using this result, we prove a local existence theorem for a solution to this differential equation. Moreover, we present two applications of this result. The first concerns an inverse problem called the integrability problem in microeconomic theory and the second concerns an extension of Frobenius’ theorem.


2021 ◽  
Vol 26 (4) ◽  
pp. 75
Author(s):  
Keltoum Bouhali ◽  
Abdelkader Moumen ◽  
Khadiga W. Tajer ◽  
Khdija O. Taha ◽  
Yousif Altayeb

The Korteweg–de Vries equation (KdV) is a mathematical model of waves on shallow water surfaces. It is given as third-order nonlinear partial differential equation and plays a very important role in the theory of nonlinear waves. It was obtained by Boussinesq in 1877, and a detailed analysis was performed by Korteweg and de Vries in 1895. In this article, by using multi-linear estimates in Bourgain type spaces, we prove the local well-posedness of the initial value problem associated with the Korteweg–de Vries equations. The solution is established online for analytic initial data w0 that can be extended as holomorphic functions in a strip around the x-axis. A procedure for constructing a global solution is proposed, which improves upon earlier results.


2021 ◽  
Vol 2070 (1) ◽  
pp. 012065
Author(s):  
C F Sagar Zephania ◽  
P C Harisankar ◽  
Tapas Sil

Abstract An improved homotopy perturbation method (LH) applied to find approximate solution of KP equation. The results obtained ensure that LH is capable for solving the strongly higher dimension nonlinear partial differential equation such as KP equation. The approximated solution obtained by LH is compared with exact solution.


2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Sunil Kumar ◽  
Surath Ghosh ◽  
Shaher Momani ◽  
S. Hadid

Purpose The population model has an important role in biology to interpret the spreading rate of viruses and parasites. This biological model is also used to identify fragile species. This paper aims to propose a new Yang-Abdel-Aty-Cattani (YAC) fractional operator with a non-singular kernel to solve nonlinear partial differential equation, which is arised in biological population model. Here, this study has explained the analytical methods, reduced differential transform method (RDTM) and residual power series method (RPSM) taking the fractional derivative as YAC operator sense. Design/methodology/approach This study has explained the analytical methods, RDTM and RPSM taking the fractional derivative as YAC operator sense. Findings This study has expressed the solutions in terms of Mittag-Leffler functions. Also, this study has compared the solutions with the exact solutions. Three examples are described for the accuracy and efficiency of the results. Research limitations/implications The population model has an important role in biology to interpret the spreading rate of viruses and parasites. This biological model is also used to identify fragile species. In this study, the main aim is to propose a new YAC fractional operator with non-singular kernel to solve nonlinear partial differential equation, which is arised in biological population model. Here, this study has explained the analytical methods, RDTM and RPSM taking the fractional derivative as YAC operator sense. This study has expressed the solutions in terms of Mittag-Leer functions. Also, this study has compared the solutions with the exact solutions. Three examples are described for the accuracy and efficiency of the results. Practical implications The population model has an important role in biology to interpret the spreading rate of viruses and parasites. This biological model is also used to identify fragile species. In this paper, the main aim is to propose a new YAC fractional operator with non-singular kernel to solve nonlinear partial differential equation which is arised in biological population model. Here, this study has explained the analytical methods, RDTM and RPSM taking the fractional derivative as YAC operator sense. This study has expressed the solutions in terms of Mittag-Leer functions. Also, this study has compared the solutions with the exact solutions. Three examples are described for the accuracy and efficiency of the results. Social implications The population model has an important role in biology to interpret the spreading rate of viruses and parasites. This biological model is also used to identify fragile species. In this paper, the main aim is to propose a new YAC fractional operator with non-singular kernel to solve nonlinear partial differential equation, which is arised in biological population model. Here, this paper has explained the analytical methods, RDTM and RPSM taking the fractional derivative as YAC operator sense. This study has expressed the solutions in terms of Mittag-Leer functions. Also, this study has compared the solutions with the exact solutions. Three examples are described for the accuracy and efficiency of the results. Originality/value The population model has an important role in biology to interpret the spreading rate of viruses and parasites. This biological model is also used to identify fragile species. In this paper, the main aim is to propose a new YAC fractional operator with non-singular kernel to solve nonlinear partial differential equation, which is arised in biological population model. Here, this paper has explained the analytical methods, RDTM and RPSM taking the fractional derivative as YAC operator sense. This study has expressed the solutions in terms of Mittag-Leer functions. Also, this study has compared the solutions with the exact solutions. Three examples are described for the accuracy and efficiency of the results.


2021 ◽  
Vol 14 (9) ◽  
pp. 399
Author(s):  
Pedro Pólvora ◽  
Daniel Ševčovič

Our goal is to analyze the system of Hamilton-Jacobi-Bellman equations arising in derivative securities pricing models. The European style of an option price is constructed as a difference of the certainty equivalents to the value functions solving the system of HJB equations. We introduce the transformation method for solving the penalized nonlinear partial differential equation. The transformed equation involves possibly non-constant the risk aversion function containing the negative ratio between the second and first derivatives of the utility function. Using comparison principles we derive useful bounds on the option price. We also propose a finite difference numerical discretization scheme with some computational examples.


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