Thesis (Ph. D.)--Ohio State University, 2006. / Title from first page of PDF file. Includes bibliographical references (p. 122-126).

Thesis (Ph. D.)--University of Sydney, 2008. / Includes graphs. Title from title screen (viewed November 28, 2008) Submitted in fulfilment of the requirements for the degree of Doctor of Philosophy to the School of Mathematics and Statistics, Faculty of Science. Includes bibliographical references. Also available in print form.

Diffusion equations arise in areas such as fluid mechanics, cellular biology, weather forecasting, electronics, mechanical engineering, atomic physics, environmental science, medicine, etc. This dissertation considers equations of this type that arise in mathematical finance. For over 40 years traders in financial markets around the world have used Black-Scholes equations for valuing financial options. These equations need to be solved quickly and accurately so that the traders can make prompt and accurate investment decisions. One way to do this is to use parallel numerical algorithms. This dissertation develops and evaluates algorithms of this kind that are based on the Laplace transform, numerical inversion algorithms and finite difference methods. Laplace transform-based algorithms have faced a legitimate criticism that they are ill-posed i.e. prone to instability. We demonstrate with reference to the Black-Scholes equation, contrary to the received wisdom, that the use of the Laplace transform may be used to produce reasonably accurate solutions (i.e. to two decimal places), in a fast and reliable manner when used in conjunction with standard PDE techniques. To set the scene for the investigations that follow, the reader is introduced to financial options, option pricing and the one-dimensional and two-dimensional linear and nonlinear Black-Scholes equations. This is followed by a description of the Laplace transform method and in particular, four widely used numerical algorithms that can be used for finding inverse Laplace transform values. Chapter 4 describes methodology used in the investigations completed i.e. the programming environment used, the measures used to evaluate the performance of the numerical algorithms, the method of data collection used, issues in the design of parallel programs and the parameter values used. To demonstrate the potential of the Laplace transform based approach, Chapter 5 uses existing procedures of this kind to solve the one-dimensional, linear Black-Scholes equation. Chapters 6, 7, 8, and 9 then develop and evaluate new Laplace transform-finite difference algorithms for solving one-dimensional and two-dimensional, linear and nonlinear Black-Scholes equations. They also determine the optimal parameter values to use in each case i.e. the parameter values that produce the fastest and most accurate solutions. Chapters 7 and 9 also develop new, iterative Monte Carlo algorithms for calculating the reference solutions needed to determine the accuracy of the LTFD solutions. Chapter 10 identifies the general patterns of behaviour observed within the LTFD solutions and explains them. The dissertation then concludes by explaining how this programme of work can be extended. The investigations completed make significant contributions to knowledge. These are summarised at the end of the chapters in which they occur. Perhaps the most important of these is the development of fast and accurate numerical algorithms that can be used for solving diffusion equations in a variety of application areas.

Numerous macroscale models of arteries have been developed, comprised of populations of discrete coupled Endothelial Cells (EC) and Smooth Muscle Cells (SMC) cells, an example of which is the model of Shaikh et al. (2012), which simulates the complex biochemical processes responsible for the observed propagating waves of Ca2+ observed in experiments. In a 'homogenised' model however, the length scale of each cell is assumed infinitely small while the population of cells are assumed infinitely large, so that the microscopic spatial dynamics of individual cells are unaccounted for. We wish to show in our study, our hypothesis that the homogenised modelling approach for a particular system can be used to replicate observations of the discrete modelling approach for the same system. We may do this by deriving a homogenised model based on Goldbeter et al. (1990), the simplest possible physiological system, and comparing its results with those of the discrete Shaikh et al. (2012), which have already been validated with experimental findings. We will then analyse the mathematical dynamics of our homogenised model to gain a better understanding of how its system parameters influence the behaviour of its solutions. All our homogenised models are essentially formulated as partial differential equations (PDE), specifically they are of type reaction diffusion PDEs. Therefore before we begin developing the homogenised Goldbeter et al. (1990), we will first analyse the Brusselator PDE with the goal that it will help us to understand reaction diffusion systems better. The Brusselator is a suitable preliminary study as it shares two common properties with reaction diffusion equations: oscillatory solutions and a diffusion term.

A fibrilação, atrial ou ventricular, é caracterizada por uma desorganização da atividade elétrica do músculo. O coração, que normalmente contrai-se globalmente, em uníssono e uniforme, durante a fibrilação contrai-se localmente em várias regiões, de modo descoordenado. Para estudar qualitativamente este fenômeno, é aqui proposto um novo modelo matemático, mais simples do que os demais existentes e que, principalmente, admite uma representação singela na forma de circuito elétrico equivalente. O modelo foi desenvolvido empiricamente, após estudo crítico dos modelos conhecidos, e após uma série de sucessivas tentativas, ajustes e correções. O modelo mostra-se eficaz na simulação dos fenômenos, que se traduzem em padrões espaciais e temporais das ondas de excitação normais e patológicas, propagando-se em uma grade de pontos que representa o tecido muscular. O trabalho aqui desenvolvido é a parte básica e essencial de um projeto em andamento no Departamento de Engenharia Elétrica da EESC-USP, que é a elaboração de uma rede elétrica ativa, tal que possa ser estudada utilizando recursos computacionais de simuladores usualmente aplicados em projetos de circuitos integrados / Atrial and ventricular fibrillation are characterized by a disorganized electrical activity of the cardiac muscle. While normal heart contracts uniformly as a whole, during fibrillation several small regions of the muscle contracts locally and uncoordinatedly. The present work introduces a new mathematical model for the qualitative study of fibrillation. The proposed model is simpler than other known models and, more importantly, it leads to a very simple electrical equivalent circuit of the excitable cell membrane. The final form of the model equations was established after a long process of trial runs and modifications. Simulation results using the new model are in accordance with those obtained using other (more complex) models found in the related literature. As usual, simulations are performed on a two-dimensional grid of points (representing a piece of heart tissue) where normal or pathological spatial and temporal wave patterns are produced. As a future work, the proposed model will be used as the building block of a large active electrical network representing the muscle tissue, in an integrated circuit simulator

In this thesis, we study a class of reaction-diffusion equations of the form $\frac{\partial u}{\partial t} = \mathcal{L}u + \phi u - \tfrac{1}{k} u^{k+1}$ where $\mathcal{L}$ is the stochastic generator of a Markov process, $\phi$ is a function of the space variables and $k\in \mathbb{R}\backslash\{0\}$. An important example, in the case when $k > 0$, is equations of the FKPP-type. We also give an example from the theory of utility maximisation problems when such equations arise and in this case $k < 0$. We introduce a new representation, for the solution of the equation, as the optimal value of an optimal control problem. We also give a second representation which can be seen as a dual problem to the first optimisation problem. We note that this is a new type of dual problem and we compare it to the standard Lagrangian dual formulation. By choosing controls in the optimisation problems we obtain upper and lower bounds on the solution to the PDE. We use these bounds to study the speed of the wave front of the PDE in the case when $\mathcal{L}$ is the generator of a suitable Lévy process.

Orientador: Roberto André Kraenkel / Banca: Gilberto Corso / Banca: Cláudia Pio Ferreira / Banca: Fernando Fagundes Ferreira / Banca: Francisco Antonio Bezerra Coutinho / Resumo: Este trabalho é composto de estudos independentes, mas seus temas são conectados entre si. Ele foi feito baseando-se no estudo de equações de reação-difusão e em reação-difusão-advecção. Vários modelos foram utilizados para representar populações e apresentam características em comum. As populações representadas por esses modelos difundem, crescem e saturam de forma semelhante a equação de Fisher-Kolmogorov e Lotka-Volterra e foram modeladas usando condições de contorno de Dirichlet. Domínios limitados e ilimitados foram usados para que melhor representassem as devidas e diferentes aplicações de dados coletados em campo e publicados em periódicos. Esse trabalho também leva em conta a aplicabilidade à habitats fragmentados, isoladas e não-isoladas. Como foco principal temos o estudo do movimento de populações que vivem nesses habitats mostrando que a qualidade e distribuição deles afeta no movimento das populações / Abstract: This thesis consists on independent studies, but its subjects are interconnected. It has been based on the study of reaction-diffusion-advection equations. Several models were used to represent populations and have some characteristics in common. The populations represented by the models spread, grow, and saturate in a way similar to that described by the Fisher-Kolmogorov and Lotka-Volterra equations, and were modeled using Dirichlet boundary conditions. Limited and unlimited domains were used to better represent the necessary applications and different data collected in the field and published in journals. This work also takes into account the applicability to fragmented habitats, isolated and not isolated. As the main focus we study the movement of populations living in these habitats, showing that the quality and distribution affects them the movement of populations / Doutor

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acase@tulane.edu

This thesis is concerned with the derivation of similarity solutions for one-dimensional coupled systems of reaction - diffusion equations, a semi-linear system and a one-dimensional tripled system. The first area of research in this thesis involves a coupled system of diffusion equations for the existence of two distinct families of diffusion paths. Constructing one-parameter transformation groups preserving the invariance of this system of equations enables similarity solutions for this coupled system to be derived via the classical and non-classical procedures. This system of equation is the uncoupled in the hope of recovering further similarity solutions for the system. Once again, one-parameter groups leaving the uncoupled system invariant are obtained, enabling similarity solutions for the system to be elicited. A one-dimensional pattern formation in a model of burning forms the next component of this thesis. The primary focus of this area is the determination of similarity solutions for this reaction - diffusion system by means of one-parameter transformation group methods. Consequently, similarity solutions which are a generalisation of the solutions of the one-dimensional steady equations derived by Forbes are deduced. Attention in this thesis is then directed toward a semi-linear coupled system representing a predator - prey relationship. Two approaches to solving this system are made using the classical procedure, leading to one-parameter transformation groups which are instrumental in elicting the general similarity solution for this system. A triple system of equations representing a one-dimensional case of diffusion in the presence of three diffusion paths constitutes the next theme of this thesis. In association with the classical and non-classical procedures, the derivation of one-parameter transformation groups leaving this system invariant enables similarity solutions for this system to be deduced. The final strand of this thesis involves a one- dimensional case of the general linear system of coupled diffusion equations with cross-effects for which one-parameter transformation group methods are once more employed. The one-parameter groups constructed for this system prove instrumental in enabling the attainment of similarity solutions for this system to be accomplished / Faculty of Business and Technology